Actually, it is worth writing your own engine - especially if you are using MC for pricing stuff like asians. For example, there is no cheap (under 100K) tool that I have heard of that does low discrepancy number generation (Sobol sequences). Also, tweaking the distribution on comercial tools is a usually pain.
Hi Aaron. Thanks for recommending us to others, I really appreciate that. There are a few people who can help you transfering the EL code. I will be in Chicago in October, may be we can meet for a Coffee? Hi Nitro. Yes, we hope that RealTick will be added by the end of this week. Next should be IQFeed. We do have tick bars, but currently our indicators only update to the close of the time intervall. It is very high on our list since we understand that we have overtaken the big software players here in the field of backtesting, but that a lot of users ask for this feature. So since I want your 650$ we will try our very best! Volker
I usually do MC simulation on my backtesting results. So I don't use normal distributions (or any other distribution) but values from my backtesting results. Given that premise, I found it easy to write my own MC engine (only some lines of code).