This course will be taught by a veteran Wall St. technology manager currently employed at a top tier investment bank. The theme of this course will be “applied case study” and will focus on Fixed Income markets. The semester will begin with a big-picture view of the markets, the inner workings of an investment bank, the market players, and where software engineers fit in. The students will be grouped into small teams to build a financial application using practical software engineering principles.
It is assumed that the students can code in C++ or C for the server side. Students can choose the language/framework for the client side.
No prior experince in the financial
sector is required - just a desire to learn it.
Execution speed & size
Final Presentation - Each
group will demo their application and present design rationale
||Capital Markets - Fixed Income
Market players, where are technology dollars spent?
Reading assignments, objectives of course
|Set up development environment,
build test case handler
|| Financial instruments
|Yield-to-price calculator||ytm_sheet.xls ytm_sheet_closed_formula.xls NYU_class3.ppt||SBB_io.h SBB_io.cc data.txt||SBB_date.h SBB_date.cc|
||Basic Fixed Income Products –
the “bullet” bond
Yield to Maturity formula - Price/Yield
|General YTM formula, coupon bearing and discount type (e.g., "Zero" or "STRIP") implementation||NYU_class4.ppt NYU_class5.ppt||tradingbook.txt yieldcurve.txt||run.sh|
||Basic Fixed Income Products –
the “bullet” bond (continued)|
Yield to Maturity formula - Price/Yield continued
|Pricing off our yield curve. Performing scenarios by shocking our yield curve, credit ratings.|| Building the onion – start
with simple, fast, separately testable classes libraries||Mid-term submission specification NYU_class6.ppt||SBB_ratings.h SBB_ratings.cc|
||Pricing off our yield curve. Performing scenarios by shocking our yield curve, credit ratings.||
Columbus Day - 10/11
||Risk Types Review. Historical VaR, Stress Testing, Questions a Risk Manager might ask...
Financial object oriented examples
|mid term submission - expected output: results.txt tradingbook.txt||NYU_class7.ppt||results.txt tradingbook.txt|
||Requirements of Final Project continued. Sserver side enhancements||SBB_lecture9.ppt||finalGUI_reqsV2.xls||SBB_util.cc SBB_util.h|
||Variations of VaR. Total Market Risk Framework, server-side recovery - SERVER SUBMISSION 1 of 2||
Server submission 1 of 2 due
SBB_lecture9.ppt - (lecture 9 cont)...
||Attribution of VaR risk factors ...|| |
Server-side (2 of 2) submission specification
SBB_0011.txt SBB_0012.txt README
||Risk management methodologies - how we apply what we built to total risk|
Drill down on historical VaR application and implementation. - IO .h/.cc files to be used to load historical data file (SBB_0001.txt)
Quiz 3 of 3 (Nov 22)
||Market Risk measurement
PnL attribution, Value at Risk (VaR), Stress Testing, Notional exposure
Review of VaR methodolgy focusing on VaR attribution - Interest Rate vs Credit Spread
Server submission 2 of 2 - grade total Amount and LGD change only - grade VaR (total, ir and cs) submitted next week (nov 29)
Results detail for 1 security (SBB_0011) to check the pnl vector calculation. There is one row per day with intermediate results showing the daily pnl calculation...
|14||Summary of Risk Management Principles and how our app helps us measure and manage risk||
Visualization of risk. Server side submission to check numbers. Final (GUI demo) next week!