[FA107] AEF – User-defined Monte Carlo Engine

Duration of Course: One day

Course Covers

Define custom pay-off expressions for exotics. The User-defined Monte Carlo (UDMC) Engine allows users to price new contracts with a minimum of effort. The contract payoff is entered in a high-level language which is evaluated by a fast C++ Monte Carlo Engine. The main features are:

  • Input data at your fingertips, such as real-time yield curves, volatility data, dividends, etc.
  • A growing library with built-in payoff expressions available out-of-the-box
  • Powerful language that enables users to customize payoff patterns
  • Flexible scenario and what-if analysis to stress test the pricing and risk figures

This course will show you how to:

  • Represent new valuation parameters specific to the new contract in the data model and in the valuation trees
  • Create a payoff expression in PEL (Pay-off Expression Language)
  • Work with matrixes and vectors to accelerate calculations
  • Map the new valuation to instruments and specify its properties, such as event discretion steps and methods

Course Benefits

Please note that the ARENA UDMC Engine is not a standard part of Front Arena and requires an additional license. Please contact your account manager for details.

Certification is available, see AEF Advanced Certification .

Goal of the Course

After completing the course, the attendees should be able to quickly set up valuation of completely new contracts using the UDMC Engine.

Target Audience

Anyone responsible for developing and setting valuation of completely new contracts using the UDMC Engine and incorporating them into the Front Arena financial calculations, particularly:

  • Quantitative analysts
  • Application managers
  • Developers

Participants must be employed by a customer of SunGard Front Arena or an authorized Front Arena partner.

Required Knowledge Level

Participants should be AEF Base Certified.

Participants should have a thorough knowledge of the following:

  • C/C++ programming knowledge
  • Experience of working with PRIME

Type of Course: Technical/software deployment