Thursday, 21 July 2011

Example of an Enterprise Level Asset Pricing Tool

I recently made an enterprise level asset pricing tool or "dashboard" for a company, that allows users to price assets and obtain other financial metrics without having any Mathematica experience (or even realizing that Mathematica is what they are using). A brief summary of the dashboard:

GUI for asset pricing and analytics, database management, and workflow management built using a combination of Mathematica and SQL languages.

Dynamic Monte Carlo (random numbers sampled from a distribution customized for each asset) & probabilistic asset price modeling using data accessed from the MySQL database; Discounting via either fixed rates or spread to the treasuries rate curve.

Here are some screen grabs of the dashboard. Due to the nature of the project there are limits to what I can display so several tabs in the dashboard aren't displayed or are displayed in a limited way with some pixelation to conceal proprietary information.

Pricing and data retrieval and storage can be scheduled.

Bond yields are obtained from Bloomberg and stored in the company database and retrieved from within the dashboard.