Modern Computational Finance: Scripting for Derivatives and xVA

288 Pages·2021·3.028 MB·English

by  Antoine Savine, Jesper Andreasen

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Modern
Computational
Finance
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Modern
Computational
Finance
Scripting for Derivatives and xVA
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ANTOINE SAVINE AND
JESPER ANDREASEN
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LibraryofCongressCataloging-in-PublicationData
Names:AntoineSavine,author.|JesperAndreasen,1970–author.
Title:Moderncomputationalfinance:scriptingforderivativesandXVA/
AntoineSavineandJesperAndreasen.
Description:Hoboken,NewJersey:JohnWiley&Sons,Inc.,[2022]|
Includesbibliographicalreferences.
Identifiers:LCCN2021036994(print)|LCCN2021036995(ebook)|ISBN
9781119540786(hardback)|ISBN9781119540816(adobepdf)|ISBN
9781119540793(epub)
Subjects:LCSH:Finance—Mathematicalmodels.|Finance—Computer
simulation.|Finance—Dataprocessing.
Classification:LCCHG106.A5562022(print)|LCCHG106(ebook)|DDC
332.01/5195—dc23
LCrecordavailableathttps://lccn.loc.gov/2021036994
LCebookrecordavailableathttps://lccn.loc.gov/2021036995
CoverDesign:Wiley
CoverImage:©kentarcajuan/GettyImages
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Contents
MyLifeinScriptbyJesperAndreasen xi
PART I
AScriptingLibraryinC++
Introduction 3
CHAPTER1
OpeningRemarks 7
Introduction 7
(cid:2) 1.1 Scriptingisnotonlyforexotics 12 (cid:2)
1.2 Scriptingisforcash-flowsnotpayoffs 13
1.3 Simulationmodels 15
1.4 Pre-processing 17
1.5 Visitors 19
1.6 ModernimplementationinC++ 21
1.7 Scripttemplates 22
CHAPTER2
ExpressionTrees 25
2.1 Intheory 25
2.2 Incode 35
CHAPTER3
Visitors 41
3.1 Thevisitorpattern 41
3.2 Thedebuggervisitor 47
3.3 Thevariableindexer 50
3.4 Pre-processors 54
v
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vi CONTENTS
3.5 Constvisitors 55
3.6 Theevaluator 57
3.7 Communicatingwithmodels 65
CHAPTER4
PuttingScriptingTogetherwithaModel 71
4.1 AsimplisticBlack-ScholesMonte-Carlosimulator 71
4.1.1 Randomnumbergenerators 71
4.1.2 Simulationmodels 73
4.1.3 Simulationengines 76
4.2 Connectingthemodeltothescriptingframework 76
CHAPTER5
CoreExtensionsandthe“Pays”Keyword 81
5.1 Intheory 81
5.2 Incode 83
PART II
BasicImprovements
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Introduction 93
CHAPTER6
PastEvaluator 95
CHAPTER7
Macros 97
CHAPTER8
SchedulesofCash-Flows 99
CHAPTER9
SupportforDates 105
CHAPTER10
PredefinedSchedulesandFunctions 109
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Contents vii
CHAPTER11
SupportforVectors 113
11.1 Basicfunctionality 113
11.2 Advancedfunctionality 115
11.2.1 Newnodetypes 116
11.2.2 Supportintheparser 116
11.2.3 Processing 117
11.2.4 Evaluation 117
PART III
AdvancedImprovements
Introduction 121
CHAPTER12
LinearProducts 123
12.1 Interestratesandswaps 123
12.2 Equities,foreignexchange,andcommodities 125
12.3 Linearmodelimplementation 126
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CHAPTER13
FixedIncomeInstruments 127
13.1 Delayedpayments 127
13.2 Discountfactors 128
13.3 Thesimulateddataprocessor 129
13.4 Indexing 129
13.5 Upgrading“pays”tosupportdelayedpayments 131
13.6 Annuities 132
13.7 Forwarddiscountfactors 132
13.8 Backtoequities 132
13.9 Liborandratefixings 133
13.10 Scriptsforswapsandoptions 134
CHAPTER14
MultipleUnderlyingAssets 137
14.1 Multipleassets 137
14.2 Multiplecurrencies 139
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viii CONTENTS
CHAPTER15
AmericanMonte-Carlo 143
15.1 LeastSquaresMethod 143
15.2 Oneproxy 147
15.3 Additionalregressionvariables 149
15.4 Feedbackandexercise 149
15.5 Multipleexerciseandrecursion 152
PART IV
FuzzyLogicandRiskSensitivities
Introduction 157
CHAPTER16
RiskSensitivitieswithMonte-Carlo 161
16.1 Riskinstabilities 161
16.2 Twoapproachestowardasolution 165
16.3 Smoothingfordigitalsandbarriers 166
16.4 Smoothingforscriptedtransactions 168
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CHAPTER17
SupportforSmoothing 169
CHAPTER18
AnAutomatedSmoothingAlgorithm 175
18.1 Basicalgorithm 176
18.2 Nestedandcombinedconditions 179
18.3 Affectedvariables 179
18.4 Furtheroptimization 180
CHAPTER19
FuzzyLogic 183
CHAPTER20
ConditionDomains 189
20.1 Fuzzyevaluationofdiscreteconditions 189
20.1.1 Conditiondomains 189
20.1.2 Constantconditions 190
20.1.3 Booleanconditions 191
20.1.4 Binaryconditions 193
20.1.5 Discreteconditions 193
20.1.6 Puttingitalltogether 197
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