Two Day Financial Engineering Course - hosted by Numerix
October 13-14th
New York
For More Information:Numerix University
Eligibility & Selection Process
Candidates for Numerix University courses are expected to hold an advanced degree in financial engineering, applied mathematics or an equivalent discipline, and have some professional experience working with derivatives at a financial institution or software company. While participation in Numerix courses is complimentary, applicants will be required to take a brief on-line exam.
Cost: Due to the current financial climate, we are providing this as a free service to the community.
Agenda:
IR/CC/INFL Training Agenda
Structuring and Pricing Interest Rate, Cross Currency and Inflation Derivatives
Day One
<TABLE cellSpacing=0 cellPadding=0 width=599 border=0><TBODY><TR><TD vAlign=top width=107>8:30-9:00
</TD><TD vAlign=top width=492>Coffee and Breakfast
</TD></TR><TR><TD vAlign=top width=107>9:009:15
</TD><TD vAlign=top width=492>Introduction to Numerix products
Overview of system architecture
</TD></TR><TR><TD vAlign=top width=107>9:159:30
9:30-10:00
</TD><TD vAlign=top width=492>Overview of Numerix models and methods
Numerix Excel functional interface
Introduction to Numerix object structure in Excel
Overview of Numerix structure and pricing library
</TD></TR><TR><TD vAlign=top width=107>10:00 - 10:15
</TD><TD vAlign=top width=492>Coffee Break
</TD></TR><TR><TD vAlign=top width=107>10:1512:00
</TD><TD vAlign=top width=492>Introduction to market data objects
Constructing yield curve objects and instrument objects
Stripping the yield curve from market data instruments
Walk through Numerix Market Data sheets
Pricing IR deals using analytics
</TD></TR><TR><TD vAlign=top width=107>12:001:00
</TD><TD vAlign=top width=492>Lunch break
</TD></TR><TR><TD vAlign=top width=107>1:003:00
</TD><TD vAlign=top width=492>Overview of term structure models
Constructing calibration instruments
Volatility surfaces and volatility cubes
Constructing model objects and calibrating them to instruments
</TD></TR><TR><TD vAlign=top width=107>3:00 - 3:15
</TD><TD vAlign=top width=492>Coffee Break
</TD></TR><TR><TD vAlign=top width=107>3:155:00
5:00-5:30
</TD><TD vAlign=top width=492>Overview of deal structuring for exotic deals
Case study: Pricing a Capped Floater
Events and indices
Fixing history for aged deals
Introduction to Numerix scripting language
Line by line coding of Numerix scripts
Define the payoff script for a capped floater deal
Putting everything togetherpricing and valuation of the deal
Breakeven analysis: solving for spread
Risk analysis and risk reports
Q&A
</TD></TR></TBODY></TABLE>
Day One Sessions Conclude
Day Two
<TABLE cellSpacing=0 cellPadding=0 width=599 border=0><TBODY><TR><TD vAlign=top width=107>8:309:00
</TD><TD vAlign=top width=492>Coffee and breakfast
</TD></TR><TR><TD vAlign=top width=107>9:009:15
</TD><TD vAlign=top width=492>Review of day one materials
</TD></TR><TR><TD vAlign=top width=107>9:1510:00
</TD><TD vAlign=top width=492>Understanding and using Numerix solutions library
Walk through sample IR deal templates
Using Numerix deal structuring and solution wizards
</TD></TR><TR><TD vAlign=top width=107>10:0012:00
</TD><TD vAlign=top width=492>Coffee Break
Cross Currency market data and Inflation models
Structuring and pricing and risk reports for Cross Currency deals
Case Study 2: Valuation and Pricing of a Bermudan callable CMSSpread deal
Risk analysis ( generating exercise probabilities) and risk reports
</TD></TR><TR><TD vAlign=top width=107>12:001:00
</TD><TD vAlign=top width=492>Lunch Break
</TD></TR><TR><TD vAlign=top width=107>1:003:00
</TD><TD vAlign=top width=492>Inflation market data and Inflation models
Case Study 3: Structuring and pricing an Inflation Linked Swap
</TD></TR><TR><TD vAlign=top width=107>3:003:15
</TD><TD vAlign=top width=492>Coffee Break
</TD></TR><TR><TD vAlign=top width=107>3:15-5:00
5:00-5:30
</TD><TD vAlign=top width=492>Structuring, pricing and risk analysis for Inflation deals
Case Study 3: Structuring and pricing a USD/JPY Inflation Linked Swap
Q&A
Directions for the final project
</TD></TR></TBODY></TABLE>
October 13-14th
New York
For More Information:Numerix University
Eligibility & Selection Process
Candidates for Numerix University courses are expected to hold an advanced degree in financial engineering, applied mathematics or an equivalent discipline, and have some professional experience working with derivatives at a financial institution or software company. While participation in Numerix courses is complimentary, applicants will be required to take a brief on-line exam.
Cost: Due to the current financial climate, we are providing this as a free service to the community.
Agenda:
IR/CC/INFL Training Agenda
Structuring and Pricing Interest Rate, Cross Currency and Inflation Derivatives
Day One
<TABLE cellSpacing=0 cellPadding=0 width=599 border=0><TBODY><TR><TD vAlign=top width=107>8:30-9:00
</TD><TD vAlign=top width=492>Coffee and Breakfast
</TD></TR><TR><TD vAlign=top width=107>9:009:15
</TD><TD vAlign=top width=492>Introduction to Numerix products
Overview of system architecture
</TD></TR><TR><TD vAlign=top width=107>9:159:30
9:30-10:00
</TD><TD vAlign=top width=492>Overview of Numerix models and methods
Numerix Excel functional interface
Introduction to Numerix object structure in Excel
Overview of Numerix structure and pricing library
</TD></TR><TR><TD vAlign=top width=107>10:00 - 10:15
</TD><TD vAlign=top width=492>Coffee Break
</TD></TR><TR><TD vAlign=top width=107>10:1512:00
</TD><TD vAlign=top width=492>Introduction to market data objects
Constructing yield curve objects and instrument objects
Stripping the yield curve from market data instruments
Walk through Numerix Market Data sheets
Pricing IR deals using analytics
</TD></TR><TR><TD vAlign=top width=107>12:001:00
</TD><TD vAlign=top width=492>Lunch break
</TD></TR><TR><TD vAlign=top width=107>1:003:00
</TD><TD vAlign=top width=492>Overview of term structure models
Constructing calibration instruments
Volatility surfaces and volatility cubes
Constructing model objects and calibrating them to instruments
</TD></TR><TR><TD vAlign=top width=107>3:00 - 3:15
</TD><TD vAlign=top width=492>Coffee Break
</TD></TR><TR><TD vAlign=top width=107>3:155:00
5:00-5:30
</TD><TD vAlign=top width=492>Overview of deal structuring for exotic deals
Case study: Pricing a Capped Floater
Events and indices
Fixing history for aged deals
Introduction to Numerix scripting language
Line by line coding of Numerix scripts
Define the payoff script for a capped floater deal
Putting everything togetherpricing and valuation of the deal
Breakeven analysis: solving for spread
Risk analysis and risk reports
Q&A
</TD></TR></TBODY></TABLE>
Day One Sessions Conclude
Day Two
<TABLE cellSpacing=0 cellPadding=0 width=599 border=0><TBODY><TR><TD vAlign=top width=107>8:309:00
</TD><TD vAlign=top width=492>Coffee and breakfast
</TD></TR><TR><TD vAlign=top width=107>9:009:15
</TD><TD vAlign=top width=492>Review of day one materials
</TD></TR><TR><TD vAlign=top width=107>9:1510:00
</TD><TD vAlign=top width=492>Understanding and using Numerix solutions library
Walk through sample IR deal templates
Using Numerix deal structuring and solution wizards
</TD></TR><TR><TD vAlign=top width=107>10:0012:00
</TD><TD vAlign=top width=492>Coffee Break
Cross Currency market data and Inflation models
Structuring and pricing and risk reports for Cross Currency deals
Case Study 2: Valuation and Pricing of a Bermudan callable CMSSpread deal
Risk analysis ( generating exercise probabilities) and risk reports
</TD></TR><TR><TD vAlign=top width=107>12:001:00
</TD><TD vAlign=top width=492>Lunch Break
</TD></TR><TR><TD vAlign=top width=107>1:003:00
</TD><TD vAlign=top width=492>Inflation market data and Inflation models
Case Study 3: Structuring and pricing an Inflation Linked Swap
</TD></TR><TR><TD vAlign=top width=107>3:003:15
</TD><TD vAlign=top width=492>Coffee Break
</TD></TR><TR><TD vAlign=top width=107>3:15-5:00
5:00-5:30
</TD><TD vAlign=top width=492>Structuring, pricing and risk analysis for Inflation deals
Case Study 3: Structuring and pricing a USD/JPY Inflation Linked Swap
Q&A
Directions for the final project
</TD></TR></TBODY></TABLE>
