Financial Models

eg

Mortgage-Backed Securities Extension........................................................... 5

Mortgage-Backed Securities.............................................................................. 6
Introduction to Mortgage-Backed Securities.......................................................6
RiskWatch MBS Module Design.........................................................................7
Installing the MBS Module................................................................................11
Instrument Module Attributes............................................................................15
Valuation Inputs................................................................................................28
Cash Flow Generation......................................................................................28
Curve Module and Rate Forecasting................................................................29
Instrument Module Pricing Functions...............................................................36
Model Module Pricing Functions.......................................................................37
Model Verification and Validation......................................................................39
MBS Calibration................................................................................................49
MBS Calibration Attribute..................................................................................50
OAS for MBS.....................................................................................................53
References........................................................................................................55

eg

Financial Models in RiskWatch......................................................................... 5
European Options...............................................................................................6

European (Black Scholes)................................................................................. 7
European (Bond Clean)................................................................................... 21
European (Currency)....................................................................................... 42
European (EuroDollar Futures)........................................................................ 58
European (EuroDollar Futures Annualized)..................................................... 69
European (Fed Fund Futures)......................................................................... 80
European (Futures).......................................................................................... 91
Caps and Floors............................................................................................. 103
Digital Caps and Floors.................................................................................. 113
Constant Term Caps and Floors.................................................................... 118
American Options............................................................................................128

American Binomial Lattice............................................................................. 129
American (Currency)...................................................................................... 146
American (Equity).......................................................................................... 166
American (EuroDollar Futures)...................................................................... 184
American (EuroDollar Futures Annualized)................................................... 201
American (Fed Funds Futures)...................................................................... 215
American Futures........................................................................................... 228
American (Bonds Clean)................................................................................ 249
Richardson Extrapolation............................................................................... 274