In this textbook the authors introduce the important concepts of the financial software domain, and motivate the use of an agile software engineering approach for the development of financial software. They describe the role of software in defining financial models and in computing results from these models. Practical examples from bond pricing, yield curve estimation, share price analysis and valuation of derivative securities are given to illustrate the process of financial software engineering.

Financial Software Engineering also includes a number of case studies based on typical financial engineering problems:

• Internal rate of return calculation for bonds

• Macaulay duration calculation for bonds

• Bootstrapping of interest rates

• Estimation of share price volatility

• Technical analysis of share prices

• Re-engineering Matlab to C#

• Yield curve estimation

• Derivative security pricing

• Risk analysis of CDOs

The book is suitable for undergraduate and postgraduate study, and for practitioners who wish to extend their knowledge of software engineering techniques for financial applications

Autorentext

Dr Lano has worked for over 25 years in the fields of system specification and verification. He was one of the originators of the Model-Driven Engineering (MDE) field and has been a leading advocate of improving the precision of software modelling, and in applying software engineering principles to transformation construction. In recent years he has worked on the integration of MDE and agile development. Dr Haughton has worked in the fields of quantitative finance, risk management and credit risk since 1994. Formally at JP Morgan, Dresdner Bank, Deutsche bank, Merrill Lynch and the Commonwealth Secretariat, he is the director of Holistic Risk Solutions Ltd.

Inhalt

Financial services and markets.- Financial products and analyses.- Model-based and agile developments.- Financial system specification using UML.- Financial system design.- Trading and analytics technologies.- Software modernisation and re-engineering.- Agile model-based development approaches.- Analysis of financial products: CDOs.- Tool support for financial application development.