Training Agenda. Structuring and Pricing Derivatives using Numerix CrossAsset XL, CrossAsset SDKs & CAIL (C++/Java/C#)
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1 Training Agenda Structuring and Pricing Derivatives using Numerix CrossAsset XL, CrossAsset SDKs & CAIL (C++/Java/C#) Numerix Training: CrossAsset XL and SDKs (C++/Java/C#): Orientation Implementation Day 1 9:00 9:30 Overview of system architecture and Numerix solutions; why CA XL for developers 9:30 10:00 10:00 10:30 Overview of Numerix CrossAssset XL and Pricing Library; Deal structuring and pricing in Numerix Numerix CrossAsset XL Environment Numerix object structure and function interfaces in CA XL; Application settings in CA XL Static Data Understanding and utilizing global calendars; Understanding and utilizing global fixing history Understanding convention collections and their intended use: Global vs. Local vs. Smart conv. Application example: setting up and pricing an IR swap via analytics (hands-on exercise with Numerix object interface; utilizing calendars, conventions and fixing history) 10:30-10:45 Coffee Break 10:45-12:30 Overview of the Template Library Using the Quick Start Tool to Access Numerix Solutions Market Data Walk through Numerix Market Data sheets Updating Numerix Bloomberg market data sheets and creating market data sheets on the fly Constructing the yield curves from discount factors Stripping curves from market data instruments Constructing volatility surfaces and volatility cubes Walk through IR, EQ, FX market data Discussion on market data construction for other asset classes Pricing vanilla and semi-exotic deals via analytics Case Study: setting up and pricing a Swap via analytics; Capturing and displaying in spreadsheet pricing results and cash flow reports Case Study: setting up and pricing a Swaption via analytics Discussion on other vanilla and semi-exotic deals in Numerix via analytics 12:30 13:15 Lunch break 13:15-15:30 Pricing vanilla and semi-exotic deals via analytics Case Study: setting up and pricing a Swap via analytics; Capturing and displaying in spreadsheet pricing results and cash flow reports Case Study: setting up and pricing a Swaption via analytics Discussion on other vanilla and semi-exotic deals in Numerix via analytics 15:3 0-15:45 Coffee Break 15:45 17:30 Understanding and Using solutions from the Numerix Template Library Case Study: Pricing an Equity option using the out of shelf template Library Case Study: Pricing a Bermudan Callable Inverse Floater Swap using the Template library Modifying solutions to accommodate Coupon & Funding Step-up/Step-down schedules, Notional amortization tables, caps, floors and call probabilities; Pricing with a different model; Report templates
2 Day 2 9:00 10:30 Review of day one materials and Discuss the difficulties faced in the Home work problem Discussion on various ways to construct model objects and calibrate them to instruments Model Construction; Using solution builder to add a model template and modify it Calibrating models to market instruments Model viewers: displaying and interpreting calibration results Price convergence study and Numerix scenario tools 10:30 10:45 Coffee Break 10:45 12:30 Discussion and walkthrough various Fixed Income and CC Solutions Deal Structuring and Pricing of Semi-Exotic and Exotic Deals via Payment Streams Introduction to Payment Streams and Contract Features Case Study: Structuring, pricing and generating risk reports for a Bermudan callable bond with payment streams Setting up indices, schedules and inputting time dependent data like amortizing schedules or other time varying inputs Input the payment streams data tables Price and display pricing results and relevant cash flow and risk reports Case Study: Setting up and pricing a Bermudan Callable Swap via payment Streams Case Study: Setting up a Complex Swap with variation on cash flow formula on each coupon date. Case Study: Setting up and pricing a PRDC via payment streams 12:30 13:15 Lunch Break 13:15-15:30 Deal Structuring and Pricing of Exotic Deals via scripting Case Study: Structuring, pricing and generating risk reports for a Bermudan callable bond using Scripting Setting up relevant indices, events, and line by line coding of Numerix scripts Setting up time slice observers to observe and display time slice values of underlying indices or various variables on script 15:30 15:45 Coffee Break 15:45 17:00 Comparing side by side deal structuring via payment streams and via scripting Case Study: Setting up and pricing a Bermudan Callable CMS Spread Swap via scripting and via payment streams Discussion and walk through various Fixed Income (single currency and CrossCurrency Deals) 17:00-17:30 Q&A Take Home Problem
3 Day 3 9:30 10:00 Deal Structuring and pricing for CrossCurrency Deals Setting up CrossCurrency Basis Curves Three curve pricing of CC basis swaps (taking CC Spread into consideration for discounting) Specifics on Setting up CrossCurrency Models Setup time slice observers to observe the time slice values for various indices and display results 10:00-10:15 Coffee Break 10:15-12:00 Deal Setup and Pricing of Equity and Foreign Exchange deals Case Study: Structuring and pricing an Equity Option via Scripting EQ/FX/Credit market data structure in Numerix Case Study: Structuring and Pricing an EQ/FX Dual Call Asian option EQ/FX Greek calculations 12:00 12:30 Lunch break 12:30-3:30 Case Study: Insert a TERMSHEET HERE PROVIDED BY CLIENT OR by us Structure the Payoff, and pricing the deal Defining the payoff for the deal. Defining the events for the deal. Setting up the kernel pricer and pricing the deal. 3:3 0-3:45 Coffee Break 3:45 5:30 Case Study: Insert a TERMSHEET HERE PROVIDED BY CLIENT or by us Structure the Payoff, and pricing the deal Defining the payoff for the deal. Defining the events for the deal. Setting up the kernel pricer and pricing the deal. 5:30-6:00 Q&A and Take Home Problem
4 Day 4 CA SDK Software Development Kit 9:00-12:30 Numerix System Development Toolkit (C++/Java/C#) Overview of Numerix CrossAsset SDK packages and classes Similarities of CrossAsset XL and CrossAsset C++/Java/C# API ApplicationCall (data driven) API vs. Object Interface API Overview of object classes and their inheritance hierarchy: Lightweight utility objects and heavier financial objects; Entity class hierarchy; Handling Optional Arguments; Object lifetime and Garbage Collection Serialize and de-serialize Numerix objects from C++/Java/C# into XML and dump to or read from Excel XML; Deal debugging and support Benefits and drawbacks of each interface (when to use each) 12:30 13:15 Lunch Break 13:15-15:30 Case Study: Setting up and pricing a Bermudan callable swap deal from static data, market data, deal setup, pricing and risk reports (complete lifecycle of deal pricing) Numerix Integration Tools Use of Numerix XML as an integration Tool Automatic C# Code Generation from CA XL User Define Objects (UDOs) CrossAsset Integration Layer and CrossAsset Server (CAIL and CAS) 15:30 15:45 Coffee Break 15:45 17:00 Implementation and hands-on case studies utilizing C++/Java/C# SDKs Case Study: Setting up and pricing a portfolio of Swaps Case Study: Setting up and pricing a CDS Case Study: Setting up and pricing an European/American Call on FX 17:00-17:30 Q&A
5 Day 5 CAIL CrossAsset Integration Layer 9:00 10:30 Accessing the Home Work problems go through the issues 9:15-10:30 Final Review of CA XL and SDK 10:30 10:45 Coffee Break 10:45 12:00 Overview of CAIL Input Data for calculations Templates and Templates Repository Concepts Calculation Context Concepts 12:00 12:30 Lunch Break 12:30 3:00 Walk through the provided templates Templates Standard and Requirements Template customization and Reuse 3:00 3:15 Coffee Break Trade Template Standards. Creating Template objects and Class instantiation objects. Running Calculations on the Trade 5:30-6:00 Q&A
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