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Derivatives Expert
Sinan Gabel Khatib
Innova Financial Solutions
Download talk material:
Derivatives Expert is a modularly built program for doing
financial analysis and
engineering with respect to many exchange and over-the-counter traded
securities and
derivatives. Derivatives Expert is written entirely in
Mathematica and can
therefore utilize all of the advantages of Mathematica. It will
be shown how easy
and clear it is to do relatively advanced financial analysis with
Derivatives Expert.
The presentation will take into account that not all in the audience
may have prior
knowledge of financial analysis and will therefore focus on showing a
few features that
are easy to follow--but which still are able to underline the
advantages of using Derivatives
Expert in finance.
Terminology will be explained as we go
along.
The cash flows, repayments, outstanding principals, and coupons will be
calculated with
respect to a number of different bonds, specifically annuity, bullet,
console, serial, and
"zero." In addition, a number of simple pricing and risk-estimation
functions will be applied. To make things a little more fun we will
recalculate some of
the examples by incorporating restrictions with respect to business
days and show the
consequences of using different day-counting conventions and
different discounting
conventions. If time permits, we can show how this applies with respect
to mortgage-backed
instruments where additional elements come into play. However,
Derivatives Expert is a
large package, and we can show only a few of its many features.
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