VBA for Quant Finance in 10 classes [Ver3]

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VBA for Quant Finance in 10 classes [Ver3]


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VBA for Quant Finance 20 hours / 10 classes Financial Engineering (Beta version) : VBA for Quant Finance 20 hours / 10 classes Financial Engineering (Beta version) To be started in April 2013 By : Shivgan Joshi http://stockcreditfinancecfa.blogspot.in/

Important Points Course : Important Points Course Requires absolutely no knowledge of programming Provide introduction about all Quantitative roles in Investment Banking Highly flexible and tailored as per needs of individual (10-50 % Quant Finance & 10-50% VBA) Sensitization on derivative, Quant Equity corporate IB, fixed income, Monte Carlo Feel the same as you while you are on the IB desk Examples with real data to enhance your Financial-IQ New Interpretation, terminologies, and basic IQ for the subject covered Helpful for passing FRM, CFA, BAT exams also prepares for Master level studies in Finance or career change Right mix of data handling, scripting, mathematical skills Contains right blend of learning and practice (Ratio 6:4)

Course Structure: VBA in 10 classes : Course Structure: VBA in 10 classes Introduction to Programming on VBA (comparison with MATLAB, R , SAS, C++ etc) Introduction to Quant Corporate Finance & Investment Banking : WACC, Beta, Time series, EV/EBITDA screening weighting etc (Monte Carlo) Equity Quant Data types, ranges and cell arrays, opening file, Data Handling & Visualization, Playing with Ranges & Data validation Logical operators, control flow, data tables, functions, dependencies, joining strings, delimiter and data validation Techniques for Handling Missing data & Data Pulling into Excel Distributions, Normal, Inverse Normal, FRM, beta, KMV, VAR Portfolio Optimization, Black Sholes Advanced Monte Carlo Extra / Projects/ Buffer

VBA in Financial Engineering : VBA in Financial Engineering Quant Corporate Finance (Investment Banking) Quant Equity (Equity strategies and indices) Yield curve / Fixed Income / ABS Derivatives / Binomial pricing MC/ Hull white / BS / exotic options / KMV Monte Carlo Portfolio Optimization

Overlap with CFA L2 : Overlap with CFA L2 Equity Methods Corporate Finance Portfolio Fixed Income & derivatives Quant (Regression & time series)

Introduction to VBA (1) : VBA Data Types Logic Structures :IF – ELSEIF – ELSE – END IF IIF SELECT CASE Control Structures :FOR - NEXT loop FOR - EACH loop DO WHILE loop DO UNTILL loop Arrays in VBA : Array data types Single dimensional Arrays Multi dimensional Arrays Dynamic Arrays How we can access arrays’ elements with control structures , Fast Sorting of Data using Arrays Program structures and Sub-routines Functions Logical organization of Functions and Sub-routines Introduction to VBA (1)

Introduction to VBA (2) : Excel VBA Program structure – Modules and Forms Logical and Physical organization of Excel VBA programs –Excel File and Code Modules VBA subroutines :Logical algorithm of subroutine program Building your first subroutine in VBA Editor User-Defined Function: Creating User-Defined Functions in VBA Differences between Excel User-Defined Functions and Subroutines, Accessing Excel functions from VBA How Macro generated codes help to write VBA programs Error Handling Debugging subroutine / user defined function in VBA: Stepping , Add watch , Quick watch Setting, Toggling and Clearing Breakpoints Introduction to VBA (2)

Object Oriented Programming : Basic Concept of Object Oriented Programming Introduction to Excel Objects Arrays and matrix algebra: How efficiently Multidimensional Array can be used to manipulate matrices, Coding Correlation and Covariance Matrices, Importing Data into Excel from Text, CSV, etc.; Exporting Data from Excel into Text, CSV, etc.; Database Access using VBA Object Oriented Programming in Excel VBA Class modules, User defined classes, Objects, methods, properties and events Object Oriented Programming

PowerPoint Presentation : Dependencies and removing arrows, removing dead cells Picking non blank cells, or cells with formula (data type) Selecting sheet and changing color Selection vs entire sheet For loops, if end if loops, exiting loop, placing end, nestled for loop Importing values from another sheet, without opening Change manual to automatic formula computation Data tables with one and two variables using VBA With Command Set Command := used where? Selecting cell with specific values Data tables (2 Variables) Combining array in a single cell using delimiter VBA editing of data validation, type data validation, playing with ranges Data validation playing with string to get the last value playing with axis of charts formatting Functions with many inputs On Error Option Explicit others Selective clearing arrays rows  ranges by . clear command

10 programs covered : 10 programs covered Finding dead cells and changing their color Data validation default values Playing with Ranges Functions with dynamic inputs For in for loop example to pick elements of a range Importing data from other files Norm inverse, percentile regression for KMV Joining and separating files with a delimiter Monte Carlo

Equity Quant : Equity Quant Quant index, beta computations, different style of index, equity derivatives, importance of volume traded, value growth differences, emerging and developed markets relations, how indices are made, using ric ticker, equity database research, etc

Quant Corporate Finance (Investment Banking) : Quant Corporate Finance (Investment Banking) WACC, Beta, Time series, EV/EBITDA screening weighting etc.

Data Handling : Data Handling Data types, ranges and cell arrays, opening file, Data Handling & Visualization

Logical Operations : Logical Operations Logical operators, control flow, data tables, functions, dependencies, joining strings, delimiter and data validation Functions Dynamic Inputs

Handling data : Handling data Missing Data Data Pulling into Excel

Playing with Ranges & Data validation : Playing with Ranges & Data validation

Derivatives, Fixed Income and Portfolio : Derivatives, Fixed Income and Portfolio Portfolio Optimization, Black Sholes, etc Yield curve / Fixed Income / ABS

Statistics : Statistics Distributions, Normal, Inverse Normal, FRM, VAR

Adavanced Monte Carlo : Adavanced Monte Carlo

Revision : Revision

Shivgan Joshi
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