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Structured finance modeling with object-oriented VBA [electronic resource] / Evan Tick.

By: Tick, Evan, 1959-.
Material type: TextTextSeries: Wiley finance series: Publisher: Hoboken, N.J. : John Wiley & Sons, c2007Description: 1 online resource (xix, 332 p.) : ill.ISBN: 9780470130414 (electronic bk.); 0470130415 (electronic bk.).Subject(s): Finance -- Mathematical models | Investments -- Mathematical models | Microsoft Visual Basic for applications | BUSINESS & ECONOMICS -- FinanceGenre/Form: Electronic books.Additional physical formats: Print version:: Structured finance modeling with object-oriented VBA.DDC classification: 332.01/13 Online resources: EBSCOhost
Contents:
Cover -- Structured Finance Modeling with Object-Oriented VBA. TOContents -- Preface -- List of Acronyms -- Acknowledgments -- About the Author -- CHhapter 1: Cash-Flow Structures -- Modeling / 1.1 GETTING STARTED. 1.2 SECURITIZATION. 1.3 SYNTHETIC STRUCTURES. 1.4 PUTTING IT ALL TOGETHER. CHhapter 2 -- Assets / 2.1 DIPPING A TOE IN THE SHALLOW END. 2.2 SWIMMING TOWARD THE DEEP END. 2.3 TYPES. 2.4 CLASS ARCHITECTURE. 2.5 EXERCISES. CHhapter 3 -- MULTIPLE INHERITANCE. 3.9 DOING IT IN EXCEL: SUMPRODUCT. 3.10 EXERCISES. CHhapter 4: Liabilities / 3.1 REPLINES. 3.2 PORTFOLIO OPTIMIZATION. 3.3 LOSSES, PREPAYMENTS, AND INTEREST RATES. 3.4 CASH-FLOW MODEL. 3.5 S & P CASH-FLOW MODEL. 3.6 MOODY'S CASH-FLOW MODEL. 3.7 OPTION ARMS. 3.8 CLASS ARCHITECTURE -- NIMS AND POST-NIM. 4.11 CLASS ARCHITECTURE. 4.12 DOING IT IN EXCEL: DATA TABLES. 4.13 EXERCISES. CHhapter 5: Sizing the Structure / 4.1 GETTING STARTED. 4.2 NOTATION. 4.3 EXPENSES. 4.4 INTEREST. 4.5 OVER-COLLATERALIZATION. 4.6 PRINCIPAL. 4.7 WRITEDOWNS AND RECOVERIES. 4.8 DERIVATIVES. 4.9 TRIGGERS. 4.10 RESIDUALS -- SOLVER. 5.8 EXERCISES. CHhapter 6: Analysis / 5.1 SENIOR SIZING. 5.2 SUBORDINATE SIZING. 5.3 OPTIMIZATIONS AND COMPLEXITY. 5.4 EXAMPLE OF SIZING. 5.5 NIM AND OTE SIZING. 5.6 CLASS ARCHITECTURE. 5.7 DOING IT IN EXCEL -- Stochastic Models / 6.1 RISK FACTORS. 6.2 MEZZANINE AND SUBORDINATE CLASSES. 6.3 NIM CLASSES. 6.4 PUTTING IT ALL TOGETHER. 6.5 EXERCISES. CHhapter 7 -- Excel and VBA. A. 1 SPREADSHEET STYLE. A. 2 CODE STYLE. A. 3 COMPILATION. A. 4 BLOOMBERG. Appendix B: Bond Math / 7.1 STATIC VERSUS STOCHASTIC. 7.2 LOSS MODEL. 7.3 GAUSSIAN COPULA. 7.4 MONTE CARLO SIMULATION. 7.5 SYNTHETIC CREDIT INDEXES. 7.6 DOING IT IN EXCEL. 7.7 EXERCISES. Appendix A -- B. 1 MORTGAGE PAYMENT. B. 2 YIELD TO PRICE. B. 3 PRICE TO YIELD. B. 4 DURATION. B. 5 HAZARD RATE. B. 6 STATIC CREDIT CARD MODEL. References -- IDXndex -- Last Page.
Review: "Structured Finance Modeling with Object-Oriented VBA introduces this model and its implementation, providing illustrations of the model in action for actual deals, along with empirical studies of its sensitivities. Using sub-prime mortgage securitization throughout the book as a unifying example, it provides a detailed look at how object-oriented Visual Basic for Applications (VBA) can be used to price complex financial structures." "Along with securitization, this book covers stochastic models, optimization techniques, object-oriented architecture, and more. Wall Street analysts and MBA students mastering object-oriented VBA programming skills are in great demand on Wall Street, and a step ahead of those without these skills. This invaluable guide provides both the mathematical specifications and programming techniques needed to perform modeling tasks efficiently and effectively - and keep ahead of the competition."--Jacket.
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Includes bibliographical references (p. 321-324) and index.

Cover -- Structured Finance Modeling with Object-Oriented VBA. TOContents -- Preface -- List of Acronyms -- Acknowledgments -- About the Author -- CHhapter 1: Cash-Flow Structures -- Modeling / 1.1 GETTING STARTED. 1.2 SECURITIZATION. 1.3 SYNTHETIC STRUCTURES. 1.4 PUTTING IT ALL TOGETHER. CHhapter 2 -- Assets / 2.1 DIPPING A TOE IN THE SHALLOW END. 2.2 SWIMMING TOWARD THE DEEP END. 2.3 TYPES. 2.4 CLASS ARCHITECTURE. 2.5 EXERCISES. CHhapter 3 -- MULTIPLE INHERITANCE. 3.9 DOING IT IN EXCEL: SUMPRODUCT. 3.10 EXERCISES. CHhapter 4: Liabilities / 3.1 REPLINES. 3.2 PORTFOLIO OPTIMIZATION. 3.3 LOSSES, PREPAYMENTS, AND INTEREST RATES. 3.4 CASH-FLOW MODEL. 3.5 S & P CASH-FLOW MODEL. 3.6 MOODY'S CASH-FLOW MODEL. 3.7 OPTION ARMS. 3.8 CLASS ARCHITECTURE -- NIMS AND POST-NIM. 4.11 CLASS ARCHITECTURE. 4.12 DOING IT IN EXCEL: DATA TABLES. 4.13 EXERCISES. CHhapter 5: Sizing the Structure / 4.1 GETTING STARTED. 4.2 NOTATION. 4.3 EXPENSES. 4.4 INTEREST. 4.5 OVER-COLLATERALIZATION. 4.6 PRINCIPAL. 4.7 WRITEDOWNS AND RECOVERIES. 4.8 DERIVATIVES. 4.9 TRIGGERS. 4.10 RESIDUALS -- SOLVER. 5.8 EXERCISES. CHhapter 6: Analysis / 5.1 SENIOR SIZING. 5.2 SUBORDINATE SIZING. 5.3 OPTIMIZATIONS AND COMPLEXITY. 5.4 EXAMPLE OF SIZING. 5.5 NIM AND OTE SIZING. 5.6 CLASS ARCHITECTURE. 5.7 DOING IT IN EXCEL -- Stochastic Models / 6.1 RISK FACTORS. 6.2 MEZZANINE AND SUBORDINATE CLASSES. 6.3 NIM CLASSES. 6.4 PUTTING IT ALL TOGETHER. 6.5 EXERCISES. CHhapter 7 -- Excel and VBA. A. 1 SPREADSHEET STYLE. A. 2 CODE STYLE. A. 3 COMPILATION. A. 4 BLOOMBERG. Appendix B: Bond Math / 7.1 STATIC VERSUS STOCHASTIC. 7.2 LOSS MODEL. 7.3 GAUSSIAN COPULA. 7.4 MONTE CARLO SIMULATION. 7.5 SYNTHETIC CREDIT INDEXES. 7.6 DOING IT IN EXCEL. 7.7 EXERCISES. Appendix A -- B. 1 MORTGAGE PAYMENT. B. 2 YIELD TO PRICE. B. 3 PRICE TO YIELD. B. 4 DURATION. B. 5 HAZARD RATE. B. 6 STATIC CREDIT CARD MODEL. References -- IDXndex -- Last Page.

"Structured Finance Modeling with Object-Oriented VBA introduces this model and its implementation, providing illustrations of the model in action for actual deals, along with empirical studies of its sensitivities. Using sub-prime mortgage securitization throughout the book as a unifying example, it provides a detailed look at how object-oriented Visual Basic for Applications (VBA) can be used to price complex financial structures." "Along with securitization, this book covers stochastic models, optimization techniques, object-oriented architecture, and more. Wall Street analysts and MBA students mastering object-oriented VBA programming skills are in great demand on Wall Street, and a step ahead of those without these skills. This invaluable guide provides both the mathematical specifications and programming techniques needed to perform modeling tasks efficiently and effectively - and keep ahead of the competition."--Jacket.

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Structured finance modeling with object-oriented VBA by Tick, Evan, ©2007
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