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Mid-Term Results

Mid-Term Results. On time 13 100% Correct: 9 Total Students 13 69% got all numbers and followed instructions. 10. Average speed: 1.46 seconds Median speed: 1.34 seconds *Average of 10 runs using 13MB 240,000 row file. Performance Results:.

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Mid-Term Results

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  1. Mid-Term Results On time 13 100% Correct: 9 Total Students 13 69% got all numbers and followed instructions 10 Average speed: 1.46 seconds Median speed: 1.34 seconds *Average of 10 runs using 13MB 240,000 row file

  2. Performance Results: Here are the top 3 of the mid-term speed round! • Yuheng Zhan 0.914 seconds • Dharini Raghavan 0.981 seconds • Ya-Ting Hsu 1.106 seconds ... Slowest: 2.524

  3. Let’s Ask The Finishers how they did it... • Yuheng Zhan • Dharini Raghavan • Ya-Ting Hsu

  4. New Concepts / Functionality • Hedging • Market Value • Scenario Analysis • “Shocking” our risk factors • Interest Rates • Ratings

  5. Code Submission • Hedging • We can hedge with anything if correlated to our position. • We will choose the “2 year” treasury note • Add a new attribute • Market Value= price/100 * Amount • Then convert to $ since Amount is in 000’s (x 1000) • “Shocking” Yields • All yields (all or or part) • The underlying yield curve (all or part) • Typical to shock parallel in different increments to: • Build a scenario table. E.g, +10, +20, +30, -10, -20, -30

  6. Bucketing by Maturity • Create 4 sub-books by “remaining term” • 0-2 years • 0 < remaining_term <= 2 • 2-5 years • 2 < remaining_term <= 5 • 5-10 years • 5 < remaining_term <= 10 • 10-30+ years • 10 < remaining_term • Easy way to chop up your risk by the parameter that drives rate sensitivity the most (time left to maturity) • Calculate remaining_term on everything in the tradingbook then put in 1 of the 4 “maturity buckets” • We do this because in practice we wouldn’t hedge every individual position

  7. Deliverables • The client process will write 3 numbers to stdout: • Amount of 2 year treasuries needed to hedge the 30 year maturity bucket • Hedging formula: • Amount * dv01 = Amount * dv01 • Amount * dv01 = Amount_2yr * dv01_2yr • Flip sign on the hedge Amount (to hedge a long we use a short and vice/versa) • “Bucket Risk” = sum of individual risks of each position in the bucket • Amount can be of one bond or a bucket of bonds • Total Market Value of the book in DOLLLARS (not 000’s) • Market value change of book given 100 basis point shift UP of all yields in DOLLARS (not 000’s) • The real time is our time elapsed “end to end” or “net sojourn” time • With the timer routine embedded in our C++ server we can see overhead of: • Client • Server • Inter-process communication / wire-time • $ time client_program can be run for real time of client program

  8. Deliverables cont... • Review spreadsheet GUI spec GUIrequirements_V1.xlsx • Highlight hedging section

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