"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
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