Modern Computational Finance: Scripting for Derivatives and xVA (With Professional Implementation in C++)

Scripting of derivatives transactions has been a central piece of financial software since the 1990s. Most derivatives valuation and risk systems, either in-house or from external vendors, feature scripting technology. Yet, the expertise in this field remains unwritten to date, without any dedicated article or publication. This volume fills the gap. It is written by Jesper Andreasen and Antoine Savine, who have developed scripting systems for leading investment banks since the 1990s, actively contributed to the development of the scripting technology, and co-developed Danske Bank's award-winning derivatives system.The publication comes with a complete, professional scripting library written in modern C++, and the chapters gradually and pedagogically guide readers towards its construction. Scripting technology is widely considered as a convenience for the structuring and risk management of exotic derivatives, only. This publication shows that the scripting technology has much wider applications. Specifically, it demonstrates how scripting provides a unique representation of financial transactions that enables the user to interrogate, aggregate and manipulate cash-flows in multiple ways, facilitating portfolio-wide risk assessment and regulatory calculations like XVA. This is essential reading for developers and analysts, all professionals involved with financial derivatives, as well as students and teachers in Masters and PhD programs in finance.