Structured Finance

Structured Finance: The Object Orientated Approach is aimed at both the finance and IT professionals involved in the structured finance business with the intention of sharing common concepts and language within the industry. The financial community (structurers, pricers and risk managers) view structured products as collections of objects under the so-called replicating portfolio paradigm. The IT community use object oriented programming (OOP) techniques to improve the software updating and maintenance process. For them structured products are collections of objects as well. Despite use of the same object concept, it looks like communication between these different professional functions has been problematic. Recently, construction of standard data structures known as FpML has begun to lay out a common definition of objects, at least for plain vanilla derivatives, both between IT and financial people and across different market players. Along this line, this book builds upon the concept of object to provide frontier treatment of structured finance issues relevant to both communities engaged in building, pricing and hedging products and people engaged in designing and up-dating the corresponding software. Structured Finance: The Object Orientated Approach will enable you to: decompose a structured product in elementary constituent financial objects and risk factors (replicating portfolio) understand the basics of object oriented programming (OOP) applied to the design of structured cash flows objects build your own objects and to understand FpML data structures available for standard products gauge risk exposures of the objects in structured products to: risk factors, their volatilities and the correlation among them (which factor are you long/short? Are you long/short volatility? Are you long/short correlation?) update your risk management system to accommodate structured products with non linear exposures and to design objects to represent, price and hedge, counterparty risk

Structured Finance: The Object Orientated Approach is aimedat both the finance and IT professionals involved in the structuredfinance business with the intention of sharing common concepts andlanguage within the industry. The financial community (structurerspricers and risk managers) view structured products as collectionsof objects under the so-called replicating portfolio paradigm. TheIT community use object oriented programming (OOP) techniques toimprove the software updating and maintenance process. For themstructured products are collections of objects as well. Despite useof the same object concept, it looks like communicationbetween these different professional functions has beenproblematic. Recently, construction of standard data structuresknown as FpML has begun to lay out a common definition of objectsat least for plain vanilla derivatives, both between IT andfinancial people and across different market players. Along thisline, this book builds upon the concept of object to providefrontier treatment of structured finance issues relevant to bothcommunities engaged in building, pricing and hedging products andpeople engaged in designing and up-dating the correspondingsoftware.Structured Finance: The Object Orientated Approach will enableyou to:* decompose a structured product in elementary constituentfinancial objects and risk factors (replicatingportfolio)* understand the basics of object oriented programming (OOP)applied to the design of structured cash flows objects* build your own objects and to understand FpML datastructures available for standard products* gauge risk exposures of the objects in structuredproducts to: risk factors, their volatilities and the correlationamong them (which factor are you long/short? Are you long/shortvolatility? Are you long/short correlation?)* update your risk management system to accommodate structuredproducts with non linear exposures and to design objects torepresent, price and hedge, counterparty risk