Qcfinance.in
7th March 2014
Index
Database
 C++
 MBS / ABS / Valuation

C Concepts in
Financial
Engineering

Why shift from spreadsheet to
RDBM
Advantages
Disadvantages

Financial Engineering
Ro...
Database Concepts
in Financial
Engineering

Financial Engineering
Roles
Interview Prep
Technologies:
MATLAB
SQL
C++
XML
Ja...
C Concepts in
Financial
Engineering

Quiz:
Bubble sort method
 Storage classes in C
 Array of pointers
 Pass array elem...
Qcfinance.in

Database Concepts in
Financial Engineering

Relational

database
Joins in SQL
Entity Relation Diagram – D...
Mortgage Backed Securities
Securitization
 Pass through securities
 Pre payments
 Stripped MBS
 Non Agency MBS
 Contr...
Asset Backed Securities
Securitization
 External Credit
Enhancements
 Pre payments
 CDOs
 Synthetic CDOs
 Arbitrage C...
Valuation of ABS and MBS




YTM treasury
Zero Volatility
Option Adjusted Spread

Qcfinance.in





Bond Equivalent ...
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Computational financev2

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  • http://en.wikipedia.org/wiki/Type_conversion_in_Chttp://www.cplusplus.com/doc/tutorial/typecasting/http://en.wikipedia.org/wiki/C_dynamic_memory_allocation#Differences_between_malloc.28.29_and_calloc.28.29
  • https://www.db.com/medien/en/content/press_releases_2006_2906.htm
  • http://en.wikipedia.org/wiki/Type_conversion_in_Chttp://www.cplusplus.com/doc/tutorial/typecasting/http://en.wikipedia.org/wiki/C_dynamic_memory_allocation#Differences_between_malloc.28.29_and_calloc.28.29
  • Computational financev2

    1. 1. Qcfinance.in 7th March 2014
    2. 2. Index Database  C++  MBS / ABS / Valuation 
    3. 3. C Concepts in Financial Engineering Why shift from spreadsheet to RDBM Advantages Disadvantages Financial Engineering Roles Technologies Qcfinance.in http://www.seguetech.com/blog/2013/02/19/upgrade-spreadsheets-vs-database http://ccp.arl.arizona.edu/dthompso/sql_workshop/intro/spreadsheetdifferences.html
    4. 4. Database Concepts in Financial Engineering Financial Engineering Roles Interview Prep Technologies: MATLAB SQL C++ XML Java Qcfinance.in      Install MySQL database create and update data and its Integration with MATLAB Greeks, Securitization, Indices, etc Improve data management efficiency Capture bulk data Spreadsheets to relational database Quiz:  Relational database  ER Diagram  Joins  3NF Table
    5. 5. C Concepts in Financial Engineering Quiz: Bubble sort method  Storage classes in C  Array of pointers  Pass array elements to a function  Financial Engineering Roles Technologies Qcfinance.in
    6. 6. Qcfinance.in Database Concepts in Financial Engineering Relational database Joins in SQL Entity Relation Diagram – Data from Finance world ex Securitization Normalization: 3NF Table – Again data from Finance?
    7. 7. Mortgage Backed Securities Securitization  Pass through securities  Pre payments  Stripped MBS  Non Agency MBS  Contraction Risk & Extension Risk  Call protection from CMBS  PO and IO  Qcfinance.in   CPR SMM (monthly)) PSA standard – up till 30 post 30 months CFA Level 2 Exam Fixed Income Bonds
    8. 8. Asset Backed Securities Securitization  External Credit Enhancements  Pre payments  CDOs  Synthetic CDOs  Arbitrage CDO vs Synthetic CDIs PAC (planned amortization class)   Qcfinance.in CFA Level 2 Exam Fixed Income Bonds
    9. 9. Valuation of ABS and MBS    YTM treasury Zero Volatility Option Adjusted Spread Qcfinance.in    Bond Equivalent Yield Nominal Spread Monte Carlo Spread CFA Level 2 Exam Fixed Income Bonds
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