Release Notes
Change log for communicating new features, fixes, and revisions of Excel Lab.
1.0.0.11884 (2023-12-26)
Happy holidays! Santa has been busy, new API connection this holiday season.
Added
New licensing server API connection.
New licensing API connection.
1.0.0.11875 (2023-12-01)
Preparations for licensing server upgrade support for unlock code feature.
1.0.0.11863 (2023-10-09)
Fixed a gremlin that is fussy on double-precision machine errors.
Updated
ISMATRIXPSD now checks and accounts for double-precision differences in the upper and lower triangular corrected matrix, i.e. symmetry is verified.
1.0.0.11845 (2023-06-27)
Refinements to several existing functions and new runtime framework.
Updated
IMPLIEDRETURNS added specification for covariance matrix as an optional parameter.
PSR improved handling for machine epsilon.
ISMATRIXPSD now uses Newton's method by minimizing the Frobenius distance.
New runtime (9.13).
1.0.0.11555 (2022-08-05)
Added desmoothing returns functionality to Excel Lab.
Added
DESMOOTHRETURNS using a first-order autoregressive model.
Updated
Improvements to authentication process.
1.0.0.11271 (2021-11-18)
Introducing scenario modification functionality to Excel Lab based on our innovations in scenario analysis.
Added
IMPLIEDSCENARIO solve for the implied scenario estimates across economic variables to reconcile with your target probabilities.
1.0.0.11166 (2021-09-07)
Small improvements to calculator logic and verification.
Updated
Default marshalling between Microsoft Excel and Excel Lab's engine for missing values. This will impact MLERISK and MLERETURNS where users will have to explicitly specify missing values in their workbook's cells as in the formula bar.
1.0.0.10882 (2021-01-15)
It has been an exciting week working with early adopters, we have had very constructive feedback.
Added
BOOTSTRAP sample from a dataset with replacement with equal or custom probability weights across sample periods. Draw from a univariate or multivariate sample with the option to apply a set of portfolio weights to the multivariate sample.
Updated
Wrapper fix for VERIFYLICENSE.
1.0.0.10874 (2021-01-11)
It has been an exciting week working with early adopters, we have had very constructive feedback.
Updated
XLABINFO now also returns general information in cell in addition to a UI dialog.
MAHALANOBIS new optional input arguments, giving you more control.
QUIETRISK the threshold parameter is now based from an inliers perspective.
PSR minor refinements to code elegance and speed.
1.0.0.10855 (2021-01-01)
Happy new year 🎉
Added
MATRIX concatenate disjointed vectors (or matrices) quickly and intuitively within Excel.
Updated
Security enhancements in offline license manager.
1.0.0.10853 prerelease (2020-12-30)
Ready for prime time!
Added
SCENARIOPR added an optional free parameter to model fatter tails for calculating scenario probabilities.
Updated
Improved licensing verification.
Revised matrix orientation and dimensional fixes for iso-curve functions.
1.0.0.10752 prerelease (2020-11-13)
Feature-creep is getting intense!
Added
MVFRONTIER solve for multiple optimal portfolios on the efficient frontier.
MTFRONTIER solve for multiple optimal portfolios to evaluate relative risk.
1.0.0.10746 prerelease (2020-11-11)
Sometimes, we have to regress in order to progress 😅
Added
MAXDD maximum drawdown in Excel - forget your VBA code upkeep!
COVMATRIX an much easier and direct way to compute covariance matrix, with the ability to treat missing data as well.
CORRMATRIX you can't have the covariance matrix without some correlation coefficients.
PORTFOLIORISK forget nested MMULT and SUMPRODUCT formulas! Vector math simplified!
Updated
PSR added argument to allow the specification for the predictor values for the partial sample regression model. This allows the analyst to specify any set of predictor values to evaluate a response for the dependent variable forecast based. If not specified, as previously implicitly assumed, the most recent observations of the dependent variables are used with the model parameters for forecasting.
1.0.0.10720 prerelease (2020-11-03)
Hello world! Lots of coffee and rock music in the background at Windham Labs. The Excel Lab quant library is being tested and worked on extensively by the team. We are getting things ready to bring this exciting tool to your desk.
Added
CAPM calculate equilibrium returns
IMPLIEDRETURNS run a reverse optimization
MLERETURNS maximum-likelihood return estimates
ANNUALIZERISK annualize risk to account for compounding and log-normality
EWMA exponential moving average risk model
HISTORICALRISK estimate expected risk from historical data
MAHALANOBIS compute the Mahalanobis distance statistic
MLERISK maximum-likelihood risk estimates
TURBULENTRISK estimate risk based on statistical outliers
QUIETRISK estimate risk based on statistical inliers
MVT multi-goal optimization (mean-variance tracking error)
MVO mean-variance optimization
MTO mean-tracking error optimization
ISORETURN solve for an iso-return efficient frontier (risk vs. tracking error)
FACTORANALYSIS run multi-factor OLS and stepwise regression analysis
LOSSPR estimate probability of loss continuously and conventionally
OMEGARATIO calculate the omega ratio
PSR run partial-sample regressions, a new novel approach to regression analysis
SORTINORATIO calculate the Sortino ratio
TAILRATIO estimate tail ratio from empirical data
VALUEATRISK estimate value at risk measures continuously and conventionally
ISMATRIXPSD check matrix for positive semi-definite (PSD) properties / solve to nearest PSD values
MCNORM simulate multi-variate normal random values using Monte-Carlo
SCENARIOPR calculate scenario probabilities implied from empirical data
Last updated