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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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