Computational financev2

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Information about Computational financev2

Published on March 7, 2014

Author: shivgan3

Source: slideshare.net

Qcfinance.in 7th March 2014

Index Database  C++  MBS / ABS / Valuation 

C Concepts in Financial Engineering Why shift from spreadsheet to RDBM Advantages Disadvantages Financial Engineering Roles Technologies Qcfinance.in http://www.seguetech.com/blog/2013/02/19/upgrade-spreadsheets-vs-database http://ccp.arl.arizona.edu/dthompso/sql_workshop/intro/spreadsheetdifferences.html

Database Concepts in Financial Engineering Financial Engineering Roles Interview Prep Technologies: MATLAB SQL C++ XML Java Qcfinance.in      Install MySQL database create and update data and its Integration with MATLAB Greeks, Securitization, Indices, etc Improve data management efficiency Capture bulk data Spreadsheets to relational database Quiz:  Relational database  ER Diagram  Joins  3NF Table

C Concepts in Financial Engineering Quiz: Bubble sort method  Storage classes in C  Array of pointers  Pass array elements to a function  Financial Engineering Roles Technologies Qcfinance.in

Qcfinance.in Database Concepts in Financial Engineering Relational database Joins in SQL Entity Relation Diagram – Data from Finance world ex Securitization Normalization: 3NF Table – Again data from Finance?

Mortgage Backed Securities Securitization  Pass through securities  Pre payments  Stripped MBS  Non Agency MBS  Contraction Risk & Extension Risk  Call protection from CMBS  PO and IO  Qcfinance.in   CPR SMM (monthly)) PSA standard – up till 30 post 30 months CFA Level 2 Exam Fixed Income Bonds

Asset Backed Securities Securitization  External Credit Enhancements  Pre payments  CDOs  Synthetic CDOs  Arbitrage CDO vs Synthetic CDIs PAC (planned amortization class)   Qcfinance.in CFA Level 2 Exam Fixed Income Bonds

Valuation of ABS and MBS    YTM treasury Zero Volatility Option Adjusted Spread Qcfinance.in    Bond Equivalent Yield Nominal Spread Monte Carlo Spread CFA Level 2 Exam Fixed Income Bonds

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