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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
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
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
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
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?
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
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
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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Computational financev2

  • 2. Index Database  C++  MBS / ABS / Valuation 
  • 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. 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. 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. 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. 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. 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. 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

Editor's Notes

  1. 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
  2. https://www.db.com/medien/en/content/press_releases_2006_2906.htm
  3. 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