FE519 Financial Lab: Advanced Bloomberg

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Description

Instructor: Eric Leininger

Email: eleining@stevens.edu

Class Schedule: Fri: 3:00 p.m. - 4:00 p.m., Hanlon Financial Systems Lab

Course Description

This course provides an extended coverage of the Bloomberg terminals with focus on financial data for derivatives. The topics include interest rate derivatives, foreign exchange derivatives, multi asset risk management system, yield curves construction, and derivative libraries.

Course Objectives

This course is essential for students to learn about derivative financial instruments. After course completion, the students will be able to navigate successfully the Bloomberg terminals, identify and analyze various derivative instruments as currency swaps, swaptions, caps, floors, collars, forwards, vanilla calls, barriers, short-term interest rate futures and bond futures. They will be able to integrate the instruments in a multi asset risk system and construct derivative portfolios. The Bloomberg knowledge obtained in this course is significant for the successful calibration of the financial engineering derivative models to market data.

List of Course Outcomes

After taking this course, the students will be able to:

  1. Navigate derivatives instruments databases available using Bloomberg terminal
  2. Retrieve relevant data fields for their projects
  3. PLearn how to structure a derivative portfolio and measure its performance using Bloomberg terminal
  4. Learn how to create a cross-asset derivative investment proposals


Lecture Outline (Tentative)

Week Topic(s) Reading(s) Class exercises (Optional) HW
1 Interest Rate Derivatives Bloomberg material to be supplied and videos Price and value single currency swaps, Cross Currency Swaps
2 Interest Rate Derivatives Bloomberg material to be supplied and videos Swaptions, Caps, Floors, collars Project 1: IRD and FX Structuring and valuation.
3 Foreign Exchange Derivatives Bloomberg material to be supplied and videos Forwards, vanilla calls, barriers
4 Exchange Traded Interest Rate Derivatives Bloomberg material to be supplied and videos Short-term interest rate futures and Bond Futures
5 Exchange Traded Interest Rate Derivatives Bloomberg material to be supplied and videos Option on Short-Dated Futures Project 2: Exchange Traded futures and Options structure
6 Multi Asset Risk System Structuring a derivative portfolio
7 Curve Construction CTK Videos Creation of single currency discount factors in OIS and LIBOR Project 3: Curve creation in Excel
8 Curve Construction Cross Currency Basis Creation of Cross Currency curves and basis curves
9 Derivative Structuring (STK) STK Videos Line Item Pricer Project 4: Model Creation in Excel
10 Derivative Structuring (STK) Swaption book
11 Derivative Execution Counterparty risk and collateral support annex Margin calculations, cheapest to deliver, Swap Execution Facility, Swap Depository Reporting
12 Equity Derivatives Bloomberg material to be supplied and videos Developing a structured equity deal
13 Commodity Derivatives Bloomberg material to be supplied and videos Calculation of commodity rolls Final Project: Cross asset derivative investment proposal
14 Derivatives Library DLIB video and scripting lanaguage

Grading Policy

Project 1: 15%
Project 2: 15%
Project 3: 15%
Project 4: 15%
Final Project: 40%