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I saw this a couple of years ago, when it was just a project. Now that there's a price, how did you guys decide on a price? How did you find your first customers? For a broadly applicable tool, how did you know where to start looking?
Wouldn’t it be cool if they got it from their own spreadsheet?
Earlier quoted context omitted.
Are you able to apply global correlations to all the variates? One of the triggers for the financial crisis in '08 was that the Monte Carlo pricers assumed the various risks were much less correlated than they actually were. For example, they largely assumed that it was unlikely for many mortgages or underlying MBS securities to simultaneously default (low correlation). This is how many AAA rated CDO securities ended…
I'd definitely agree that correlations can be a really big deal, especially in very large models like that one. Guesstimate doesn't currently allow for correlations as you're probably thinking of them. However, if two nodes are both functions of a third base node, then they will both be correlated with each other. You can use this to make somewhat hacky correlations in cases where there isn't a straightforward causal…
So basically, draw a multivariate correlated standard normal with the intended correlation. Transform the standard normal draws into quantiles of the standard normal (this works the marginal distributions are also normal). Now you have X and Y quantiles for your target distributions and you can draw from them.
The distributional transformations will slightly attenuate the correlation, and the choppier the distributions the more attenuation you'll get. Additionally, while you can do this for 3+ variables at once, there are constraints on the possible sigma matrix describing n-dimensional correlations.
If the variables have no fixed distribution you can use the eCDF of the actual data, so it's even possible to import e.g. population and income data and produce a permutation that gives you the correlation desired.
I agree that it is fairly difficult to do this if you have arbitrary DGPs with complex interdependencies in them--if you correlate on variables A and B, then it is difficult to guarantee the observed correlation between f(A) and g(B) and vice versa--but still you can provide a lot of utility with the copula method.
Cofounder Here: Happy to see this on hnews again. Update: Matthew (the other cofounder) and I got Guesstimate to a stage we were happy with. After a good amount of work it seemed like several customers were pretty happy with it, but there weren't many obvious ways of making a ton more money on it, and we ran out of many of the most requested/obvious improvements. We're keeping it running, but it's not getting much mo…