Numerix 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 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.

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

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 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

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 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

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

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 Agenda Week 1: Technology Architecture and Solutions Key features Bloomberg Edition Documentation, References and Examples Application calls, tables and matrices Dependencies, Registry Viewer XML capabilities Excel shortcuts Week 2: Models and Methods Deal Structuring and Pricing Analytic vs Kernel Architecture Scripted Deals Roadmap Object and Functional Interface Solution Builder Anatomy of a NumeriX Object Configurations and Settings

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 Agenda Week 1: Technology Architecture and Solutions Key features Bloomberg Edition Documentation, References and Examples Application calls, tables and matrices Dependencies, Registry Viewer XML capabilities Excel shortcuts Week 2: Models and Methods Deal Structuring and Pricing Analytic vs Kernel Architecture Scripted Deals Roadmap Object and Functional Interface Solution Builder Anatomy of a NumeriX Object Configurations and Settings

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 Agenda Week 3: Accessing and Editing preexisting NumeriX Solutions Quick Start Approach Example from Solutions: American Option, Trade Summary, Model Example from Solutions: Bermudan Callable Floater Swap Modifying Market Data and Deal Terms Callability feature, Cash Flows, Exercise Probabilities Risk Reports Solvers Week 4: Building and Stripping a Yield Curve Types of Yield Curves, interpolation variables and methods Market Data Objects Creation Stripping a Yield Curve from Instruments Priority and Intervals Model calibration to Instruments Model Viewer, Calibration Report Market Environment

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 Agenda Week 5: Deal Structuring Caped Floater revisited Kernel Component definition Pricer Object Roadmap Event Objects Indices Aged Deals Time Slice Observer Components of a Scripted Payoff Cash Timing Flags: ThisPay and DateNow Week 6: The Kernel Price Types Of Kernel Objects Quality, Numerical Methods Tracing Kernel Operations Payoff Debugging Kernel Solver, bounds Risk Reports and Risk Analysis Market Data Shifts Deferred Valuation

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 Agenda Week 5: Deal Structuring Caped Floater revisited Kernel Component definition Pricer Object Roadmap Event Objects Indices Aged Deals Time Slice Observer Components of a Scripted Payoff Cash Timing Flags: ThisPay and DateNow Week 6: The Kernel Price Types Of Kernel Objects Quality, Numerical Methods Tracing Kernel Operations Payoff Debugging Kernel Solver, bounds Risk Reports and Risk Analysis Market Data Shifts Deferred Valuation

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 Agenda Week 7: Cross Currency Instruments Basis Curves Deterministic, Three Factors and LMM Models Payments on Domestic/Foreign currencies Valuation of options on Equity Repo and Dividend Curves Volatility Surface, Vol Smoothing and SABR Fitting Vanna Volga Method Week 8: Valuation of FX Instruments The FX Spot matrix Object FX Vol Market Conventions: delta types, bf, rr and atm Vol Smoothing and fitting Calibration of FX Dupire Model: barrier corrections

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 Agenda Week 9: Advanced Risk Module Definitions Counterparty Credit Exposure Report Netting Sets and Collaterals Potential Future Exposure Calculation Bilateral value Adjustment Acceleration of Calculations Funding Value Adjustment Week 10: Introduction to SDK Application Workspace classes Overview of C++ solutions, name/value pair paradigm Object Creation Entity Object Model Optional Arguments Object Lifetime Wrapping up Objects Objected Oriented using C# Java examples XML communication between interfaces

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 Agenda Week 11: Introduction to CAIL / CAS Architecture overview Template Studio SDK Examples Market Data Tool Introduction to CAS Installation process Running Servers, Brokers and Clients Web Services, Python and Java Examples Week 12: Introduction to Portfolio Introduction to Leading Hedge Introduction to ESG Introduction to XVA

Thank You 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