DOCSLIB.ORG

ORE User Guide

Total Page：16

File Type：pdf, Size：1020Kb

Download full-text PDF Read full-text
ORE User Guide ORE User Guide Quaternion Risk Management 19 June 2020 1 Document History Date Author Comment 7 October 2016 Quaternion initial release 28 April 2017 Quaternion updates for release 2 7 December 2017 Quaternion updates for release 3 20 March 2019 Quaternion updates for release 4 19 June 2020 Quaternion updates for release 5 2 Contents 1 Introduction 8 2 Release Notes 10 3 ORE Data Flow 13 4 Getting and Building ORE 14 4.1 ORE Releases ................................. 14 4.2 Building ORE ................................. 16 4.2.1 Git ................................... 16 4.2.2 Boost ................................. 16 4.2.3 ORE Libraries and Application ................... 17 4.3 Python and Jupyter ............................. 19 4.4 Building ORE-SWIG ............................. 20 5 Examples 22 5.1 Interest Rate Swap Exposure, Flat Market ................. 23 5.2 Interest Rate Swap Exposure, Realistic Market ............... 25 5.3 European Swaption Exposure ........................ 25 5.4 Bermudan Swaption Exposure ........................ 26 5.5 Callable Swap Exposure ........................... 27 5.6 Cap/Floor Exposure ............................. 28 5.7 FX Forward and FX Option Exposure ................... 29 5.8 Cross Currency Swap Exposure, without FX Reset ............ 30 5.9 Cross Currency Swap Exposure, with FX Reset .............. 30 5.10 Netting Set, Collateral, XVAs, XVA Allocation .............. 31 5.11 Basel Exposure Measures ........................... 35 5.12 Long Term Simulation with Horizon Shift ................. 35 5.13 Dynamic Initial Margin and MVA ...................... 36 5.14 Minimal Market Data Setup ......................... 37 5.15 Sensitivity Analysis, Stress Testing and Parametric Value-at-Risk .... 38 5.16 Equity Derivatives Exposure ......................... 41 5.17 Inflation Swap Exposures ........................... 42 5.18 Bonds and Amortisation Structures ..................... 43 5.19 Swaption Pricing with Smile ......................... 44 5.20 Credit Default Swap Pricing ......................... 45 5.21 CMS and CMS Cap/Floor Pricing ...................... 45 5.22 Option Sensitivity Analysis with Smile ................... 45 5.23 FRA and Average OIS Exposure ...................... 46 5.24 Commodity Forward and Option ...................... 46 5.25 CMS Spread with (Digital) Cap/Floor ................... 46 5.26 Bootstrap Consistency ............................ 47 5.27 BMA Basis Swap ............................... 47 5.28 Discount Ratio Curves ............................ 47 5.29 Curve Building using Fixed vs. Float Cross Currency Helpers ...... 48 5.30 USD-Prime Curve Building via Prime-LIBOR Basis Swap ........ 48 6 Launchers and Visualisation 49 3 6.1 Jupyter .................................... 49 6.2 Calc ...................................... 49 6.3 Excel ...................................... 50 7 Parametrisation 50 7.1 Master Input File: ore.xml ......................... 51 7.1.1 Setup ................................. 51 7.1.2 Markets ................................ 52 7.1.3 Analytics ............................... 53 7.2 Market: todaysmarket.xml ......................... 61 7.2.1 Discounting Curves .......................... 62 7.2.2 Index Curves ............................. 63 7.2.3 Yield Curves ............................. 63 7.2.4 Swap Index Curves .......................... 63 7.2.5 FX Spot ................................ 64 7.2.6 FX Volatilities ............................ 64 7.2.7 Swaption Volatilities ......................... 65 7.2.8 Cap/Floor Volatilities ........................ 65 7.2.9 Default Curves ............................ 66 7.2.10 Securities ............................... 66 7.2.11 Equity Curves ............................. 66 7.2.12 Equity Volatilities ........................... 67 7.2.13 Inflation Index Curves ........................ 67 7.2.14 Inflation Cap/Floor Volatility Surfaces ............... 68 7.2.15 CDS Volatility Structures ...................... 68 7.2.16 Base Correlation Structures ..................... 69 7.2.17 Correlation Structures ........................ 69 7.2.18 Market Configurations ........................ 69 7.3 Pricing Engines: pricingengine.xml .................... 70 7.4 Simulation: simulation.xml ........................ 74 7.4.1 Parameters .............................. 74 7.4.2 Model ................................. 75 7.4.3 Market ................................. 81 7.5 Sensitivity Analysis: sensitivity.xml ................... 84 7.6 Stress Scenario Analysis: stressconfig.xml ................ 87 7.7 Calendar Adjustment: calendaradjustment.xml ............. 88 7.8 Curves: curveconfig.xml .......................... 89 7.8.1 Yield Curves ............................. 90 7.8.2 Default Curves ............................ 98 7.8.3 Swaption Volatility Structures .................... 99 7.8.4 Cap Floor Volatility Structures ................... 101 7.8.5 FX Volatility Structures ....................... 110 7.8.6 Equity Curve Structures ....................... 111 7.8.7 Equity Volatility Structures ..................... 112 7.8.8 Inflation Curves ............................ 115 7.8.9 Inflation Cap/Floor Volatility Surfaces ............... 117 7.8.10 CDS Volatilities ............................ 118 7.8.11 Base Correlations ........................... 123 7.8.12 FXSpots ................................ 123 4 7.8.13 Securities ............................... 124 7.8.14 Correlations .............................. 124 7.8.15 Commodity Curves .......................... 125 7.8.16 Bootstrap Configuration ....................... 127 7.9 Reference Data referencedata.xml .................... 130 7.10 Conventions: conventions.xml ....................... 132 7.10.1 Zero Conventions ........................... 132 7.10.2 Deposit Conventions ......................... 133 7.10.3 Future Conventions .......................... 134 7.10.4 FRA Conventions ........................... 134 7.10.5 OIS Conventions ........................... 134 7.10.6 Swap Conventions ........................... 135 7.10.7 Average OIS Conventions ...................... 136 7.10.8 Tenor Basis Swap Conventions .................... 137 7.10.9 Tenor Basis Two Swap Conventions ................. 138 7.10.10 FX Conventions ............................ 139 7.10.11 Cross Currency Basis Swap Conventions .............. 140 7.10.12 Inflation Conventions ......................... 141 7.10.13 CMS Spread Option Conventions .................. 141 7.10.14 Ibor Index Conventions ........................ 142 7.10.15 Overnight Index Conventions .................... 143 7.10.16 Swap Index Conventions ....................... 144 7.10.17 FX Option Conventions ....................... 144 7.10.18 Commodity Forward Conventions .................. 144 7.10.19 Commodity Future Conventions ................... 146 8 Trade Data 149 8.1 Envelope .................................... 150 8.2 Trade Specific Data .............................. 151 8.2.1 Swap .................................. 151 8.2.2 Zero Coupon Swap .......................... 151 8.2.3 Cap/Floor ............................... 152 8.2.4 Forward Rate Agreement ....................... 153 8.2.5 Swaption ................................ 154 8.2.6 FX Forward .............................. 155 8.2.7 FX Swap ............................... 156 8.2.8 FX Option ............................... 157 8.2.9 Equity Option ............................. 158 8.2.10 Equity Forward ............................ 159 8.2.11 Equity Swap .............................. 160 8.2.12 CPI Swap ............................... 161 8.2.13 Year on Year Inflation Swap ..................... 162 8.2.14 Bond .................................. 162 8.2.15 Forward Bond ............................. 164 8.2.16 Credit Default Swap ......................... 166 8.2.17 Commodity Option .......................... 168 8.2.18 Commodity Forward ......................... 169 8.3 Trade Components .............................. 170 8.3.1 Option Data .............................. 170 5 8.3.2 Leg Data and Notionals ....................... 176 8.3.3 Schedule Data (Rules and Dates) .................. 179 8.3.4 Fixed Leg Data and Rates ...................... 183 8.3.5 Floating Leg Data, Spreads, Gearings, Caps and Floors ...... 184 8.3.6 Leg Data with Amortisation Structures ............... 189 8.3.7 Indexings ............................... 190 8.3.8 CMS Leg Data ............................ 194 8.3.9 CMS Spread Leg Data ........................ 195 8.3.10 Digital CMS Spread Leg Data .................... 196 8.3.11 Equity Leg Data ........................... 198 8.3.12 CPI Leg Data ............................. 202 8.3.13 YY Leg Data ............................. 205 8.3.14 ZeroCouponFixed Leg Data ..................... 207 8.3.15 CDS Reference Information ..................... 208 8.3.16 Underlying .............................. 209 8.4 Allowable Values for Standard Trade Data ................. 213 9 Netting Set Definitions 220 9.1 Uncollateralised Netting Set ......................... 220 9.2 Collateralised Netting Set .......................... 220 10 Market Data 224 10.1 Zero Rate ................................... 225 10.2 Discount Factor ................................ 226 10.3 FX Spot Rate ................................. 226 10.4 FX Forward Rate ............................... 227 10.5 Deposit Rate ................................. 227 10.6 FRA Rate ................................... 228 10.7 Money Market Futures Price ......................... 229 10.8 Overnight Index
Load more

Recommended publications
  • On the Optionality and Fairness of Atomic Swaps
    On the optionality and fairness of Atomic Swaps Runchao Han Haoyu Lin Jiangshan Yu Monash University and CSIRO-Data61 [email protected] Monash University [email protected] [email protected] ABSTRACT happened on centralised exchanges. To date, the DEX market volume Atomic Swap enables two parties to atomically exchange their own has reached approximately 50,000 ETH [2]. More specifically, there cryptocurrencies without trusted third parties. This paper provides are more than 250 DEXes [3], more than 30 DEX protocols [4], and the first quantitative analysis on the fairness of the Atomic Swap more than 4,000 active traders in all DEXes [2]. protocol, and proposes the first fair Atomic Swap protocol with However, being atomic does not indicate the Atomic Swap is fair. implementations. In an Atomic Swap, the swap initiator can decide whether to proceed In particular, we model the Atomic Swap as the American Call or abort the swap, and the default maximum time for him to decide is Option, and prove that an Atomic Swap is equivalent to an Amer- 24 hours [5]. This enables the the swap initiator to speculate without ican Call Option without the premium. Thus, the Atomic Swap is any penalty. More specifically, the swap initiator can keep waiting unfair to the swap participant. Then, we quantify the fairness of before the timelock expires. If the price of the swap participant’s the Atomic Swap and compare it with that of conventional financial asset rises, the swap initiator will proceed the swap so that he will assets (stocks and fiat currencies).
    [Show full text]
  • The Reposit Project
    The Reposit Project An Improved Solution For Autogenerating QuantLibXL Source Code Father Guido Sarducci's Five Minute University In five minutes, you learn what the average college graduate remembers five years after he or she is out of school. https://www.youtube.com/watch?v=kO8x8eoU3L4 • Replace the gensrc Python script with the Reposit Project reposit SWIG module Five Second • QuantLibAddin object wrapper code autogenerated not handwritten University: • Objective: Export all of QuantLib to Excel 2 Reposit Project Website http://www.quantlib.org/reposit 3 Documentation http://quantlib.org/reposit/documentation.html Documentation for the Reposit project. docs/ObjectHandler-docs-1.5.0-html/index.html Documentation for the ObjectHandler repository. docs/swig/Reposit.html Documentation for the SWIG module. 4 Overview ObjectHandler ObjectHandler • Object repository namespace ObjectHandler { • Object base class map<string, Object*> repository; QuantLibObjects class Object • Classes which inherit from { /*...*/}; Object and wrap QuantLib template <class T> • Native support for serialization class LibraryObject : public Object { /*...*/}; QuantLibAddin } • Functional interface which exports QuantLibObjects to inheritance QuantLib QuantLibObjects target platforms (C++, Excel) namespace QuantLib { namespace QuantLibObjects { class Instrument composition class Instrument : gensrc (deprecated) { /*...*/}; public ObjectHandler::LibraryObject • autogenerates addin source <QuantLib::Instrument> { /*...*/}; code composition SWIG reposit module class
    [Show full text]
  • OPTION-BASED EQUITY STRATEGIES Roberto Obregon
    MEKETA INVESTMENT GROUP BOSTON MA CHICAGO IL MIAMI FL PORTLAND OR SAN DIEGO CA LONDON UK OPTION-BASED EQUITY STRATEGIES Roberto Obregon MEKETA INVESTMENT GROUP 100 Lowder Brook Drive, Suite 1100 Westwood, MA 02090 meketagroup.com February 2018 MEKETA INVESTMENT GROUP 100 LOWDER BROOK DRIVE SUITE 1100 WESTWOOD MA 02090 781 471 3500 fax 781 471 3411 www.meketagroup.com MEKETA INVESTMENT GROUP OPTION-BASED EQUITY STRATEGIES ABSTRACT Options are derivatives contracts that provide investors the flexibility of constructing expected payoffs for their investment strategies. Option-based equity strategies incorporate the use of options with long positions in equities to achieve objectives such as drawdown protection and higher income. While the range of strategies available is wide, most strategies can be classified as insurance buying (net long options/volatility) or insurance selling (net short options/volatility). The existence of the Volatility Risk Premium, a market anomaly that causes put options to be overpriced relative to what an efficient pricing model expects, has led to an empirical outperformance of insurance selling strategies relative to insurance buying strategies. This paper explores whether, and to what extent, option-based equity strategies should be considered within the long-only equity investing toolkit, given that equity risk is still the main driver of returns for most of these strategies. It is important to note that while option-based strategies seek to design favorable payoffs, all such strategies involve trade-offs between expected payoffs and cost. BACKGROUND Options are derivatives1 contracts that give the holder the right, but not the obligation, to buy or sell an asset at a given point in time and at a pre-determined price.
    [Show full text]
  • Global Energy Markets & Pricing
    11-FEB-20 GLOBAL ENERGY MARKETS & PRICING www.energytraining.ae 21 - 25 Sep 2020, London GLOBAL ENERGY MARKETS & PRICING INTRODUCTION OBJECTIVES This 5-day accelerated Global Energy Markets & Pricing training By the end of this training course, the participants will be course is designed to give delegates a comprehensive picture able to: of the global energy obtained through fossil fuels and renewal sources. The overall dynamics of global energy industry are • Gain broad perspective of global oil and refined explained with the supply-demand dynamics of fossil fuels, products sales business, supply, transportation, refining, their price volatility, and the associated geopolitics. marketing & trading • Boost their understanding on the fundamentals of oil The energy sources include crude oil, natural gas, LNG, refined business: quality, blending & valuation of crude oil for products, and renewables – solar, wind, hydro, and nuclear trade, freight and netback calculations, refinery margins energy. The focus on the issues to be considered on the calculations, & vessel chartering sales, marketing, trading and special focus on the price risk • Master the Total barrel economics, Oil market futures, management. hedging and futures, and price risk management • Evaluate the technical, commercial, legal and trading In this training course, the participants will gain the aspects of oil business with the International, US, UK, technical knowledge and business acumen on the key and Singapore regulations subjects: • Confidently discuss the technical,
    [Show full text]
  • Options Strategy Guide for Metals Products As the World’S Largest and Most Diverse Derivatives Marketplace, CME Group Is Where the World Comes to Manage Risk
    metals products Options Strategy Guide for Metals Products As the world’s largest and most diverse derivatives marketplace, CME Group is where the world comes to manage risk. CME Group exchanges – CME, CBOT, NYMEX and COMEX – offer the widest range of global benchmark products across all major asset classes, including futures and options based on interest rates, equity indexes, foreign exchange, energy, agricultural commodities, metals, weather and real estate. CME Group brings buyers and sellers together through its CME Globex electronic trading platform and its trading facilities in New York and Chicago. CME Group also operates CME Clearing, one of the largest central counterparty clearing services in the world, which provides clearing and settlement services for exchange-traded contracts, as well as for over-the-counter derivatives transactions through CME ClearPort. These products and services ensure that businesses everywhere can substantially mitigate counterparty credit risk in both listed and over-the-counter derivatives markets. Options Strategy Guide for Metals Products The Metals Risk Management Marketplace Because metals markets are highly responsive to overarching global economic The hypothetical trades that follow look at market position, market objective, and geopolitical influences, they present a unique risk management tool profit/loss potential, deltas and other information associated with the 12 for commercial and institutional firms as well as a unique, exciting and strategies. The trading examples use our Gold, Silver
    [Show full text]
  • Analysis of the Trading Book Hypothetical Portfolio Exercise
    Basel Committee on Banking Supervision Analysis of the trading book hypothetical portfolio exercise September 2014 This publication is available on the BIS website (www.bis.org). Grey underlined text in this publication shows where hyperlinks are available in the electronic version. © Bank for International Settlements 2014. All rights reserved. Brief excerpts may be reproduced or translated provided the source is stated. ISBN 978-92-9131-662-5 (print) ISBN 978-92-9131-668-7 (online) Contents Executive summary ........................................................................................................................................................................... 1 1. Hypothetical portfolio exercise description ......................................................................................................... 4 2. Coverage statistics .......................................................................................................................................................... 5 3. Key findings ....................................................................................................................................................................... 5 4. Technical background ................................................................................................................................................... 6 4.1 Data quality .............................................................................................................................................................
    [Show full text]
  • American Style Stock Options
    AMERICAN STYLE OPTIONS ON EQUITY - CONTRACT SPECIFICATIONS – 100 SHARES OPTION STYLE American style, which can be exercised at any time. UNDERLYING Well-capitalized equity securities. INSTRUMENT CONTRACT SIZE Apart from exceptions or temporary adjustments for corporate actions, an equity option contract generally relates to 100 shares of the underlying equity security. The Contract Value is equal to the quoted option price in Euro multiplied by the number of underlying shares. MINIMUM The tick size of the premium quotation is equal to € 0.01 (€ 1 per contract). PRICE MOVEMENT (TICK SIZE AND VALUE) EXPIRY Euronext Paris will publish a list with the number of maturities listed per option class. The MONTHS option classes will be divided in 4 different groups. ■ Group I: 3 monthly, the following 3 quarterly, the following 4 half yearly and the following 2 yearly maturities are opened. Cycle Expiry Months Cycle Lifetime (Months) Monthly Every Month 1; 2; 3 Quarterly March, June, September, December 6; 9; 12 GROUP 1 Half-Yearly June, December 18; 24; 30; 36 Yearly December 48; 60 ■ Group II: 3 monthly, the following 3 quarterly and the following 2 half yearly maturities are opened. Cycle Expiry Months Cycle Lifetime (Months) Monthly Every Month 1; 2; 3 Quarterly March, June, September, December 6; 9; 12 GROUP 2 Half-Yearly June, December 18; 24 ■ Group III: 3 monthly and the following 3 quarterly maturities are opened. 3 Cycle Expiry Months Cycle Lifetime (Months) Monthly Every Month 1; 2; 3 GROUP Quarterly March, June, September, December 6; 9; 12 www.euronext.com AMERICAN STYLE OPTIONS ON EQUITY - CONTRACT SPECIFICATIONS – 100 SHARES ■ Group IV: 4 quarterly maturities are opened.
    [Show full text]
  • Quantlib Cython Wrapper Documentation Release 0.1.1
    Quantlib cython wrapper Documentation Release 0.1.1 Didrik Pinte & Patrick Hénaff Aug 30, 2018 Contents 1 Getting started 3 1.1 PyQL - an overview...........................................3 1.2 Building and installing PyQL......................................4 1.3 Installation from source.........................................4 1.4 Installation from source on Windows..................................5 2 Tutorial 9 3 User’s guide 11 3.1 Business dates.............................................. 11 3.2 Reference................................................. 15 3.3 Mlab................................................... 16 3.4 Notebooks................................................ 17 4 Reference guide 19 4.1 Reference documentation for the quantlib package......................... 19 4.2 How to wrap QuantLib classes with cython............................... 21 5 Roadmap 25 6 Documentation 27 7 Indices and tables 29 Python Module Index 31 i ii Quantlib cython wrapper Documentation, Release 0.1.1 Contents: Contents 1 Quantlib cython wrapper Documentation, Release 0.1.1 2 Contents CHAPTER 1 Getting started 1.1 PyQL - an overview Why building a new set of QuantLib wrappers for Python? The SWIG wrappers provide a very good coverage of the library but have a number of pain points: • Few Pythonic optimisations in the syntax: the python code for invoking QuantLib functions looks like the C++ version; • No docstring or function signature are available on the Python side; • The debugging is complex, and any customization of the wrapper involves complex programming; • The build process is monolithic: any change to the wrapper requires the recompilation of the entire project; • Complete loss of the C++ code organisation with a flat namespace in Python; • SWIG typemaps development is not that fun. For those reasons, and to have the ability to expose some of the QuantLib internals that could be very useful on the Python side, we chose another road.
    [Show full text]
  • Dr. Sebastian Schlenkrich Institut Für Mathematik Bereich Stochastik
    Dr. Sebastian Schlenkrich Institut für Mathematik Bereich Stochastik November 13, 2020 Interest Rate Modelling and Derivative Pricing, WS 2020/21 Exercise 1 1. Preliminaries Exercises will comprise in large parts setting up, extending and modifying Python scripts. We will also use the open source QuantLib financial library which facilitates many financial modelling tasks. You will need a Python environment with the QuantLib package included. We will demonstrate the examples with Anaconda Python and Visual Studio Code IDE and Jupyter .1 A Python environment with QuantLib (and some other useful packages) can be set up along the following steps (a) Download and install Anaconda Python 3.x from www.anaconda.com/download/. The Vi- sual Studio Code IDE comes with the Anaconda installer. Jupyter Notebook also comes with Anaconda. (b) Set up a Python 3.7 environment in Anaconda Navigator > Environments > Create (c) Select the new Python 3.7 environment, run ’Open Terminal’ and install the packages Pandas, Matplotlib and QuantLib: pip install pandas pip install numpy pip install scipy pip install matplotlib pip install QuantLib (d) Test Python environment and QuantLib: Launch Visual Studio Code from Anaconda Nav- igator > Home (make sure your Python 3.6 environment is still selected). Select a working directory via File > Open Folder. Create a new file test.py. Include Python script import pandas as pd import matplotlib.pyplot as plt import QuantLib as ql d = ql.Settings.getEvaluationDate(ql.Settings.instance()) print(d) Execute the script via right click on test.py and ’Run Python File in Terminal’. You should see a terminal output like November 13th, 2020 (e) Python/QuantLib examples will be provided via GitHub at https://github.com/sschlenkrich/QuantLibPython.
    [Show full text]
  • Rquantlib: Interfacing Quantlib from R R / Finance 2010 Presentation
    QuantLib RQuantLib Fixed Income Summary RQuantLib: Interfacing QuantLib from R R / Finance 2010 Presentation Dirk Eddelbuettel1 Khanh Nguyen2 1Debian Project 2UMASS at Boston R / Finance 2010 April 16 and 17, 2010 Chicago, IL, USA Eddelbuettel and Nguyen RQuantLib QuantLib RQuantLib Fixed Income Summary Overview Architecture Examples Outline 1 QuantLib Overview Timeline Architecture Examples 2 RQuantLib Overview Key components Examples 3 Fixed Income Overview and development Examples 4 Summary Eddelbuettel and Nguyen RQuantLib The initial QuantLib release was 0.1.1 in Nov 2000 The first Debian QuantLib package was prepared in May 2001 Boost has been a QuantLib requirement since July 2004 The long awaited QuantLib 1.0.0 release appeared in Feb 2010 QuantLib RQuantLib Fixed Income Summary Overview Architecture Examples QuantLib releases Showing the growth of QuantLib over time Growth of QuantLib code over its initial decade: From version 0.1.1 in Nov 2000 to 1.0 in Feb 2010 0.1.1 0.1.9 0.2.0 0.2.1 0.3.0 0.3.1 0.3.3 0.3.4 0.3.5 0.3.7 0.3.8 0.3.9 0.3.10 0.3.11 0.3.12 0.3.13 0.3.14 0.4.0 0.8.0 0.9.0 0.9.5 0.9.7 0.9.9 1.0 ● ● 3.60 3.5 ● 3.40 ● 3.0 ● 3.00 2.5 ● 2.10 2.0 ● ● 1.90 ● ● 1.70 ● 1.60 1.5 ● ● ● 1.50 Release size in mb Release size ● 1.40 ● ● 1.20 ● 1.10 1.0 ● 0.83 ● 0.73 ● ● 0.61 0.5 0.55 ● 0.29 ● 0.10 0.0 2002 2004 2006 2008 2010 Eddelbuettel and Nguyen RQuantLib The first Debian QuantLib package was prepared in May 2001 Boost has been a QuantLib requirement since July 2004 The long awaited QuantLib 1.0.0 release appeared in Feb 2010
    [Show full text]
  • 1. BGC Derivative Markets, L.P. Contract Specifications
    1. BGC Derivative Markets, L.P. Contract Specifications ......................................................................................................................................2 1.1 Product Descriptions ..................................................................................................................................................................................2 1.1.1 Mandatorily Cleared CEA 2(h)(1) Products as of 2nd October 2013 .............................................................................................2 1.1.2 Made Available to Trade CEA 2(h)(8) Products ..............................................................................................................................5 1.1.3 Interest Rate Swaps .........................................................................................................................................................................7 1.1.4 Commodities.....................................................................................................................................................................................27 1.1.5 Credit Derivatives .............................................................................................................................................................................30 1.1.6 Equity Derivatives .............................................................................................................................................................................37 1.1.6.1 Equity Index
    [Show full text]
  • Interest Rate Models
    Interest Rate Models Marco Marchioro www.marchioro.org October 6th, 2012 Advanced Derivatives, Interest Rate Models 2011, 2012 c Marco Marchioro Introduction to exotic derivatives 1 Details • Universit`adegli Studi di Milano-Bicocca • Facolt`adi Economia • Corso di laurea Magistrale in Economia e Finanza • Curriculum: Asset and Risk Management • Class: Advanced Derivatives • Module: Interest-Rate Models Advanced Derivatives, Interest Rate Models 2011, 2012 c Marco Marchioro Introduction to exotic derivatives 2 Lecture details • Every Saturday from October 1st to December 17th (2011) • From 8:45 am to 11:30am (15 mins break) • Usually in room U16-12 • Teaching-assistant sessions: not present, however, refer to Edit Rroji • Official class language: English (Italian also available if all stu- dents agree) Advanced Derivatives, Interest Rate Models 2011, 2012 c Marco Marchioro Introduction to exotic derivatives 3 Syllabus (1/2) Introduction • Introduction to exotic derivatives Interest rate derivatives • Linear interest-rate derivatives • Bootstrap of interest-rate term structures • Options on interest rates, caps/floors, and swaptions • Basic interest-rate models • Advanced interest-rate models • Libor Market Model Advanced Derivatives, Interest Rate Models 2011, 2012 c Marco Marchioro Introduction to exotic derivatives 4 Syllabus (2/2) Credit derivatives • Introduction to credit derivatives • Instruments with embedded credit risk Current topics • Crisis of 2007: multi-curve bootstrapping Advanced Derivatives, Interest Rate Models 2011, 2012
    [Show full text]