{"product_id":"structured-finance-modeling-with-object-oriented-vba-hardback-9780470098592","title":"Structured Finance Modeling with Object-Oriented VBA (Hardback) 9780470098592","description":"\u003cfont face=\"Georgia\"\u003e\r\n\u003cp\u003e\u003cfont size=\"6\"\u003eStructured Finance Modeling with Object-Oriented VBA\u003c\/font\u003e\u003cbr\u003e\r\n\r\n\r\n\r\n\r\n\r\n\u003c\/p\u003e\n\u003cp\u003e\u003cfont size=\"4\"\u003eEvan Tick (Author)\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003e9780470098592, Wiley\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003eHardback, published 8 June 2007\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003e352 pages, Drawings: 69 B\u0026amp;W, 0 Color; Screen captures: 25 B\u0026amp;W, 0 Color; Tables: 50 B\u0026amp;W, 0 Color\u003cbr\u003e23.6 x 16 x 3.1 cm, 0.558 kg\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\r\n\r\n\r\n\r\n\u003cp align=\"justify\"\u003e\u003cstrong\u003e\u003cfont size=\"3\"\u003e\u003cb\u003eA detailed look at how object-oriented VBA should be used to model complex financial structures\u003c\/b\u003e  \u003cp\u003eThis guide helps readers overcome the difficult task of modeling complex financial structures and bridges the gap between professional C++\/Java programmers writing production models and front-office analysts building Excel spreadsheet models. It reveals how to model financial structures using object-oriented VBA in an Excel environment, allowing desk-based analysts to quickly produce flexible and robust models. Filled with in-depth insight and expert advice, it skillfully illustrates the art of object-oriented programming for the explicit purpose of modeling structured products. Residential mortgage securitization is used as a unifying example throughout the text.\u003c\/p\u003e\u003c\/font\u003e\u003c\/strong\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003e\u003cp\u003ePreface xi\u003c\/p\u003e \u003cp\u003eList of Acronyms xv\u003c\/p\u003e \u003cp\u003eAcknowledgments xvii\u003c\/p\u003e \u003cp\u003eAbout the Author xix\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 1 Cash-Flow Structures 1\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e1.1 Getting Started 1\u003c\/p\u003e \u003cp\u003e1.2 Securitization 3\u003c\/p\u003e \u003cp\u003e1.3 Synthetic Structures 10\u003c\/p\u003e \u003cp\u003e1.4 Putting It All Together 13\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 2 Modeling 16\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e2.1 Dipping a Toe in the Shallow End 17\u003c\/p\u003e \u003cp\u003e2.2 Swimming Toward the Deep End 22\u003c\/p\u003e \u003cp\u003e2.3 Types 29\u003c\/p\u003e \u003cp\u003e2.4 Class Architecture 33\u003c\/p\u003e \u003cp\u003e2.4.1 Weak Inheritance 37\u003c\/p\u003e \u003cp\u003e2.4.2 Parameterized Class 42\u003c\/p\u003e \u003cp\u003e2.4.3 Which Is Better? 43\u003c\/p\u003e \u003cp\u003e2.5 Exercises 46\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 3 Assets 48\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e3.1 Replines 49\u003c\/p\u003e \u003cp\u003e3.2 Portfolio Optimization 52\u003c\/p\u003e \u003cp\u003e3.2.1 Zero-One Program 53\u003c\/p\u003e \u003cp\u003e3.2.2 Simulated Annealing 56\u003c\/p\u003e \u003cp\u003e3.3 Losses, Prepayments, and Interest Rates 60\u003c\/p\u003e \u003cp\u003e3.4 Cash-Flow Model 61\u003c\/p\u003e \u003cp\u003e3.4.1 Zero-Prepay Cash Flows 63\u003c\/p\u003e \u003cp\u003e3.4.2 Actual Cash Flows 66\u003c\/p\u003e \u003cp\u003e3.4.3 Examples 74\u003c\/p\u003e \u003cp\u003e3.5 S\u0026amp;P Cash-Flow Model 75\u003c\/p\u003e \u003cp\u003e3.5.1 Model Parameters 77\u003c\/p\u003e \u003cp\u003e3.6 Moody’s Cash-Flow Model 80\u003c\/p\u003e \u003cp\u003e3.6.1 Model Parameters 82\u003c\/p\u003e \u003cp\u003e3.6.2 Algorithm 84\u003c\/p\u003e \u003cp\u003e3.7 Option ARMs 86\u003c\/p\u003e \u003cp\u003e3.8 Class Architecture: Multiple Inheritance 89\u003c\/p\u003e \u003cp\u003e3.9 Doing It in Excel: SumProduct 94\u003c\/p\u003e \u003cp\u003e3.10 Exercises 94\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 4 Liabilities 98\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e4.1 Getting Started 98\u003c\/p\u003e \u003cp\u003e4.2 Notation 102\u003c\/p\u003e \u003cp\u003e4.3 Expenses 108\u003c\/p\u003e \u003cp\u003e4.4 Interest 110\u003c\/p\u003e \u003cp\u003e4.5 Over-collateralization 116\u003c\/p\u003e \u003cp\u003e4.5.1 Current Subordinated Amount 116\u003c\/p\u003e \u003cp\u003e4.5.2 Stepdown Date 118\u003c\/p\u003e \u003cp\u003e4.5.3 Target Subordinated Amount 119\u003c\/p\u003e \u003cp\u003e4.6 Principal 122\u003c\/p\u003e \u003cp\u003e4.6.1 Gross Principal Distributions 122\u003c\/p\u003e \u003cp\u003e4.6.2 Detailed Principal Distributions 124\u003c\/p\u003e \u003cp\u003e4.7 Writedowns and Recoveries 128\u003c\/p\u003e \u003cp\u003e4.8 Derivatives 130\u003c\/p\u003e \u003cp\u003e4.8.1 Corridors 132\u003c\/p\u003e \u003cp\u003e4.8.2 Swaps 134\u003c\/p\u003e \u003cp\u003e4.8.3 Excess Reserve Fund Account 135\u003c\/p\u003e \u003cp\u003e4.9 Triggers 137\u003c\/p\u003e \u003cp\u003e4.9.1 Call Features 138\u003c\/p\u003e \u003cp\u003e4.9.2 Overcollateralization Test 138\u003c\/p\u003e \u003cp\u003e4.9.3 Interest Coverage Test 139\u003c\/p\u003e \u003cp\u003e4.9.4 Delinquency Trigger 140\u003c\/p\u003e \u003cp\u003e4.9.5 Loss Trigger 141\u003c\/p\u003e \u003cp\u003e4.10 Residuals: NIMs and Post-NIM 141\u003c\/p\u003e \u003cp\u003e4.11 Class Architecture 144\u003c\/p\u003e \u003cp\u003e4.11.1 Passive Approach 144\u003c\/p\u003e \u003cp\u003e4.11.2 Active Approach 158\u003c\/p\u003e \u003cp\u003e4.11.3 Comparison 170\u003c\/p\u003e \u003cp\u003e4.12 Doing It in Excel: Data Tables 170\u003c\/p\u003e \u003cp\u003e4.13 Exercises 176\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 5 Sizing the Structure 179\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e5.1 Senior Sizing 182\u003c\/p\u003e \u003cp\u003e5.2 Subordinate Sizing 185\u003c\/p\u003e \u003cp\u003e5.2.1 Fully Funded vs. Non–Fully Funded 190\u003c\/p\u003e \u003cp\u003e5.3 Optimizations and Complexity 192\u003c\/p\u003e \u003cp\u003e5.4 Example of Sizing 196\u003c\/p\u003e \u003cp\u003e5.5 NIM and OTE Sizing 198\u003c\/p\u003e \u003cp\u003e5.6 Class Architecture 203\u003c\/p\u003e \u003cp\u003e5.6.1 Inheritance Revisited 203\u003c\/p\u003e \u003cp\u003e5.6.2 Odds and Ends 207\u003c\/p\u003e \u003cp\u003e5.7 Doing It in Excel: Solver 210\u003c\/p\u003e \u003cp\u003e5.8 Exercises 213\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 6 Analysis 217\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e6.1 Risk Factors 217\u003c\/p\u003e \u003cp\u003e6.1.1 Prefunding 217\u003c\/p\u003e \u003cp\u003e6.1.2 Prepayments 217\u003c\/p\u003e \u003cp\u003e6.1.3 Buybacks and Cleanup Calls 219\u003c\/p\u003e \u003cp\u003e6.1.4 Defaults 219\u003c\/p\u003e \u003cp\u003e6.1.5 Interest Rates 221\u003c\/p\u003e \u003cp\u003e6.1.6 Spreads 221\u003c\/p\u003e \u003cp\u003e6.1.7 Miscellaneous 222\u003c\/p\u003e \u003cp\u003e6.1.8 Residual Sensitivities 222\u003c\/p\u003e \u003cp\u003e6.2 Mezzanine and Subordinate Classes 223\u003c\/p\u003e \u003cp\u003e6.3 NIM Classes 230\u003c\/p\u003e \u003cp\u003e6.4 Putting It All Together 232\u003c\/p\u003e \u003cp\u003e6.5 Exercises 234\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 7 Stochastic Models 235\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e7.1 Static versus Stochastic 235\u003c\/p\u003e \u003cp\u003e7.2 Loss Model 238\u003c\/p\u003e \u003cp\u003e7.2.1 Probability of Default from Transition Matrix 238\u003c\/p\u003e \u003cp\u003e7.2.2 Probability of Default from Spread 241\u003c\/p\u003e \u003cp\u003e7.2.3 Probability of Time to Default 242\u003c\/p\u003e \u003cp\u003e7.3 Gaussian Copula 244\u003c\/p\u003e \u003cp\u003e7.4 Monte Carlo Simulation 249\u003c\/p\u003e \u003cp\u003e7.5 Synthetic Credit Indexes 251\u003c\/p\u003e \u003cp\u003e7.5.1 Loss Lets 253\u003c\/p\u003e \u003cp\u003e7.5.2 Analysis 256\u003c\/p\u003e \u003cp\u003e7.5.3 Hedging 264\u003c\/p\u003e \u003cp\u003e7.6 Doing It in Excel 270\u003c\/p\u003e \u003cp\u003e7.7 Exercises 279\u003c\/p\u003e \u003cp\u003e\u003cb\u003eAppendix A Excel and VBA 285\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eA.1 Spreadsheet Style 286\u003c\/p\u003e \u003cp\u003eA.2 Code Style 290\u003c\/p\u003e \u003cp\u003eA.3 Compilation 295\u003c\/p\u003e \u003cp\u003eA.4 Bloomberg 299\u003c\/p\u003e \u003cp\u003e\u003cb\u003eAppendix B Bond Math 303\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eB.1 Mortgage Payment 303\u003c\/p\u003e \u003cp\u003eB.2 Yield to Price 305\u003c\/p\u003e \u003cp\u003eB.3 Price to Yield 306\u003c\/p\u003e \u003cp\u003eB.4 Duration 307\u003c\/p\u003e \u003cp\u003eB.4.1 Index or Interest-Rate Duration 308\u003c\/p\u003e \u003cp\u003eB.4.2 Discount Spread Duration 308\u003c\/p\u003e \u003cp\u003eB.5 Hazard Rate 312\u003c\/p\u003e \u003cp\u003eB.6 Static Credit Card Model 315\u003c\/p\u003e \u003cp\u003eReferences 321\u003c\/p\u003e \u003cp\u003eIndex 325\u003c\/p\u003e\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003eSubject Areas: Finance \u0026amp; accounting [\u003ca title=\"See our other books on Finance \u0026amp; accounting\" href=\"https:\/\/freshlyprintedbooks.co.uk\/search?q=%22Finance%20\u0026amp;%20accounting%20%5BKF%5D%22\"\u003eKF\u003c\/a\u003e]\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\r\n\u003c\/font\u003e","brand":"Wiley","offers":[{"title":"Brand 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