1 / 2

Notes for Final Submission

Notes for Final Submission. Use new history files and tradingbook files posted up on site in a .tar file Solve for the index into the PnL vector given confidence interval (99) Market Value = Amount * price/100. Total Market Value is sum of individual market values Hedge Calculation:

manning
Download Presentation

Notes for Final Submission

An Image/Link below is provided (as is) to download presentation Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author. Content is provided to you AS IS for your information and personal use only. Download presentation by click this link. While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server. During download, if you can't get a presentation, the file might be deleted by the publisher.

E N D

Presentation Transcript


  1. Notes for Final Submission • Use new history files and tradingbook files posted up on site in a .tar file • Solve for the index into the PnL vector given confidence interval (99) • Market Value = Amount * price/100. Total Market Value is sum of individual market values • Hedge Calculation: • We will always use the 2 year treasury as our hedge instrument • For the total risk of a particular maturity bucket we want to know how to hedge that risk so that we are immune to market changes (specifically interest rate changes) • dv01 * Amount = dv01 * Amount • Risk = dv01 * Amount • dv01 * Amount = Risk • Amount = Risk / dv01 • Risk is the total risk of the maturity bucket (individual bond risks added up) • dv01 is the sensitivity of the hedge instrument (which we choose as the 2 year treasury) • Refer to : var_example.xls, var_living_spec.xls • Use 6 buckets in your histogram – you will need to determine the bucket width that will dsplay the best. We will have more historical data which will be normally distributed • Market value can be in dollars “invoice price” or in thousands (we standardize on 000’s) • Example: • 10,000,000 of a bond - “I own ten million bonds” • 9% coupon, 20 years to maturity, price: 134.6722 • Market value is: $10,000,000 * 134.6722/100 = $13,467,220 (in dollars) $13,467 (now in thousands) as output

  2. Notes for Final Presentation • Name your team • Roles in the team • Client-side language and tool choice • Demo client side • Include entering a spread of 50bp in the 30 year bucket • Shift up and and down • Highlight your use of graphics • Take one question from me • Each team will pick one other team that they think presented the best: • Quality of presentation • Quality of the product

More Related