params.json

{
  "name": "Drip-fixed-income",
  "tagline": "DRIP Fixed Income",
  "body": "\r\n<p align=\"center\"><img src=\"https://github.com/lakshmiDRIP/DRIP/blob/master/DRIP_Logo.gif?raw=true\" width=\"100\"></p>\r\n\r\n**v2.53**  *12 November 2016*\r\n\r\nDRIP Fixed Income is a collection of Java libraries for Instrument/Trading Conventions, Treasury Futures/Options, Funding/Forward/Overnight Curves, Multi-Curve Construction/Valuation, Collateral Valuation and XVA Metric Generation, Calibration and Hedge Attributions, Statistical Curve Construction, Bond RV Metrics, Stochastic Evolution and Option Pricing, Interest Rate Dynamics and Option Pricing, LMM Extensions/Calibrations/Greeks, Algorithmic Differentiation, and Asset Backed Models and Analytics.\r\n\r\nDRIP Fixed Income is composed of the following main libraries:\r\n * Instrument/Trading Conventions Library\r\n * Treasury Futures/Options Library\r\n * Funding/Forward/Overnight Curve Library\r\n * Multi-Curve Construction/Valuation Library\r\n * Collateral and XVA Metrics Library\r\n * Position Horizon Analyzer Library\r\n * Statistical Curve Construction Library\r\n * Bond RV Metrics Library\r\n * Stochastic Evolution and Option Pricing Library\r\n * Interest Dynamics and Option Pricing Library\r\n * LMM Extensions, Calibration, and Greeks Library\r\n * Algorithmic Differentiation Library\r\n * Asset Backed Model Library\r\n\r\nFor Installation, Documentation and Samples, and the associated supporting Numerical Libraries please check out [DRIP] (https://github.com/lakshmiDRIP/DRIP).\r\n\r\n\r\n##DRIP Core Technical Specifications\r\n * [Asset Allocation Library](https://github.com/lakshmiDRIP/DRIP/tree/master/Docs/DRIPSpecification/AssetAllocation/AssetAllocation_v2.13.pdf)\r\n * [Fixed Income Analytics](https://github.com/lakshmiDRIP/DRIP/tree/master/Docs/DRIPSpecification/FixedIncome/FixedIncomeAnalytics_v2.47.pdf)\r\n * [Transaction Cost Analytics](https://github.com/lakshmiDRIP/DRIP/tree/master/Docs/DRIPSpecification/TransactionCost/TransactionCostAnalytics_v2.53.pdf)\r\n\r\n\r\n##DRIP Supporting Technical Specifications\r\n * [Spline Builder Library](https://github.com/lakshmiDRIP/DRIP/tree/master/Docs/DRIPSpecification/SplineBuilder/SplineBuilder_v0.82.pdf)\r\n * [Numerical Optimization Library](https://github.com/lakshmiDRIP/DRIP/tree/master/Docs/DRIPSpecification/NumericalOptimization/NumericalOptimization_v2.05.pdf)\r\n * [Statistical Learning Library](https://github.com/lakshmiDRIP/DRIP/tree/master/Docs/DRIPSpecification/StatisticalLearning/StatisticalLearningLibrary_v0.80.pdf)\r\n * [Machine Learning Library](https://github.com/lakshmiDRIP/DRIP/tree/master/Docs/DRIPSpecification/MachineLearning/MachineLearningLibrary_v0.92.pdf)\r\n\r\n\r\n##Additional Documentation\r\n * [DRIP GitHub Source](https://github.com/lakshmiDRIP/DRIP)\r\n * [DRIP API Javadoc](https://lakshmidrip.github.io/DRIP/Javadoc/index.html)\r\n * [DRIP Release Notes](https://github.com/lakshmiDRIP/DRIP/tree/master/ReleaseNotes)\r\n * [DRIP Technical Specifications](https://github.com/lakshmiDRIP/DRIP/tree/master/Docs/DRIPSpecification)\r\n * [DRIP External Specifications](https://github.com/lakshmiDRIP/DRIP/tree/master/Docs/External)\r\n * User guide is a work in progress!\r\n\r\n\r\n##Samples (Bonds/Asset Backed)\r\n * [Asset Backed Analytics](https://github.com/lakshmiDRIP/DRIP/tree/master/org/drip/sample/assetbacked)\r\n * [Bond Core Analytics](https://github.com/lakshmiDRIP/DRIP/tree/master/org/drip/sample/bond)\r\n * [Bond RV Measures](https://github.com/lakshmiDRIP/DRIP/tree/master/org/drip/sample/bondapi)\r\n\r\n\r\n##Samples (Curve/Surface Construction)\r\n * [Forward Rate Curve](https://github.com/lakshmiDRIP/DRIP/tree/master/org/drip/sample/forward)\r\n * [Forward Re-constitution](https://github.com/lakshmiDRIP/DRIP/tree/master/org/drip/sample/forwardratefuturesfeed)\r\n * [Forward Rate Volatility](https://github.com/lakshmiDRIP/DRIP/tree/master/org/drip/sample/forwardvolatility)\r\n * [Funding Curve Construction](https://github.com/lakshmiDRIP/DRIP/tree/master/org/drip/sample/funding)\r\n * [Funding Re-constitution](https://github.com/lakshmiDRIP/DRIP/tree/master/org/drip/sample/fundingfeed)\r\n * [Funding Historical Metrics](https://github.com/lakshmiDRIP/DRIP/tree/master/org/drip/sample/fundinghistorical)\r\n * [FX Curve Construction](https://github.com/lakshmiDRIP/DRIP/tree/master/org/drip/sample/fx)\r\n * [Govvie Curve Construction](https://github.com/lakshmiDRIP/DRIP/tree/master/org/drip/sample/govvie)\r\n * [Multi Curve Construction](https://github.com/lakshmiDRIP/DRIP/tree/master/org/drip/sample/multicurve)\r\n * [Option Surface Construction](https://github.com/lakshmiDRIP/DRIP/tree/master/org/drip/sample/option)\r\n * [Overnight Curve Construction](https://github.com/lakshmiDRIP/DRIP/tree/master/org/drip/sample/overnight)\r\n * [Overnight Re-constitution](https://github.com/lakshmiDRIP/DRIP/tree/master/org/drip/sample/overnightfeed)\r\n * [Overnight Historical Metrics](https://github.com/lakshmiDRIP/DRIP/tree/master/org/drip/sample/overnighthistorical)\r\n\r\n\r\n##Samples (Rates Products Valuation)\r\n * [Bloomberg Curve Analytics](https://github.com/lakshmiDRIP/DRIP/tree/master/org/drip/sample/bloomberg)\r\n * [Constant Maturity Swap](https://github.com/lakshmiDRIP/DRIP/tree/master/org/drip/sample/cms)\r\n * [Collateralized Curve Valuation](https://github.com/lakshmiDRIP/DRIP/tree/master/org/drip/sample/collateral)\r\n * [Cross Currency Stream](https://github.com/lakshmiDRIP/DRIP/tree/master/org/drip/sample/cross)\r\n * [Dual Currency Swap](https://github.com/lakshmiDRIP/DRIP/tree/master/org/drip/sample/dual)\r\n * [Fed Fund Swap](https://github.com/lakshmiDRIP/DRIP/tree/master/org/drip/sample/fedfund)\r\n * [Dual Currency Swap](https://github.com/lakshmiDRIP/DRIP/tree/master/org/drip/sample/dual)\r\n * [Fix Float Swap](https://github.com/lakshmiDRIP/DRIP/tree/master/org/drip/sample/fixfloat)\r\n * [IRS Horizon Attribution](https://github.com/lakshmiDRIP/DRIP/tree/master/org/drip/sample/fixfloatpnl)\r\n * [Float Float Swap](https://github.com/lakshmiDRIP/DRIP/tree/master/org/drip/sample/floatfloat)\r\n * [Forward Rate Futures](https://github.com/lakshmiDRIP/DRIP/tree/master/org/drip/sample/forwardratefutures)\r\n * [Forward Horizon Attribution](https://github.com/lakshmiDRIP/DRIP/tree/master/org/drip/sample/forwardratefuturespnl)\r\n * [Floating Rate Agreement](https://github.com/lakshmiDRIP/DRIP/tree/master/org/drip/sample/fra)\r\n * [Overnight Index Swap](https://github.com/lakshmiDRIP/DRIP/tree/master/org/drip/sample/ois)\r\n * [OIS Valuation Metrics](https://github.com/lakshmiDRIP/DRIP/tree/master/org/drip/sample/oisapi)\r\n * [Cross Currency Definitions](https://github.com/lakshmiDRIP/DRIP/tree/master/org/drip/sample/xccy)\r\n\r\n\r\n##Samples (Treasury Bond/Futures)\r\n * [G10 Treasury Runs](https://github.com/lakshmiDRIP/DRIP/tree/master/org/drip/sample/treasury)\r\n * [Treasury Re-constitution](https://github.com/lakshmiDRIP/DRIP/tree/master/org/drip/sample/treasuryfeed)\r\n * [Treasury Horizon Attribution](https://github.com/lakshmiDRIP/DRIP/tree/master/org/drip/sample/treasurypnl)\r\n * [Treasury Futures Runs](https://github.com/lakshmiDRIP/DRIP/tree/master/org/drip/sample/treasuryfutures)\r\n * [Futures Re-constitution](https://github.com/lakshmiDRIP/DRIP/tree/master/org/drip/sample/treasuryfuturesfeed)\r\n * [Treasury Futures Metrics](https://github.com/lakshmiDRIP/DRIP/tree/master/org/drip/sample/treasuryfuturesapi)\r\n * [Futures Horizon Attribution](https://github.com/lakshmiDRIP/DRIP/tree/master/org/drip/sample/treasuryfuturespnl)\r\n * [Treasury Futures KRD](https://github.com/lakshmiDRIP/DRIP/tree/master/org/drip/sample/treasuryfuturesrisk)\r\n\r\n\r\n##Samples (Interest Rate Options)\r\n * [IR Cap/Floor](https://github.com/lakshmiDRIP/DRIP/tree/master/org/drip/sample/capfloor)\r\n * [Fix Float Option](https://github.com/lakshmiDRIP/DRIP/tree/master/org/drip/sample/fixfloatoption)\r\n * [HJM Model Dynamics](https://github.com/lakshmiDRIP/DRIP/tree/master/org/drip/sample/hjm)\r\n * [Hull White Dynamics](https://github.com/lakshmiDRIP/DRIP/tree/master/org/drip/sample/hullwhite)\r\n * [LMM Model Dynamics](https://github.com/lakshmiDRIP/DRIP/tree/master/org/drip/sample/lmm)\r\n * [SABR Model Dynamics](https://github.com/lakshmiDRIP/DRIP/tree/master/org/drip/sample/sabr)\r\n\r\n\r\n##Samples (Stochastic Volatility Pricing)\r\n * [Stochastic Volatility Pricing](https://github.com/lakshmiDRIP/DRIP/tree/master/org/drip/sample/stochasticvolatility)\r\n\r\n\r\n##Samples (Automatic Differentiation Sensitivity)\r\n * [Product/Curve Sensitivity](https://github.com/lakshmiDRIP/DRIP/tree/master/org/drip/sample/sensitivity)\r\n\r\n\r\n##Samples (Credit Products/Curves)\r\n * [Credit Curve Analytics](https://github.com/lakshmiDRIP/DRIP/tree/master/org/drip/sample/credit)\r\n * [CDX Re-constitution](https://github.com/lakshmiDRIP/DRIP/tree/master/org/drip/sample/creditfeed)\r\n * [CDX Historical Metrics](https://github.com/lakshmiDRIP/DRIP/tree/master/org/drip/sample/credithistorical)\r\n * [CDX Horizon Attribution](https://github.com/lakshmiDRIP/DRIP/tree/master/org/drip/sample/creditindexpnl)\r\n * [CDS/CDX Option](https://github.com/lakshmiDRIP/DRIP/tree/master/org/drip/sample/creditoption)\r\n\r\n\r\n##Features\r\n\r\n###Instrument/Trading Conventions Library\r\n\r\n####Associations and Exchanges\r\n * Associations\r\n * Exchanges\r\n\r\n####Date Conventions\r\n * Day Count Conventions\r\n * Business Day Conventions\r\n\r\n####Overnight and IBOR-like Indexes\r\n * IBOR Indexes - Introduction\r\n * Main IBOR Indices\r\n * Other IBOR Indices\r\n * Overnight Index Definitions\r\n * Overnight Index Committees and Meeting Dates\r\n\r\n####Over the Counter Instruments\r\n * Forward Rate Agreement\r\n * Interest Rate Swaps\r\n * Vanilla IRS\r\n * Interest Rate Swaps (Basis Swaps: IBORfor IBOR)\r\n * Cross Currency Swaps (IBOR for IBOR)\r\n * Constant Maturity Swaps\r\n * Swap Indexes\r\n * Overnight Indexed Swaps\r\n * Swap Option\r\n * Forex and Forward Swaps\r\n\r\n####Exchange Traded Instruments\r\n * Overnight Futures\r\n * Short-Term Interest Rate Futures (STIR Futures)\r\n * Currency Specific Futures\r\n * Interest Rate Futures Option - Premium\r\n * Interest Rate Futures Option - Margin\r\n * Bank Bill Futures - AUD Style\r\n * Deliverable Swap (IRS) Futures (PV Quoted)\r\n * Bond Futures (non AUD/NZD)\r\n * Country Specific Bond Futures - USD\r\n * Country Specific Bond Futures - Germany\r\n * Country Specific Bond Futures - Spain\r\n * Country Specific Bond Futures - UK\r\n * Country Specific Bond Futures - Japan\r\n * Options on Bond Futures (non AUD/NZD) - Premium\r\n * Options on Bond Futures (non AUD/NZD) - Margin\r\n * AUD-NZD Bond Futures\r\n\r\n###Treasury Futures/Options Library\r\n####Treasury Futures Trading and Hedging\r\n * Contract Detail Specifications\r\n\r\n####Identification of the CTD in the Basket\r\n * The Conversion Factor\r\n * Old vs. Active Treasury\r\n * Market Parameters Influencing the CTD Calculation\r\n * Impact of Yield Curve Changes\r\n\r\n####Valuation of Treasury Futures Contract\r\n * Futures Contract and Mark-To-Market\r\n * Role of the Clearing Corporation\r\n * Delivery Options for the Underlying\r\n * Implied Basis for the Futures\r\n * Net Basis For Treasury Futures\r\n\r\n###Funding/Forward/Overnight Curve Library\r\n\r\n####Curve Builder Features\r\n * Discount Curves\r\n\r\n####Curve Construction Methodology\r\n * Approach\r\n * State Span Design Components\r\n * Curve Calibration From Instruments/Quotes\r\n * Calibration Considerations\r\n\r\n####Curve Construction Formulation\r\n * Segment Linear Discount Curve Calibration\r\n * Curve Jacobian\r\n\r\n####Stream Based Calibration\r\n * Latent State Formulation Metric (LSFM)\r\n * Stream Inference Setup\r\n * Coupon Period Based Calibration Specification\r\n * Stream Based Calibration Specification\r\n * Calibration of Multi-Stream Components\r\n\r\n####Spaning Splines\r\n * Setup and Formulation\r\n * Challenges with the Spanning Spline Approach\r\n\r\n####Monotone Descreasing Splines\r\n * Exponential Rational Basis Spline\r\n * Exponential Mixture Basis Set\r\n\r\n####Hagan-West (2006) Smoothness Preserving Spanning Spline\r\n * Monotone/Convexity Preserving Estimator\r\n * Positivity Preserving\r\n * Ameliorating Estimator\r\n * Harmonic Spline Extension to the Framework above\r\n * Minimal Quadratic Estimator\r\n\r\n####Extrapolation in Curve Construction\r\n\r\n####Multi-Pass Curve Construction\r\n * Bear-Sterns Multi-Pass Curve Building Techniques\r\n\r\n####Transition Spline (Or Stitching Spline)\r\n * Stretch Modeling using Transition Splines\r\n * Stretch Partition/Isolation in Transition Splines\r\n * Knot Insertion vs. Transition Splines\r\n * Overlapping Stretches\r\n\r\n####Penalizing Exact/Closeness of Fit and Curvature Penalty\r\n\r\n####Index/Tenor Basis Swaps\r\n * Component Layout and Motivation\r\n * Formulation\r\n\r\n####Multi-Stretch Merged Curve Construction\r\n * Merge Stretch Calibration\r\n\r\n####Latent State Manifest Measure Sensitivity\r\n * Float-Float Manifest Measure Sensitivities\r\n * Multi-reset Floating Period\r\n\r\n####OIS Valuation and Curve Construction\r\n * Base Framework and Environment Setup\r\n * OIS Valuation Extensions and Approximations\r\n * OIS-FX Basis Swap Valuation and Approximations\r\n * Arithmetic Accrual Convexity Correction\r\n * Composed Period Latent State Loadings\r\n\r\n####Spline Based Credit Curve Calibration\r\n\r\n###Multi-Curve Construction/Valuation Library\r\n\r\n####Correlated Multi-Curve Build-out\r\n * Standard FRA Setup\r\n * Standard FRA Options\r\n * No arbitrage and Counter-party Risk Based Standard FRA Formulation\r\n * Market FRA Setup\r\n * Futures\r\n * Multi-Curve Swap Valuation\r\n\r\n####Cross Currency Basis Swap\r\n * Product Details and Valuation\r\n * Building the CCS Discount Curve\r\n * Custom CCBS Based Curve Construction SKU\r\n * Mark-To-Market Cross-Currency Swap Valuation\r\n * Mark-To-Market Cross-Currency Swap - Valuation Formulation\r\n * Absolute/Relative MTM Application\r\n * Per-Trade Risk Isolation Components\r\n\r\n###Collateral and XVA Metrics Library\r\n\r\n####Collateral Agreements and Derivatives Valuation\r\n * Two Collateralized Assets\r\n * Setup pf the Collateral Curve Dynamics\r\n * Collateralized Black-Scholes Formulation\r\n * Collateralization and Funding Derivative Valuation\r\n * Collateral PDE Formulation\r\n * Formward Contract Valuation\r\n * European Style Options\r\n * Cross-Currency Model\r\n * Collateral Choice Model\r\n\r\n####CVA and Funding Adjustments PDE\r\n * Counterparty Risk and Funding Costs\r\n * Notation, Symbology, and Key PDE's\r\n * Model Setup and the Derivation of the Bilateral Risky PDE\r\n * Using VHat (T, S) and Mark-To-Market at Default\r\n * Using V (T, S) and Mark-To-Market at Default\r\n * Funding and Default Payoff Examples\r\n * Counter-party Funding and PDE Extensions\r\n * Balance Sheet and Funding Cost Management\r\n * Unified Framework for Bilateral Counterpart Risk and Funding Adjustments\r\n * Simple Model for the Impact of Derivative Asset on Balance Sheet and Funding\r\n * Balance Sheet Management to Mitigate Funding Costs\r\n * Funding Strategies and Costs Impact\r\n * Generalized Semi-replication and Pricing PDE\r\n * Semi-replication\r\n * Examples of Different Bond Portfolios\r\n * The Perfect Replication - FCA Vanishes\r\n * Semi-replication with no Shortfall at own Default\r\n * Set-offs\r\n * Semi-replication with a Single Bond\r\n * Burgard and Kjaer (2013) Case Study\r\n\r\n####Accounting for OTC Derivatives: Funding Adjustments and Re-hypothecation Option\r\n * Status of Currenct FCA/FBA Accounting\r\n * Comaprison between FCA/FBA and FVA/FDA\r\n * OTC vs. Repo Markets\r\n * Modus Operandi of Funding Desks\r\n * MTM and the Asset Liability Symmetry\r\n * Rigorous Framework for Funding Costs\r\n * Funding Set VM RHO Computation\r\n * Shortcomings of Traditional CVA Systems\r\n * Addressing the Shortcomings of FCA/FBA Accounting\r\n * Valuation Adjustment Estimation Framework Setup\r\n * OTC Bookds Funding Set Decomposition\r\n * Inconsistent Booking under the FCA/FBA\r\n * Improvements Offered by the FVA/FDA Accounting\r\n * CET1 Deductions\r\n * \"Going Concern\" or Defaulable Banks\r\n * Cash Flow Streams Categorization\r\n * Accounting Rules\r\n * Contra-Asset and Contra-Liability Accounting for Credit Risk\r\n * Contra-Asset and Contra-Liability Accounting for Funding\r\n * Accounting Cash Flow Setup Framework\r\n * Cash Flows related to VM Funding\r\n * Cash Flows at Counter-party Default\r\n * Cash Flows at Bank Default\r\n * CVA and DVA\r\n * FVA and FDA\r\n * FCA and FBA\r\n * CA and CL Adjustments\r\n * Own Credit Sensitivities\r\n * Triggers and Close-out Adjustments\r\n * Collateral Triggers and Close-outs\r\n * Incorporating ISDA 1992 Close-outs\r\n * VM Re-hypothecability across Funding Sets\r\n * Trade and Portfolio FTP Estimation\r\n * FTP for FCA/FBA Accounting\r\n * FTP for FVA/FDA Accounting\r\n * Exit Prices and Fair Valuation\r\n * FVA/FDA Accounting\r\n * FCA/FBA Accounting\r\n * Liquidity Spreads, Asset Liability Symmetry, and Alternative Allocations for Excess Collateral\r\n * Working Capital Management and Operations\r\n * Equity Gain and Debt Gain\r\n * Liquidity Based Analysis and Treatment\r\n * Problems with Gain Accounting\r\n * Albanese and Andersen (2014) Case Study\r\n * Case Study Setting and Purpose\r\n * Scenario Estimation of the XVA Metrics\r\n * Product and Scenario Threshold Type Scenarios\r\n * XVA Error Metrics and Incrementals\r\n * Estimation ofthe FCA/FBA - FVA/FDA Mismatch\r\n * Traditional Challenges with Derivative Accounting\r\n * Problems with FCA/FBA Accounting\r\n * FVA/FDA vs. FCA/FBA Enhancement\r\n * Trading Staff Point of View\r\n * Challenges with the XVA Metric Estimation\r\n * Shortfalls of the FVA/FDA Scheme\r\n * Alternate Specialized Value Metrics\r\n\r\n###Position Horizon Analyzer Library\r\n\r\n####Convexity Corrections Associated with Margining\r\n\r\n####Hedging Considerations\r\n\r\n####Product Curve Effect Attribution\r\n * Market Value Change Explain Components\r\n * Coupon Accrual Intrinsic\r\n * Market Parameters Intrinsic\r\n * Market Parameters Extrinsic\r\n * Market Value Change Effects Formulation\r\n\r\n###Statistical Curve Construction Library\r\n\r\n####Inference Based Curve Construction\r\n * Curve Smoothing in Finance\r\n * Bayesian Curve Calibration\r\n * Sequential Curve Estimation\r\n\r\n###Bond RV Metrics Library\r\n * The Bond RV Measure Set\r\n * Asset Swap Spread\r\n * Bond Basis\r\n * Convexity\r\n * Credit Basis\r\n * Discount Margin\r\n * Duration\r\n * DV01\r\n * G Spread\r\n * I Spread\r\n * Macaulay Duration\r\n * Modified Duration\r\n * Option Adjusted Spread\r\n * Par Asset Swap Spread\r\n * Par Spread\r\n * Par Equivalent CDS Spread (PECS)\r\n * Price\r\n * Spread Over Treasury Benchmark\r\n * Yield\r\n * Yield Basis\r\n * Yield Spread\r\n * Yield01\r\n * Zero Discount Margin (ZDM)\r\n * Z Spread\r\n * Relative Value Cross-Metric Grid\r\n * Basic Measures\r\n\r\n###Stochastic Evolution and Option Pricing Library\r\n\r\n####Stochastic Calculus\r\n * Single-Factor Stochastic Calculus\r\n * Multi-Factor Stochastic Calculus\r\n * Risk Neutral Pricing Framework\r\n\r\n####Black Scholes Methodology\r\n * The Replication Technique\r\n * Capital Asset Pricing Model\r\n * Multi-numeraire Formulation\r\n * First Order Log-normal Black Scholes Greeks\r\n * Second Order Log-normal Black Scholes Greeks\r\n * Third Order Log-normal Black Scholes Greeks\r\n * Time-Dependent Black Scholes\r\n * Local Volatility Models\r\n * Black Normal Model Specification and Dynamics\r\n * Options on Forward\r\n * The Black76 Model\r\n\r\n####Stochastic Volatility Models: The Heston Model\r\n * Model Specification and Dynamics\r\n * Price Estimation Through Characteristic Functions\r\n * Fourier Inversion in Characteristic Function\r\n\r\n####Dynamical Latent State Calibration\r\n * Fokker-Planck Equations\r\n * Volatility Observations vs. Calibrations\r\n\r\n###Interest Rate Dynamics and Option Pricing Library\r\n\r\n####HJM Model\r\n * Formulation\r\n * Hull-White from HJM\r\n * G2++ - A 2-Factor HJM Model\r\n * HJM to LMM\r\n * HJM PCA\r\n\r\n####Hull-White Model\r\n * Short-Rate Formulation\r\n * Hull-White Trinomial Tree\r\n * Construction of the Symmetric Trinomial Tree\r\n * Displacing the Nodes of the Trinomial Tree\r\n\r\n####Market Model fo Interest Rate Dynamics\r\n * Nomenclature and Notation\r\n * The BGM Model\r\n * LIBOR Rate Dynamics\r\n * Relation to the HJM Dynamics\r\n * Existence, Uniqueness, and Regularity of the LIBOR Dynamics Solution\r\n * Upper/Lower Bounds for the LIBOR Rate\r\n * Invariant Measure for the LIBOR Rate\r\n * BGM Cap/Floor Pricing\r\n * Payer Swap Option Pricing\r\n * Payer Swap Option Pricing Simplification\r\n * Mismatched Periods Cap/Swaption Pricing\r\n * Approximate vs. Full Simulation Comparisons\r\n * Typical Model Calibration Results\r\n\r\n####The SABR Model\r\n * Parameter Estimation\r\n\r\n###LMM Extensions, Calibration, and Greeks Library\r\n\r\n####LMM Calibration and Greeks Overview\r\n * Robust LMM Calibration Approaches Overview\r\n * Cross-Currency LIBOR Market Model\r\n * LMM Based Greeks Calculation Approaches\r\n * Major Extensions to LMM\r\n * Hedging the Derivatives Cash Flow\r\n * LMM Skew and its Calibration\r\n * LMM Smile and its Calibration\r\n * Cross-Currency Extensions to LMM\r\n * LMM Monte-Carlo Methods and Greeks\r\n * Numerical Methods for LMM Calibration\r\n\r\n###Algorithmic Differentiation Library\r\n * Algorithmic Differentiation in Finance\r\n * Program Sequence Construction Modes\r\n * Canonicalization - Program Statements Simplification by Decomposition\r\n * Challenges of Automating the Differentiation\r\n * Wengert Representation and Optimal Program Structure Synthesis\r\n * Optimization using Pre-accumulation and Check-Pointing\r\n * Algorithmic Differentiation Financial Application Space Customization\r\n * Sensitivity Generation During Curve Construction\r\n * Curve Jacobian\r\n * Stochastic Entity Evolution - Sensitivity Formulation\r\n * Sensitivities to Stochastic State Variates and Dynamical Parameters\r\n * State Variate Evolution Constrained by Splines\r\n * Formulation of the Evolution of the Stochastic Variate Self-Jacbian\r\n * Correlated Stochastic Variates Evolution\r\n * LMM Forward Rate Evolution\r\n * Formulation of the Pay-off Function Stochastic Evolution\r\n * Path Greeks\r\n * Pay-off Sensitivity to the Correlation Matrix\r\n * Algorithmic Differentiation in Pay-off Sensitivities Calculation\r\n * Bermudan Swap Option Sensitivities Formulation\r\n * Bermudan Swap Option Sensitivites Greek Estimation\r\n * LSM Methodology\r\n * NTD Basket Sensitivities Product Formulation\r\n * Basket Options\r\n\r\n###Asset Backed Model Library\r\n * Overview of the Credit Model Methodology\r\n * Scope of the Model\r\n * Data Model Construction Rules\r\n * Loan Data Quality Rules\r\n * Lending Club Loan Level Data\r\n * Loan Credit Model Implementation\r\n * Credit Model Selection Methodology\r\n * Regressor Contribution Weights\r\n * Empirical Analysis of Seasoning Effects\r\n * Analysis of the Vintage/Cohort Effects\r\n * Analysis of the Empirical Seasonality Effects\r\n * CPR and CDR Curve Estimation\r\n * Credit Model Enhancements\r\n\r\n\r\n##Contact\r\n\r\nlakshmi@synergicdesign.com\r\n",
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}