Modern Computational Finance : Scripting for Derivatives and XVA

Cover -- Title Page -- Copyright Page -- Contents -- My Life in Script by Jesper Andreasen -- Part I A Scripting Library in C++ -- Introduction -- Chapter 1 Opening Remarks -- Introduction -- 1.1 Scripting is not only for exotics -- 1.2 Scripting is for cash‐flows not payoffs -- 1.3 Simulation models -- 1.4 Pre‐processing -- 1.5 Visitors -- 1.6 Modern implementation in C++ -- 1.7 Script templates -- Chapter 2 Expression Trees -- 2.1 In theory -- 2.2 In code -- Chapter 3 Visitors -- 3.1 The visitor pattern -- 3.2 The debugger visitor -- 3.3 The variable indexer -- 3.4 Pre‐processors -- 3.5 Const visitors -- 3.6 The evaluator -- 3.7 Communicating with models -- Chapter 4 Putting Scripting Together with a Model -- 4.1 A simplistic Black‐Scholes Monte‐Carlo simulator -- 4.1.1 Random number generators -- 4.1.2 Simulation models -- 4.1.3 Simulation engines -- 4.2 Connecting the model to the scripting framework -- Chapter 5 Core Extensions and the "Pays" Keyword -- 5.1 In theory -- 5.2 In code -- Part II Basic Improvements -- Introduction -- Chapter 6 Past Evaluator -- Chapter 7 Macros -- Chapter 8 Schedules of Cash‐Flows -- Chapter 9 Support for Dates -- Chapter 10 Predefined Schedules and Functions -- Chapter 11 Support for Vectors -- 11.1 Basic functionality -- 11.2 Advanced functionality -- 11.2.1 New node types -- 11.2.2 Support in the parser -- 11.2.3 Processing -- 11.2.4 Evaluation -- Part III Advanced Improvements -- Introduction -- Chapter 12 Linear Products -- 12.1 Interest Rates and Swaps -- 12.2 Equities, Foreign Exchange, and Commodities -- 12.3 Linear Model Implementation -- Chapter 13 Fixed Income Instruments -- 13.1 Delayed payments -- 13.2 Discount factors -- 13.3 The simulated data processor -- 13.4 Indexing -- 13.5 Upgrading "pays" to support delayed payments -- 13.6 Annuities -- 13.7 Forward discount factors -- 13.8 Back to equities.