Risk++ is a set of powerful C++ frameworks for risk management and financial modeling which can be leveraged to develop custom risk management solutions, and to extend the functionality of RiskWatch.
Upon successful completion of the course, the participant will be able to:
- Explain the design and functionality of the Risk++ library;
- Describe the types of financial functions that can be created in Risk++;
- Describe the underlying financial modeling paradigm, its flexible and extensible ''plug-in'' architecture, as well as its capabilities and limitations;
- Develop and Implement Dynamically Loaded Modules (DLM's) for use in RiskWatch using Risk++ code;
- Map real instrument parameters in to Risk++ attribute classes;
- Create State Procedures, new Instruments, Pricing Functions and Settlement Procedures.
Please refer to course overview for description information.
This advanced course is designed for Financial model developers, implementers, and financial system integrators.
You should have:
- Foundations of RiskWatch
- thorough knowledge of C++
- working knowledge of Unix
- basic understanding of finance
The course is delivered through a number of mediums, including product demonstrations, instructor-led exercises and self-paced hands-on practice.
- Introduction and course agenda
- Hierarchy of the types of financial calculations which take advantage of Risk++
- Modeling paradigm as reflected in the Risk++ flexible, ''plug-in'' framework, need for run-time type identification
- Shared objects, position-independent code, implementing run-time type identification, registration mechanism, and allocation functions
- Introducing the structure of a code implementing a dynamic link module
- Moving towards more practical matters: creating new instruments, compiling and loading an example dynamic-link module into RiskWatch. Mapping parameters of real instruments to Risk++ attribute classes
- The most important Risk++ classes and their relationship with RiskWatch objects
- Creating new State Procedures - examining example code, making modifications, ecompiling, reloading, etc.
- Review of material covered on Day 1
- Hands-on exercise: Creating new Pricing Functions and Settlement Procedures
- Hands-on exercise: Examining code examples, making modifications, recompiling, and reloading
- Advanced Risk++ concepts: Virtual Methods, Evaluation Context - examining code examples, making modifications, recompiling, reloading, etc.
- Application free time