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A fast track to structured finance modeling, monitoring, and valuation [[electronic resource] ] : jump start VBA / / William Preinitz
| A fast track to structured finance modeling, monitoring, and valuation [[electronic resource] ] : jump start VBA / / William Preinitz |
| Autore | Preinitz William <1950-> |
| Pubbl/distr/stampa | Hoboken, N.J., : John Wiley & Sons, c2009 |
| Descrizione fisica | 1 online resource (769 p.) |
| Disciplina |
332.01/5195
332.015195 |
| Collana | [Wiley finance] |
| Soggetto topico |
Finance - Computer simulation
Risk assessment - Computer simulation Finance - Mathematical models |
| Soggetto genere / forma | Electronic books. |
| ISBN |
0-470-44606-4
1-119-19767-8 1-282-11353-4 9786612113536 0-470-44614-5 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
A FAST-TRACK TO STRUCTURED FINANCE: Modeling Monitering, and Valuation; Contents; Preface; About the Web Site; Part I: Introduction; Chapter 1: Why? What? Who? Where? and How?; THE IMMORTAL QUESTION(S); WHAT ARE THE ADVANTAGES OF LEARNING VBA?; WHAT ARE THE DISADVANTAGES OF LEARNING VBA?; WHAT IS A MODEL?; WHY IS MODELING A VALUABLE SKILL?; WHAT ARE THE STAGES OF MODEL DESIGN AND CONSTRUCTION?; OTHER ASPECTS OF MODELING; PERSPECTIVE OF THIS BOOK; STRUCTURE OF THE BOOK; PUTTING THE DELIVERABLES "ON THE TARGET"; Chapter 2: Common Sense; OVERVIEW; DELIVERABLES
DO NOT EAT ANYTHING BIGGER THAN YOUR HEADYOU ONLY HURT THE ONE YOU LOVE; IT IS OK TO BE RIGHT; JUST DO NOT BE DEAD-RIGHT; KNOW WHEN TO HOLD 'EM; NEXT STEPS; Part II: The Securitization Process; Chapter 3: Securitizing a Loan Portfolio; OVERVIEW; DELIVERABLES; FINANCING A LOAN PORTFOLIO; DESCRIPTION OF THE COLLATERAL; COLLATERAL CASH FLOWS; EXPENSE AND LIABILITY STRUCTURE; MEASURING THE PERFORMANCE OF THE STRUCTURE; FUNCTIONAL REQUIREMENTS OF THE MODEL; THE ROLE OF THE MODEL IN THE PROCESS OF SECURITIZATION; DELIVERABLES CHECKLIST; NEXT STEPS; ON THE WEB SITE; Part III: Designing the Model Chapter 4: Understanding the Excel WaterfallOVERVIEW; DELIVERABLES; UNDER CONSTRUCTION; WATERFALLS; STRUCTURE OF THE CASH FLOW WATERFALL; COLLATERAL CASH FLOWS SECTION; DEAL EXPENSES SECTION; CONDUIT INTEREST SECTION; CONDUIT PRINCIPAL SECTION; EXCESS CASH TREATMENT SECTION; CONDUIT SUMMARY SECTION; DELINQUENCY RESERVE SECTION; DEAL TRIGGERS SECTION; DEBT COSTS SECTION; DEFAULT TESTS SECTION; DEBT PERFORMANCE CALCULATIONS SUPPORT SECTION; DEAL WIND-DOWN TRIGGER; CASH FLOW WATERFALL "BOX SCORE" SECTION; DELIVERABLES CHECKLIST; NEXT STEPS; ON THE WEB SITE; Chapter 5: Designing the VBA Model OVERVIEWDELIVERABLES; UNDER CONSTRUCTION; WHAT ARE THE DESIRED RESULTS?; WHAT PROCESSES MUST THE MODEL PERFORM?; INTRODUCTION TO TEMPLATE FILES; COLLATERAL SELECTION REPORTS; INELIGIBLE COLLATERAL REPORTS; ELIGIBLE COLLATERAL REPORTS; CASH FLOW WATERFALL REPORTS; CASH FLOW MATRIX REPORTS; DESIGNING THE MENUS; DESIGNING THE COLLATERAL SELECTION OUTPUT SCREEN; IT SHOULD LOOK LIKE THIS; DELIVERABLES CHECKLIST; NEXT STEPS; ON THE WEB SITE; Part IV: Learning the VBA Language; Chapter 6: Laying the Model Groundwork; OVERVIEW; DELIVERABLES; UNDER CONSTRUCTION; CREATING THE EXTERNAL MODEL ENVIRONMENT CREATING THE INTERNAL MODEL ENVIRONMENTWRITING THE MAIN PROGRAM IN PSEUDO CODE; DELIVERABLES CHECKLIST; NEXT STEPS; ON THE WEB SITE; Chapter 7: Recorded Macros: A First Look at the VBA Language; OVERVIEW; DELIVERABLES; UNDER CONSTRUCTION; RECORDING VBA CODE; RUNNING THE EDITED CODE; USING RECORDED MACROS TO BUILD A SIMPLE MODEL; DELIVERABLES CHECKLIST; NEXT STEPS; ON THE WEB SITE; Chapter 8: Writing Menus: An Introduction to Data, Ranges, Arrays, and Objects; OVERVIEW; DELIVERABLES; UNDER CONSTRUCTION; ROLE OF THE MENU; STRUCTURAL ELEMENTS OF A MENU; INTRODUCTION TO VBA VARIABLES VARIABLE TYPES |
| Record Nr. | UNINA-9910146399003321 |
Preinitz William <1950->
|
||
| Hoboken, N.J., : John Wiley & Sons, c2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
A fast track to structured finance modeling, monitoring, and valuation [[electronic resource] ] : jump start VBA / / William Preinitz
| A fast track to structured finance modeling, monitoring, and valuation [[electronic resource] ] : jump start VBA / / William Preinitz |
| Autore | Preinitz William <1950-> |
| Pubbl/distr/stampa | Hoboken, N.J., : John Wiley & Sons, c2009 |
| Descrizione fisica | 1 online resource (769 p.) |
| Disciplina |
332.01/5195
332.015195 |
| Collana | [Wiley finance] |
| Soggetto topico |
Finance - Computer simulation
Risk assessment - Computer simulation Finance - Mathematical models |
| ISBN |
0-470-44606-4
1-119-19767-8 1-282-11353-4 9786612113536 0-470-44614-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
A FAST-TRACK TO STRUCTURED FINANCE: Modeling Monitering, and Valuation; Contents; Preface; About the Web Site; Part I: Introduction; Chapter 1: Why? What? Who? Where? and How?; THE IMMORTAL QUESTION(S); WHAT ARE THE ADVANTAGES OF LEARNING VBA?; WHAT ARE THE DISADVANTAGES OF LEARNING VBA?; WHAT IS A MODEL?; WHY IS MODELING A VALUABLE SKILL?; WHAT ARE THE STAGES OF MODEL DESIGN AND CONSTRUCTION?; OTHER ASPECTS OF MODELING; PERSPECTIVE OF THIS BOOK; STRUCTURE OF THE BOOK; PUTTING THE DELIVERABLES "ON THE TARGET"; Chapter 2: Common Sense; OVERVIEW; DELIVERABLES
DO NOT EAT ANYTHING BIGGER THAN YOUR HEADYOU ONLY HURT THE ONE YOU LOVE; IT IS OK TO BE RIGHT; JUST DO NOT BE DEAD-RIGHT; KNOW WHEN TO HOLD 'EM; NEXT STEPS; Part II: The Securitization Process; Chapter 3: Securitizing a Loan Portfolio; OVERVIEW; DELIVERABLES; FINANCING A LOAN PORTFOLIO; DESCRIPTION OF THE COLLATERAL; COLLATERAL CASH FLOWS; EXPENSE AND LIABILITY STRUCTURE; MEASURING THE PERFORMANCE OF THE STRUCTURE; FUNCTIONAL REQUIREMENTS OF THE MODEL; THE ROLE OF THE MODEL IN THE PROCESS OF SECURITIZATION; DELIVERABLES CHECKLIST; NEXT STEPS; ON THE WEB SITE; Part III: Designing the Model Chapter 4: Understanding the Excel WaterfallOVERVIEW; DELIVERABLES; UNDER CONSTRUCTION; WATERFALLS; STRUCTURE OF THE CASH FLOW WATERFALL; COLLATERAL CASH FLOWS SECTION; DEAL EXPENSES SECTION; CONDUIT INTEREST SECTION; CONDUIT PRINCIPAL SECTION; EXCESS CASH TREATMENT SECTION; CONDUIT SUMMARY SECTION; DELINQUENCY RESERVE SECTION; DEAL TRIGGERS SECTION; DEBT COSTS SECTION; DEFAULT TESTS SECTION; DEBT PERFORMANCE CALCULATIONS SUPPORT SECTION; DEAL WIND-DOWN TRIGGER; CASH FLOW WATERFALL "BOX SCORE" SECTION; DELIVERABLES CHECKLIST; NEXT STEPS; ON THE WEB SITE; Chapter 5: Designing the VBA Model OVERVIEWDELIVERABLES; UNDER CONSTRUCTION; WHAT ARE THE DESIRED RESULTS?; WHAT PROCESSES MUST THE MODEL PERFORM?; INTRODUCTION TO TEMPLATE FILES; COLLATERAL SELECTION REPORTS; INELIGIBLE COLLATERAL REPORTS; ELIGIBLE COLLATERAL REPORTS; CASH FLOW WATERFALL REPORTS; CASH FLOW MATRIX REPORTS; DESIGNING THE MENUS; DESIGNING THE COLLATERAL SELECTION OUTPUT SCREEN; IT SHOULD LOOK LIKE THIS; DELIVERABLES CHECKLIST; NEXT STEPS; ON THE WEB SITE; Part IV: Learning the VBA Language; Chapter 6: Laying the Model Groundwork; OVERVIEW; DELIVERABLES; UNDER CONSTRUCTION; CREATING THE EXTERNAL MODEL ENVIRONMENT CREATING THE INTERNAL MODEL ENVIRONMENTWRITING THE MAIN PROGRAM IN PSEUDO CODE; DELIVERABLES CHECKLIST; NEXT STEPS; ON THE WEB SITE; Chapter 7: Recorded Macros: A First Look at the VBA Language; OVERVIEW; DELIVERABLES; UNDER CONSTRUCTION; RECORDING VBA CODE; RUNNING THE EDITED CODE; USING RECORDED MACROS TO BUILD A SIMPLE MODEL; DELIVERABLES CHECKLIST; NEXT STEPS; ON THE WEB SITE; Chapter 8: Writing Menus: An Introduction to Data, Ranges, Arrays, and Objects; OVERVIEW; DELIVERABLES; UNDER CONSTRUCTION; ROLE OF THE MENU; STRUCTURAL ELEMENTS OF A MENU; INTRODUCTION TO VBA VARIABLES VARIABLE TYPES |
| Record Nr. | UNINA-9910830889703321 |
|
Preinitz William <1950->
|
||
| Hoboken, N.J., : John Wiley & Sons, c2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
A fast track to structured finance modeling, monitoring, and valuation : jump start VBA / / William Preinitz
| A fast track to structured finance modeling, monitoring, and valuation : jump start VBA / / William Preinitz |
| Autore | Preinitz William <1950-> |
| Pubbl/distr/stampa | Hoboken, N.J., : John Wiley & Sons, c2009 |
| Descrizione fisica | 1 online resource (769 p.) |
| Disciplina | 332.01/5195 |
| Collana | [Wiley finance] |
| Soggetto topico |
Finance - Computer simulation
Risk assessment - Computer simulation Finance - Mathematical models |
| ISBN |
0-470-44606-4
1-119-19767-8 1-282-11353-4 9786612113536 0-470-44614-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
A FAST-TRACK TO STRUCTURED FINANCE: Modeling Monitering, and Valuation; Contents; Preface; About the Web Site; Part I: Introduction; Chapter 1: Why? What? Who? Where? and How?; THE IMMORTAL QUESTION(S); WHAT ARE THE ADVANTAGES OF LEARNING VBA?; WHAT ARE THE DISADVANTAGES OF LEARNING VBA?; WHAT IS A MODEL?; WHY IS MODELING A VALUABLE SKILL?; WHAT ARE THE STAGES OF MODEL DESIGN AND CONSTRUCTION?; OTHER ASPECTS OF MODELING; PERSPECTIVE OF THIS BOOK; STRUCTURE OF THE BOOK; PUTTING THE DELIVERABLES "ON THE TARGET"; Chapter 2: Common Sense; OVERVIEW; DELIVERABLES
DO NOT EAT ANYTHING BIGGER THAN YOUR HEADYOU ONLY HURT THE ONE YOU LOVE; IT IS OK TO BE RIGHT; JUST DO NOT BE DEAD-RIGHT; KNOW WHEN TO HOLD 'EM; NEXT STEPS; Part II: The Securitization Process; Chapter 3: Securitizing a Loan Portfolio; OVERVIEW; DELIVERABLES; FINANCING A LOAN PORTFOLIO; DESCRIPTION OF THE COLLATERAL; COLLATERAL CASH FLOWS; EXPENSE AND LIABILITY STRUCTURE; MEASURING THE PERFORMANCE OF THE STRUCTURE; FUNCTIONAL REQUIREMENTS OF THE MODEL; THE ROLE OF THE MODEL IN THE PROCESS OF SECURITIZATION; DELIVERABLES CHECKLIST; NEXT STEPS; ON THE WEB SITE; Part III: Designing the Model Chapter 4: Understanding the Excel WaterfallOVERVIEW; DELIVERABLES; UNDER CONSTRUCTION; WATERFALLS; STRUCTURE OF THE CASH FLOW WATERFALL; COLLATERAL CASH FLOWS SECTION; DEAL EXPENSES SECTION; CONDUIT INTEREST SECTION; CONDUIT PRINCIPAL SECTION; EXCESS CASH TREATMENT SECTION; CONDUIT SUMMARY SECTION; DELINQUENCY RESERVE SECTION; DEAL TRIGGERS SECTION; DEBT COSTS SECTION; DEFAULT TESTS SECTION; DEBT PERFORMANCE CALCULATIONS SUPPORT SECTION; DEAL WIND-DOWN TRIGGER; CASH FLOW WATERFALL "BOX SCORE" SECTION; DELIVERABLES CHECKLIST; NEXT STEPS; ON THE WEB SITE; Chapter 5: Designing the VBA Model OVERVIEWDELIVERABLES; UNDER CONSTRUCTION; WHAT ARE THE DESIRED RESULTS?; WHAT PROCESSES MUST THE MODEL PERFORM?; INTRODUCTION TO TEMPLATE FILES; COLLATERAL SELECTION REPORTS; INELIGIBLE COLLATERAL REPORTS; ELIGIBLE COLLATERAL REPORTS; CASH FLOW WATERFALL REPORTS; CASH FLOW MATRIX REPORTS; DESIGNING THE MENUS; DESIGNING THE COLLATERAL SELECTION OUTPUT SCREEN; IT SHOULD LOOK LIKE THIS; DELIVERABLES CHECKLIST; NEXT STEPS; ON THE WEB SITE; Part IV: Learning the VBA Language; Chapter 6: Laying the Model Groundwork; OVERVIEW; DELIVERABLES; UNDER CONSTRUCTION; CREATING THE EXTERNAL MODEL ENVIRONMENT CREATING THE INTERNAL MODEL ENVIRONMENTWRITING THE MAIN PROGRAM IN PSEUDO CODE; DELIVERABLES CHECKLIST; NEXT STEPS; ON THE WEB SITE; Chapter 7: Recorded Macros: A First Look at the VBA Language; OVERVIEW; DELIVERABLES; UNDER CONSTRUCTION; RECORDING VBA CODE; RUNNING THE EDITED CODE; USING RECORDED MACROS TO BUILD A SIMPLE MODEL; DELIVERABLES CHECKLIST; NEXT STEPS; ON THE WEB SITE; Chapter 8: Writing Menus: An Introduction to Data, Ranges, Arrays, and Objects; OVERVIEW; DELIVERABLES; UNDER CONSTRUCTION; ROLE OF THE MENU; STRUCTURAL ELEMENTS OF A MENU; INTRODUCTION TO VBA VARIABLES VARIABLE TYPES |
| Record Nr. | UNINA-9910877453203321 |
|
Preinitz William <1950->
|
||
| Hoboken, N.J., : John Wiley & Sons, c2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Intermediate structured finance modeling : everaging excel, VBA, access, and powerpoint / / William Preinitz with Matthew Niedermaier
| Intermediate structured finance modeling : everaging excel, VBA, access, and powerpoint / / William Preinitz with Matthew Niedermaier |
| Autore | Preinitz William <1950-> |
| Pubbl/distr/stampa | Hoboken, New Jersey : , : John Wiley & Sons, Inc., , 2011 |
| Descrizione fisica | 1 online resource (1984 p.) |
| Disciplina |
332.015195
332.0285/5133 |
| Collana | Wiley Finance |
| Soggetto topico |
Finance - Computer simulation
Finance - Mathematical models |
| ISBN |
1-119-19984-0
0-470-92875-1 0-470-92878-6 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Cover; Series; Title Page; Copyright; Dedication; Preface; GOALS OF THE BOOK; WHAT YOU SHOULD KNOW; SETTING THE CONTEXT FOR LEARNING; THE STRUCTURE OF THE BOOK; A FISH STORY; A PERSPECTIVE ON MODELING; APPROACHING THIS MATERIAL; STYLE; A PARTING REMARK; On the Web Site; OVERVIEW; Acknowledgments; Part One: First Steps; Chapter 1: Introduction; OVERVIEW; WHY WAS THIS BOOK WRITTEN?; WHO IS THE TARGET AUDIENCE?; WHAT IS THE PURPOSE OF THE BOOK?; EXPANDING YOUR SOFTWARE SKILLS; EXPANDING YOUR MODEL DESIGN SKILLS; EXPANDING YOUR FINANCE KNOWLEDGE; ORGANIZED TO TEACH; CHAPTER ORGANIZATION
ACCOMPANYING WEB SITELEARNING THE "HARD" WAY; NOTE; Chapter 2: The Existing Model; OVERVIEW; DELIVERABLES; UNDER CONSTRUCTION; CRISIS DU JOUR; OVERVIEW OF THE CURRENT MODEL; CURRENT MODEL ENVIRONMENT; ON THE WEB SITE; Chapter 3: Conventions and Advice; OVERVIEW; DELIVERABLES; VBA CONVENTIONS; COMMON SENSE; ON THE WEB SITE; Chapter 4: Segregation of the Existing Model's Functionality; OVERVIEW; DELIVERABLES; UNDER CONSTRUCTION; DELIVERABLES CHECKLIST; BREAKING UP IS HARD TO DO; ACCOMMODATING OUR DESIGN NEEDS; ADVANTAGES OF FUNCTIONAL SEGREGATION; DISADVANTAGES OF FUNCTIONAL SEGREGATION ON THE WEB SITEChapter 5: Creating the Base Asset Model; OVERVIEW; DELIVERABLES; UNDER CONSTRUCTION; THE BIG PICTURE: "JUST THE ASSETS, MA'AM"; STEPPING THROUGH THE MODEL; TESTING THE COMPLETED BASE ASSET MODEL; ON THE WEB SITE; Chapter 6: Building the Base Liabilities Model; OVERVIEW; DELIVERABLES; UNDER CONSTRUCTION; LIABILITIES SIDE OF THE MODEL; WHAT TO LEAVE IN; STEPPING THROUGH THE MODEL; READING THE CASH FLOWS AND ASSUMPTIONS FROM A FILE; TESTING THE COMPLETED BASE LIABILITIES MODEL; ON THE WEB SITE; Chapter 7: Establishing the Model Environment; OVERVIEW; DELIVERABLES UNDER CONSTRUCTIONIMPORTANCE OF A STANDARDIZED DIRECTORY STRUCTURE; CREATING DIRECTORIES AND DEFINING THEIR FUNCTIONS; OPERATING DIRECTORIES; ADMINISTRATIVE DIRECTORIES; CREATING NEW DIRECTORIES FOR THE MODEL AS WE NEED THEM; ON THE WEB SITE; Part Two: Building the New Assets Model; Chapter 8: Designing the New Collateral Cash Flow Generator; OVERVIEW; DELIVERABLES; UNDER CONSTRUCTION; IMPROVING THE CCFG MENUS: CONVERSION TO USERFORMS; IMPROVING THE CCFG DATA-HANDLING CAPABILITIES; IMPROVING THE CCFG COLLATERAL SELECTION PROCESS; IMPROVING THE CCFG CASH FLOW GENERATION PROCESS IMPROVING THE CCFG REPORT GENERATION PROCESSIMPROVING THE CCFG MESSAGING PROCESS; ON THE WEB SITE; Chapter 9: Writing the CCFG Menus and Data Sheets; OVERVIEW; DELIVERABLES; UNDER CONSTRUCTION; MENUS AND USERFORMS; MENUS OF THE CCFG; MAIN MENU; RUN OPTIONS MENU; COLLATERAL POOL MENU; COLLATERAL GEOGRAPHIC SELECTION CRITERIA MENU; FINANCIAL SELECTION CRITERIA MENU; CASH FLOW AMORTIZATION PARAMETERS MENU; COLLATERAL REPORTS MENU; ON THE WEB SITE; Chapter 10: Writing the Collateral Data Handling Code; OVERVIEW; DELIVERABLES; UNDER CONSTRUCTION; MANAGING MULTIPLE PORTFOLIO FILES INITIAL DATA SCREENING |
| Record Nr. | UNINA-9910141138203321 |
|
Preinitz William <1950->
|
||
| Hoboken, New Jersey : , : John Wiley & Sons, Inc., , 2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Intermediate structured finance modeling : everaging excel, VBA, access, and powerpoint / / William Preinitz with Matthew Niedermaier
| Intermediate structured finance modeling : everaging excel, VBA, access, and powerpoint / / William Preinitz with Matthew Niedermaier |
| Autore | Preinitz William <1950-> |
| Pubbl/distr/stampa | Hoboken, New Jersey : , : John Wiley & Sons, Inc., , 2011 |
| Descrizione fisica | 1 online resource (1984 p.) |
| Disciplina |
332.015195
332.0285/5133 |
| Collana | Wiley Finance |
| Soggetto topico |
Finance - Computer simulation
Finance - Mathematical models |
| ISBN |
1-119-19984-0
0-470-92875-1 0-470-92878-6 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Cover; Series; Title Page; Copyright; Dedication; Preface; GOALS OF THE BOOK; WHAT YOU SHOULD KNOW; SETTING THE CONTEXT FOR LEARNING; THE STRUCTURE OF THE BOOK; A FISH STORY; A PERSPECTIVE ON MODELING; APPROACHING THIS MATERIAL; STYLE; A PARTING REMARK; On the Web Site; OVERVIEW; Acknowledgments; Part One: First Steps; Chapter 1: Introduction; OVERVIEW; WHY WAS THIS BOOK WRITTEN?; WHO IS THE TARGET AUDIENCE?; WHAT IS THE PURPOSE OF THE BOOK?; EXPANDING YOUR SOFTWARE SKILLS; EXPANDING YOUR MODEL DESIGN SKILLS; EXPANDING YOUR FINANCE KNOWLEDGE; ORGANIZED TO TEACH; CHAPTER ORGANIZATION
ACCOMPANYING WEB SITELEARNING THE "HARD" WAY; NOTE; Chapter 2: The Existing Model; OVERVIEW; DELIVERABLES; UNDER CONSTRUCTION; CRISIS DU JOUR; OVERVIEW OF THE CURRENT MODEL; CURRENT MODEL ENVIRONMENT; ON THE WEB SITE; Chapter 3: Conventions and Advice; OVERVIEW; DELIVERABLES; VBA CONVENTIONS; COMMON SENSE; ON THE WEB SITE; Chapter 4: Segregation of the Existing Model's Functionality; OVERVIEW; DELIVERABLES; UNDER CONSTRUCTION; DELIVERABLES CHECKLIST; BREAKING UP IS HARD TO DO; ACCOMMODATING OUR DESIGN NEEDS; ADVANTAGES OF FUNCTIONAL SEGREGATION; DISADVANTAGES OF FUNCTIONAL SEGREGATION ON THE WEB SITEChapter 5: Creating the Base Asset Model; OVERVIEW; DELIVERABLES; UNDER CONSTRUCTION; THE BIG PICTURE: "JUST THE ASSETS, MA'AM"; STEPPING THROUGH THE MODEL; TESTING THE COMPLETED BASE ASSET MODEL; ON THE WEB SITE; Chapter 6: Building the Base Liabilities Model; OVERVIEW; DELIVERABLES; UNDER CONSTRUCTION; LIABILITIES SIDE OF THE MODEL; WHAT TO LEAVE IN; STEPPING THROUGH THE MODEL; READING THE CASH FLOWS AND ASSUMPTIONS FROM A FILE; TESTING THE COMPLETED BASE LIABILITIES MODEL; ON THE WEB SITE; Chapter 7: Establishing the Model Environment; OVERVIEW; DELIVERABLES UNDER CONSTRUCTIONIMPORTANCE OF A STANDARDIZED DIRECTORY STRUCTURE; CREATING DIRECTORIES AND DEFINING THEIR FUNCTIONS; OPERATING DIRECTORIES; ADMINISTRATIVE DIRECTORIES; CREATING NEW DIRECTORIES FOR THE MODEL AS WE NEED THEM; ON THE WEB SITE; Part Two: Building the New Assets Model; Chapter 8: Designing the New Collateral Cash Flow Generator; OVERVIEW; DELIVERABLES; UNDER CONSTRUCTION; IMPROVING THE CCFG MENUS: CONVERSION TO USERFORMS; IMPROVING THE CCFG DATA-HANDLING CAPABILITIES; IMPROVING THE CCFG COLLATERAL SELECTION PROCESS; IMPROVING THE CCFG CASH FLOW GENERATION PROCESS IMPROVING THE CCFG REPORT GENERATION PROCESSIMPROVING THE CCFG MESSAGING PROCESS; ON THE WEB SITE; Chapter 9: Writing the CCFG Menus and Data Sheets; OVERVIEW; DELIVERABLES; UNDER CONSTRUCTION; MENUS AND USERFORMS; MENUS OF THE CCFG; MAIN MENU; RUN OPTIONS MENU; COLLATERAL POOL MENU; COLLATERAL GEOGRAPHIC SELECTION CRITERIA MENU; FINANCIAL SELECTION CRITERIA MENU; CASH FLOW AMORTIZATION PARAMETERS MENU; COLLATERAL REPORTS MENU; ON THE WEB SITE; Chapter 10: Writing the Collateral Data Handling Code; OVERVIEW; DELIVERABLES; UNDER CONSTRUCTION; MANAGING MULTIPLE PORTFOLIO FILES INITIAL DATA SCREENING |
| Record Nr. | UNINA-9910811579103321 |
|
Preinitz William <1950->
|
||
| Hoboken, New Jersey : , : John Wiley & Sons, Inc., , 2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Modern computational finance : scripting for derivatives and XVA / / Antoine Savine, Jesper Andreasen
| Modern computational finance : scripting for derivatives and XVA / / Antoine Savine, Jesper Andreasen |
| Autore | Savine Antoine <1970-> |
| Pubbl/distr/stampa | Hoboken, New Jersey : , : John Wiley & Sons, Incorporated, , [2022] |
| Descrizione fisica | 1 online resource (288 pages) |
| Disciplina | 332.015195 |
| Soggetto topico |
Finance - Mathematical models
Finance - Data processing Finance - Computer simulation |
| ISBN |
1-119-54081-X
1-119-54079-8 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Cover -- Title Page -- Copyright Page -- Contents -- My Life in Script by Jesper Andreasen -- Part I A Scripting Library in C++ -- Introduction -- Chapter 1 Opening Remarks -- Introduction -- 1.1 Scripting is not only for exotics -- 1.2 Scripting is for cash‐flows not payoffs -- 1.3 Simulation models -- 1.4 Pre‐processing -- 1.5 Visitors -- 1.6 Modern implementation in C++ -- 1.7 Script templates -- Chapter 2 Expression Trees -- 2.1 In theory -- 2.2 In code -- Chapter 3 Visitors -- 3.1 The visitor pattern -- 3.2 The debugger visitor -- 3.3 The variable indexer -- 3.4 Pre‐processors -- 3.5 Const visitors -- 3.6 The evaluator -- 3.7 Communicating with models -- Chapter 4 Putting Scripting Together with a Model -- 4.1 A simplistic Black‐Scholes Monte‐Carlo simulator -- 4.1.1 Random number generators -- 4.1.2 Simulation models -- 4.1.3 Simulation engines -- 4.2 Connecting the model to the scripting framework -- Chapter 5 Core Extensions and the "Pays" Keyword -- 5.1 In theory -- 5.2 In code -- Part II Basic Improvements -- Introduction -- Chapter 6 Past Evaluator -- Chapter 7 Macros -- Chapter 8 Schedules of Cash‐Flows -- Chapter 9 Support for Dates -- Chapter 10 Predefined Schedules and Functions -- Chapter 11 Support for Vectors -- 11.1 Basic functionality -- 11.2 Advanced functionality -- 11.2.1 New node types -- 11.2.2 Support in the parser -- 11.2.3 Processing -- 11.2.4 Evaluation -- Part III Advanced Improvements -- Introduction -- Chapter 12 Linear Products -- 12.1 Interest Rates and Swaps -- 12.2 Equities, Foreign Exchange, and Commodities -- 12.3 Linear Model Implementation -- Chapter 13 Fixed Income Instruments -- 13.1 Delayed payments -- 13.2 Discount factors -- 13.3 The simulated data processor -- 13.4 Indexing -- 13.5 Upgrading "pays" to support delayed payments -- 13.6 Annuities -- 13.7 Forward discount factors -- 13.8 Back to equities.
13.9 Libor and rate fixings -- 13.10 Scripts for swaps and options -- Chapter 14 Multiple Underlying Assets -- 14.1 Multiple assets -- 14.2 Multiple currencies -- Chapter 15 American Monte‐Carlo -- 15.1 Least Squares Method -- 15.2 One proxy -- 15.3 Additional regression variables -- 15.4 Feedback and exercise -- 15.5 Multiple exercise and recursion -- Part IV Fuzzy Logic and Risk Sensitivities -- Introduction -- Chapter 16 Risk Sensitivities with Monte‐Carlo -- 16.1 Risk instabilities -- 16.2 Two approaches toward a solution -- 16.3 Smoothing for digitals and barriers -- 16.4 Smoothing for scripted transactions -- Chapter 17 Support for Smoothing -- Chapter 18 An Automated Smoothing Algorithm -- 18.1 Basic algorithm -- 18.2 Nested and combined conditions -- 18.3 Affected variables -- 18.4 Further optimization -- Chapter 19 Fuzzy Logic -- Chapter 20 Condition Domains -- 20.1 Fuzzy evaluation of discrete conditions -- 20.1.1 Condition domains -- 20.1.2 Constant conditions -- 20.1.3 Boolean conditions -- 20.1.4 Binary conditions -- 20.1.5 Discrete conditions -- 20.1.6 Putting it all together -- 20.2 Identification of condition domains -- 20.3 Constant expressions -- Chapter 21 Limitations -- 21.1 Dead and alive -- 21.2 Non‐Linear use of fuzzy variables -- Chapter 22 The Smoothing Factor -- 22.1 Scripting support -- 22.2 Automatic determination -- Part V Application to xVA -- Chapter 23 xVA -- Chapter 24 Branching -- Chapter 25 Closing Remarks -- 25.1 Script examples -- 25.2 Multi‐threading and AAD -- 25.3 Advanced LSM optimizations -- Appendix A Parsing -- A.1 Preparing for parsing -- A.2 Parsing statements -- A.3 Recursively parsing conditions -- A.4 Recursively parsing expressions -- A.5 Performance -- Bibliography -- Index -- EULA. |
| Record Nr. | UNINA-9910798841203321 |
|
Savine Antoine <1970->
|
||
| Hoboken, New Jersey : , : John Wiley & Sons, Incorporated, , [2022] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Modern computational finance : scripting for derivatives and XVA / / Antoine Savine, Jesper Andreasen
| Modern computational finance : scripting for derivatives and XVA / / Antoine Savine, Jesper Andreasen |
| Autore | Savine Antoine <1970-> |
| Pubbl/distr/stampa | Hoboken, New Jersey : , : John Wiley & Sons, Incorporated, , [2022] |
| Descrizione fisica | 1 online resource (288 pages) |
| Disciplina | 332.015195 |
| Soggetto topico |
Finance - Mathematical models
Finance - Data processing Finance - Computer simulation |
| ISBN |
1-119-54081-X
1-119-54079-8 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Cover -- Title Page -- Copyright Page -- Contents -- My Life in Script by Jesper Andreasen -- Part I A Scripting Library in C++ -- Introduction -- Chapter 1 Opening Remarks -- Introduction -- 1.1 Scripting is not only for exotics -- 1.2 Scripting is for cash‐flows not payoffs -- 1.3 Simulation models -- 1.4 Pre‐processing -- 1.5 Visitors -- 1.6 Modern implementation in C++ -- 1.7 Script templates -- Chapter 2 Expression Trees -- 2.1 In theory -- 2.2 In code -- Chapter 3 Visitors -- 3.1 The visitor pattern -- 3.2 The debugger visitor -- 3.3 The variable indexer -- 3.4 Pre‐processors -- 3.5 Const visitors -- 3.6 The evaluator -- 3.7 Communicating with models -- Chapter 4 Putting Scripting Together with a Model -- 4.1 A simplistic Black‐Scholes Monte‐Carlo simulator -- 4.1.1 Random number generators -- 4.1.2 Simulation models -- 4.1.3 Simulation engines -- 4.2 Connecting the model to the scripting framework -- Chapter 5 Core Extensions and the "Pays" Keyword -- 5.1 In theory -- 5.2 In code -- Part II Basic Improvements -- Introduction -- Chapter 6 Past Evaluator -- Chapter 7 Macros -- Chapter 8 Schedules of Cash‐Flows -- Chapter 9 Support for Dates -- Chapter 10 Predefined Schedules and Functions -- Chapter 11 Support for Vectors -- 11.1 Basic functionality -- 11.2 Advanced functionality -- 11.2.1 New node types -- 11.2.2 Support in the parser -- 11.2.3 Processing -- 11.2.4 Evaluation -- Part III Advanced Improvements -- Introduction -- Chapter 12 Linear Products -- 12.1 Interest Rates and Swaps -- 12.2 Equities, Foreign Exchange, and Commodities -- 12.3 Linear Model Implementation -- Chapter 13 Fixed Income Instruments -- 13.1 Delayed payments -- 13.2 Discount factors -- 13.3 The simulated data processor -- 13.4 Indexing -- 13.5 Upgrading "pays" to support delayed payments -- 13.6 Annuities -- 13.7 Forward discount factors -- 13.8 Back to equities.
13.9 Libor and rate fixings -- 13.10 Scripts for swaps and options -- Chapter 14 Multiple Underlying Assets -- 14.1 Multiple assets -- 14.2 Multiple currencies -- Chapter 15 American Monte‐Carlo -- 15.1 Least Squares Method -- 15.2 One proxy -- 15.3 Additional regression variables -- 15.4 Feedback and exercise -- 15.5 Multiple exercise and recursion -- Part IV Fuzzy Logic and Risk Sensitivities -- Introduction -- Chapter 16 Risk Sensitivities with Monte‐Carlo -- 16.1 Risk instabilities -- 16.2 Two approaches toward a solution -- 16.3 Smoothing for digitals and barriers -- 16.4 Smoothing for scripted transactions -- Chapter 17 Support for Smoothing -- Chapter 18 An Automated Smoothing Algorithm -- 18.1 Basic algorithm -- 18.2 Nested and combined conditions -- 18.3 Affected variables -- 18.4 Further optimization -- Chapter 19 Fuzzy Logic -- Chapter 20 Condition Domains -- 20.1 Fuzzy evaluation of discrete conditions -- 20.1.1 Condition domains -- 20.1.2 Constant conditions -- 20.1.3 Boolean conditions -- 20.1.4 Binary conditions -- 20.1.5 Discrete conditions -- 20.1.6 Putting it all together -- 20.2 Identification of condition domains -- 20.3 Constant expressions -- Chapter 21 Limitations -- 21.1 Dead and alive -- 21.2 Non‐Linear use of fuzzy variables -- Chapter 22 The Smoothing Factor -- 22.1 Scripting support -- 22.2 Automatic determination -- Part V Application to xVA -- Chapter 23 xVA -- Chapter 24 Branching -- Chapter 25 Closing Remarks -- 25.1 Script examples -- 25.2 Multi‐threading and AAD -- 25.3 Advanced LSM optimizations -- Appendix A Parsing -- A.1 Preparing for parsing -- A.2 Parsing statements -- A.3 Recursively parsing conditions -- A.4 Recursively parsing expressions -- A.5 Performance -- Bibliography -- Index -- EULA. |
| Record Nr. | UNINA-9910809880203321 |
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Savine Antoine <1970->
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| Hoboken, New Jersey : , : John Wiley & Sons, Incorporated, , [2022] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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