ModVal.org is an online repository of source code and data, available free of charge for regulatory and internal model validation use. The repository contains models for derivatives valuation, funding, collateral optimization, liquidity, regulatory or PFE based limits, and regulatory capital.
The ModVal.org website provides a diverse and well-organized collection of industry standard models, methodologies, and numerical techniques, available in a format that is easy to understand and use in practical model validation. The website includes input and output data for all tests in CSV and XML formats.
The users can download and run the source code with their own data to produce regulatory and internal model validation reports or research the impact of model choice. ModVal.org is written in portable C# and includes open source development and graphics tools to run on Windows, Linux, or Mac without the need to purchase any third party or commercial packages.
Quants and risk control:
- Complete source code provided
- Regulatory and internal model validation
- Regulatory capital
- Regulatory and PFE based limits
- Risk-neutral and real-world simulation
- Optimization for long time horizons
- General and systemic wrong way risk
- Collateral optimization
- Advanced American Monte Carlo
- Multi-curve valuation
- Easy to use API
- Compiles in seconds
- Runs on Windows, Linux, or Mac
Running a Test
The ModVal Library contains flexible validation tests and can be extended to cover alternative models, tests, or verification methods.
Least Squares Monte Carlo Example in One Dimension
ModVal.org incorporates a comprehensive C# class library for quantitative finance and provides detailed online annotation of source code, examples, and validation tests.
The example below demonstrates the use of least squares American Monte Carlo (AMC) for one state variable and compares the output of AMC with the analytical solution.