This CD accompanying Principles of Quantitative Development contains Pricing Tool a companion program designed to illustrate the modular programming techniques described in the book.
Main Features:
Dynamic definition of new products. New products can be defined completely interactively.
Dynamic definition of models, pricing functions.
Ability to generate pricing function templates and instructions for creating DLLs. (The program writes out ready to compile C++ code using the product and model definition!)
Ability to save and load product and model definitions. (The program uses XML to save products and models.)
Ability to save and load pricing scenarios (in XML).
Built-in plotting options to visualize the valuations. The program provides options to plot any output as a function of one or two inputs, or one output vs. another parametrically as you vary any one input. The 3D plots (output vs. two inputs) can be plotted as surfaces or color charts. They can even be sliced and diced. All plots can be exported to Excel (i.e., as a CSV file) for further manipulations. The plot ranges are customizable.
Finite difference computation of Greeks. All possible sensitivities (first and second derivatives) of any output vs. any input can be interactively computed. The user can select the interval to shock the output etc. All finite difference computation scenarios can be exported to Excel.
Supports Excel export of outputs and plots.
Supports import from Excel -- dates and vectors. The user can cut and paste from Excel sheet.
Extensive data types support - double, integer, date, vector, matrix, date vector, and even user-definable menus.
This CD accompanying Principles of Quantitative Development contains Pricing Tool a companion program designed to illustrate the modular programming techniques described in the book.