Duration of Course: One day
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:
This course will show you how to:
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.
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:
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:
Type of Course: Technical/software deployment