tailieunhanh - Learn Financial Modeling Markets Using Visual Basic NET_10

Tham khảo tài liệu 'learn financial modeling markets using visual basic net_10', công nghệ thông tin, hệ điều hành phục vụ nhu cầu học tập, nghiên cứu và làm việc hiệu quả | Unified Modeling Language 353 STRESS TESTING Stress testing measures the impact of an abnormal market move on a portfolio. Running abnormal scenarios allows us to quantify the move s effects on a portfolio and if these effects are unacceptable the portfolio composition may need to be revised. Scenarios are often historical in nature. For example what would have happened had this portfolio gone through the crash of 1987 or September 11 What would happen if all our correlations go to 1 If our firm is engaged in dynamic hedging or constant rebalancing of portfolios what would happen if a major shock occurred overnight and market liquidity dries up None of these scenarios is statistical in nature but clearly there are nonzero probabilities associated with them that must be addressed. Now let s incorporate UML design techniques and Monte Carlo simulation into a simple VaR calculator. STRUCTURAL DIAGRAMS Structural diagrams show the static architecture of a software project. Class Diagram A full class diagram displays an overview of an entire system including the constituent classes and the relationships between them. However class diagrams are static and only show what relationships exist but not when they happen. UML notation for a class is a rectangle with three parts one each for the class name the attributes and the member methods or functions. An individual class is represented in Figure . Here Monte Carlo is the name of the class and it represents the definition of a Monte Carlo simulation object. The and signs define the private and public visibility of the attributes and methods. Although not shown would define protected visibility. MyMarket CurrentPortfolio dblIterations and dblDaysAhead are all private attributes of the Monte Carlo class. The dblDaysA-head attribute for example will hold the time horizon of the Team-LRN 354 Object-Oriented Programming FIGURE Private Monte Carlo -myMarket Market -Currentportfolio Portfolio -dbllterations Double .