Numerix Internship Training. Copyright © 2015 Numerix LLC. All rights reserved. Numerix, the Numerix logo, and CrossAsset are either registered trademarks,

Numerix Internship TrainingNumerix Internship Training

Copyright © 2015 Numerix LLC. All rights reserved. Numerix, the Numerix logo, and CrossAsset are either registered trademarks, or trademarks, of Numerix LLC in the United States and/or other countries. CONFIDENTIAL

Numerix Intern Training Program IntroductionNumerix Intern Training Program Introduction

The Numerix Training Internship Program is designed to provide

student interns with a sound theoretical and practice background

in order to carry out their regular internship duties.

Students engaged in the field experience will receive extra training

sessions designed to broaden up the context of the day to day duties.


Numerix Intern Training ProgramNumerix Intern Training Program

• One Day per week during 12 weeks• Provides detailed insight on best industry practices• Hands on exercise on most popular Numerix products• Experience


Numerix Intern Training Program GoalsNumerix Intern Training Program Goals

• Provide a financial software learning experience• Integrate financial valuation theory and practice• Provide environment for talent valuation• Unify classroom and real life market experiences• Provide professional tools to solve industry challenges• Feedback on Numerix products usage


Numerix Intern Training Program Learning BenefitsNumerix Intern Training Program Learning Benefits

• Skills development in a professional environment• Valuable applied experience• Connections in professional path• Strengthening of Intern’s curriculum• Opportunity to learn from an industry leader• Opportunity for employer to evaluate talent


Numerix Intern Training Program SummaryNumerix Intern Training Program Summary

• Walk through Numerix framework• Financial Engineering solutions• Dashboard products• Theoretical background of derivatives pricing• Industry practices


Numerix Intern Training Program AgendaNumerix Intern Training Program Agenda

Week 1:Technology Architecture and SolutionsKey featuresBloomberg EditionDocumentation, References and ExamplesApplication calls, tables and matricesDependencies, Registry ViewerXML capabilitiesExcel shortcuts

Week 2:

Models and MethodsDeal Structuring and PricingAnalytic vs Kernel ArchitectureScripted Deals Roadmap Object and Functional InterfaceSolution BuilderAnatomy of a NumeriX ObjectConfigurations and Settings



Week 1:Technology Architecture and SolutionsKey featuresBloomberg EditionDocumentation, References and ExamplesApplication calls, tables and matricesDependencies, Registry ViewerXML capabilitiesExcel shortcuts

Week 2:

Models and MethodsDeal Structuring and PricingAnalytic vs Kernel ArchitectureScripted Deals Roadmap Object and Functional InterfaceSolution BuilderAnatomy of a NumeriX ObjectConfigurations and Settings



Week 3:Accessing and Editing preexisting NumeriX SolutionsQuick Start ApproachExample from Solutions: American Option, Trade Summary, ModelExample from Solutions: Bermudan Callable Floater SwapModifying Market Data and Deal TermsCallability feature, Cash Flows, Exercise ProbabilitiesRisk ReportsSolvers

Week 4:

Building and Stripping a Yield CurveTypes of Yield Curves, interpolation variables and methods Market Data Objects CreationStripping a Yield Curve from InstrumentsPriority and IntervalsModel calibration to InstrumentsModel Viewer, Calibration ReportMarket Environment



Week 5:Deal StructuringCaped Floater revisitedKernel Component definitionPricer Object RoadmapEvent ObjectsIndicesAged DealsTime Slice ObserverComponents of a Scripted PayoffCash Timing Flags: ThisPay and DateNow

Week 6:

The Kernel PriceTypes Of Kernel ObjectsQuality, Numerical MethodsTracing Kernel OperationsPayoff DebuggingKernel Solver, boundsRisk Reports and Risk AnalysisMarket Data ShiftsDeferred Valuation



Week 5:Deal StructuringCaped Floater revisitedKernel Component definitionPricer Object RoadmapEvent ObjectsIndicesAged DealsTime Slice ObserverComponents of a Scripted PayoffCash Timing Flags: ThisPay and DateNow

Week 6:

The Kernel PriceTypes Of Kernel ObjectsQuality, Numerical MethodsTracing Kernel OperationsPayoff DebuggingKernel Solver, boundsRisk Reports and Risk AnalysisMarket Data ShiftsDeferred Valuation



Week 7:Cross Currency InstrumentsBasis CurvesDeterministic, Three Factors and LMM ModelsPayments on Domestic/Foreign currenciesValuation of options on EquityRepo and Dividend CurvesVolatility Surface, Vol Smoothing and SABR FittingVanna Volga Method

Week 8:Valuation of FX InstrumentsThe FX Spot matrix ObjectFX VolMarket Conventions: delta types, bf, rr and atmVol Smoothing and fittingCalibration of FX Dupire Model: barrier corrections



Week 9:Advanced Risk Module DefinitionsCounterparty Credit Exposure ReportNetting Sets and CollateralsPotential Future Exposure CalculationBilateral value AdjustmentAcceleration of CalculationsFunding Value Adjustment

Week 10:

Introduction to SDKApplication Workspace classesOverview of C++ solutions, name/value pair paradigmObject CreationEntity Object ModelOptional ArgumentsObject LifetimeWrapping up ObjectsObjected Oriented using C#Java examplesXML communication between interfaces



Week 11:Introduction to CAIL / CASArchitecture overviewTemplate StudioSDK Examples Market Data ToolIntroduction to CAS Installation processRunning Servers, Brokers and ClientsWeb Services, Python and Java Examples

Week 12:Introduction to Portfolio Introduction to Leading HedgeIntroduction to ESGIntroduction to XVA

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Numerix Internship Training. Copyright © 2015 Numerix LLC. All rights reserved. Numerix, the Numerix logo, and CrossAsset are either registered trademarks,