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FA107: AEF: User-defined Monte Carlo Engine
Duration of course:
1 day
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Please note that the ARENA User-defined Monte Carlo Engine is not a standard part of FRONT ARENA but requires an additional license. Please contact your account manager for details.
Certification is available, see AEF Advanced Certification. |
Define custom pay-off expressions for exotics!
The User-defined Monte Carlo (UDMC) Engine allows users to price new contracts with a minimum of effort. The contract pay-off is entered in a high level language which is evaluated by a fast C++ Monte Carlo Engine. The main features are:
- Input-data at your finger tips, such as real-time yield curves, volatility data, dividends etc.
- A growing library with built-in pay-off expressions available out-of-the-box.
- Powerful language that enables users to customise pay-off patterns.
- Flexible scenario and what-if analysis to stress test the pricing and risk figures
This course will show you how to:
- Represent new valuation parameters specific to the new contract in the data model and in the valuation trees
- Create a pay-off expression in PEL (Pay-off expression language)
- Work with matrixes and vectors to speed up calculations
- Map the new valuation to instruments and specify its properties such as event discretion steps and methods
Goal of the course
After completing the course the attendees should be able to quickly set up valuation of completely new contracts using the UDMC Engine.
Target audience
Anyone responsible for developing and setting valuation of completely new contracts using the UDMC Engine, and incorporating them into the FRONT ARENA financial calculations, particularly:
- Quantitive Analysts
- Application Managers
- Developers
Participants must be employed by a Customer of SunGard FRONT ARENA or an Authorised FRONT ARENA Partner.
Required knowledge level
Participants should be AEF Base Certified.
Participants should have a thorough knowledge of the following:
- C/C++ programming knowledge
- Experience of working with PRIME
Course availability
Course catalogue: Front Arena
| Starts |
Ends |
Course title |
Course code |
City |
Price
(EUR) |
29 Sep 2010
09:00 |
29 Sep 2010
17:00 |
AEF: User-defined Monte Carlo Engine
|
SU-FA107 |
Frankfurt
|
625 |
27 Oct 2010
09:00 |
27 Oct 2010
17:00 |
AEF: User-defined Monte Carlo Engine
|
SU-FA107 |
Zürich
|
820 |
25 Nov 2010
09:00 |
25 Nov 2010
17:00 |
AEF: User-defined Monte Carlo Engine
|
SU-FA107 |
Stockholm
|
625 |
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