IBM Algorithmics Foundations of Risk++

The course is delivered through a number of mediums, including product demonstrations, instructor-led exercises and self-paced hands-on practice.

Day 1:

• Introduction and course agenda
• Hierarchy of the types of financial calculations which take advantage of Risk++
• Modeling paradigm as reflected in the Risk++ flexible, ''plug-in'' framework, need for run-time type identification
• Shared objects, position-independent code, implementing run-time type identification, registration mechanism, and allocation functions
• Introducing the structure of a code implementing a dynamic link module
• Moving towards more practical matters: creating new instruments, compiling and loading an example dynamic-link module into RiskWatch. Mapping parameters of real instruments to Risk++ attribute classes
• The most important Risk++ classes and their relationship with RiskWatch objects
• Creating new State Procedures - examining example code, making modifications, ecompiling, reloading, etc.

Day2:

• Review of material covered on Day 1
• Hands-on exercise: Creating new Pricing Functions and Settlement Procedures
• Hands-on exercise: Examining code examples, making modifications, recompiling, and reloading
• Advanced Risk++ concepts: Virtual Methods, Evaluation Context - examining code examples, making modifications, recompiling, reloading, etc.
• Application free time
• Wrap-up