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.








A few ways of pricing assets are explored. The pricing parameters for a given asset can be stored in the database and are automatically selected (i.e. fields are populated automatically) when the asset is chosen.



Once pricing is complete the information is displayed along with some buttons for saving the information to the database or saving to a notebook (from which you can print to a PDF file).



Scroll down to view all the results.


At the bottom of the results table the user has an option to generate histograms to view how the Monte Carlo simulated results are distributed.


Scroll down ...



Scroll down further ...



For assets the company didn't own (yet) they could value the asset based on various criteria. Note that the fields and buttons are rendered automatically based on whether or not the asset is currently listed as owned. In other words if the company owns the asset the pricing window (for pricing an individual asset) automatically appears as above whereas if the asset is listed in the database as owned the single asset pricing window appears as below:





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