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©2005TheMathWorks,Inc.UsingMATLABtoDevelopandDeployFinancialModelsFinancialProductsGroupAllenSchweitzerAccountManagerKasSharmaApplicationsEngineerRobQuinnTechnicalMarketing2TopicsIntroductionApplicationExamplesOverviewofMATLABDataI/ODataAnalysisModelingBreakAlgorithmDeploymentandReportingDistributedComputingWrapup3Headquarters:Natick,MassachusettsUSAUSA:California,Michigan,WashingtonDC,TexasEurope:UK,France,Germany,Switzerland,Italy,Spain,Benelux,NordicAsia-Pacific:KoreaWorldwidetrainingandconsultingDistributorsin20countriesTheMathWorksataGlanceEarth’stopographyonanequidistantcylindricalprojection,createdwiththeMATLABMappingToolbox4TheMathWorksTodayRevenuesof~$300Min2004PrivatelyheldOver1000employeesworldwide,1/3inproductdevelopmentWorldwiderevenuebalance:50%NorthAmerica,50%InternationalMorethan1,000,000usersin175+countries19851990199520005BusinessChallengesDevelopmenttimeComputationalspeedDeploymenttimeLostopportunityoraddedrisk6MathWork'sproductshavesavedussignificanttimeindevelopingourreturnforecastmodels.MATLAB,coupledwiththedeploymentcapabilitiesavailable,enablesustodistributesophisticatedmodelstoportfoliomanagersandresearchersmuchquickerthanwecouldhavewithothersolutions.“EricKisslingerBarclaysGlobalInvestorsCustomerQuote7CustomerQuote“MATLABcanreduceprogrammingtimebyabout75percent.InsomecasesitwouldbeweeksbeforewecouldrunthecalculationsinC++.”“MATLABisvirtuallytheonlyprogramthatcanhandlethelarge-scaleproblemsthatwemodel.ItisapowerfultoolthatprovidesaveryflexibleEnvironmentinwhichtobuildmodelsrapidly.”AlexanderEydelandMirant8ByusingMATLABasthecomputationengineforourExcelmodels,wehavebeenabletosignificantlyimprovetheaccuracyofoursimulationsandreducecomputingtimebyupto95%.DonMangoAmericanReinsuranceCustomerQuote9“WefoundthedevelopmentcycleinMATLABtobe10timesshorterthaninC++,dramaticallyreducingprojectcostswithoutanysignificantpenaltiestocomputationspeed.”ZafBhuiaCreditSuisseFirstBostonCustomerQuote10AstatisticalarbitragetradingsystemforaLondonhedgefundTradingApplicationHighspeeddataanalysisandtradingapplication•CustomReutersdatafeed•Readandanalyzedata•Estimaterisks•ExecutetradesROIDevelopedfor20%oftheirexpectedcostinonly3months.11Economicchartingsystemforamajorinsurancecompany•Macroeconomictrendingtoolforeconomists•Readdatafromadatabases•Filterusingcustomuserinterface•ReportusingeitherMicrosoftExcelorWordDataAnalysisApplications12EnergyTradingApplicationsAnalysisandreportingtoolforenergytradingcompanies•Customizeddatabaseaccessroutines•Extensiveuseofobjectorientedprogramming•Hierarchicalstructureforbooks,deals,derivatives,etc…•Distributionofnightlypositionreportstoseniormanagementviatheirintranet.•Displayofmarketcurves,sensitivities,etc…13AssetallocationApplicationAnalysistoolforPrivatelymanagedinvestmentcompanyAnenvironmentfordetailedanalysisoftheirholdings.Analysisincludes:•Visualizingefficientfrontiers•Monte-Carlosimulation•PerformancereportingFinalapplicationprovided:•Assetandgroupconstraints.•Statisticcalculationagainstbenchmarks•ReportingbacktoExcel•Extensibility14Re-InsuranceApplicationPricingandrisktoolformajorre-insurancecompanyUsedExcelasfrontenduserinterfaceNeededaccesstoseveraldatabasesAnalysisincludes:•Statisticalroutines•Monte-Carlosimulations•CashflowsROICalculationtimereducedfrom2hoursto3minutesWon$130Morderduetoquickresponsetime15AnalysisanddevelopmenttoolformajorinvestmentbankingApplicationtoanalyselargevolumesofdatatodeterminedailytradingstrategiesImplementnewstrategiesLinktoExcelLinktotradingplatformROIReducemodelexecutiontimefrom10hourto2.5minutesAnalyze500stocks,upfrom150Increasetradingvolumefrom£30milllionto£120milllionPilotstudy,usingConsultingServicesandimplementedin3days,paidforitselfin2tradingdays.SecuritiesTradingApplication©2005TheMathWorks,Inc.OverviewofMATLABandToolboxes17ExcelLinkTypicalProcessFlowMATLABFinancialFinancialDerivativesGARCHFinTimeSeriesStatisticsFixed-IncomeOptimizationDatabaseDatafeedBuilderForExcelBuilderforCOMMATLABCompilerReportGeneratorDataAnalysis&VisualizationDataFinancialModelingReportsDeployApplications18ThePowerofMATLABMATLABisbothAnApplicationDevelopmentEnvironment:ModelsdevelopedinMATLABbyfinancialprofessionalsaretranslatedintocomponentsusingtheMATLABCompileranddistributedasstand-aloneapplicationsorquicklyintegratedintoneworexistinglegacyapplicationsbyInformationTechnologyEngineersAComputationalEnvironment:FinancialprofessionaldevelopcomplexfinancialmodelsusingMATLABanditsfamilyoftoolboxesand19WhyMATLAB?•QuickPrototypingenvironment-LessProgramming-MatrixBased-EasySyntax(nooverhead)-1000’sMath&Graphics•Fastcomputationalengine•Workwithvariousdatasources•Integratewithotherprograms-Excel,VB,&C/C++20DataI/OOverviewDataimportingfunctionsSupportforODBCandJDBCcompliantdatabaseInterfacewithdataprovidersManyInterfacestoExcel21CoreMATLABDataI/OfunctionalitySaveandloadcommandLow-levelfileI/OfunctionsCOM/ActiveXDDEfunctiontextscanxlsreadSaveoptions•8-digitor16-digitASCIIformat•Delimitswithtabsorspaces•Textdata(ASCII)•