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153 Modules

    ODIN Modules

  • - Financial, MATLAB, Utility

    MATLAB Bond Attributes

    This module harnesses the MATLAB® engine to compute bond attributes such as Yield, Price, Convexity, Duration and Spread.

  • - Financial, MATLAB, Utility

    MATLAB CVA (Credit Valuation Adjustment)

    This module harnesses the MATLAB® engine to approximate using a Monte-Carlo simulation various quantites related to the counterparty risk exposure, including credit valuation adjustment, maximum peak exposure and effective expected exposure.

  • - Financial, MATLAB, Utility

    MATLAB Greeks

    This module harnesses the MATLAB® engine to compute the greeks of vanilla derivatives (calls or puts) assuming Black-Scholes pricing.

  • - Statistical, MATLAB, Utility

    MATLAB Kolmogorov-Smirnov Test

    This module harnesses the MATLAB® engine to compute the Kolmogorov-Smirnov P-value on a table set. This P-value can be used to test whether a given set of values follows a normal distribution.

  • - Mathematical, MATLAB, Utility

    MATLAB Matrix Decomposition

    This module harnesses the MATLAB® engine to compute the singular value decomposition of a matrix.

  • MATLAB, Utility

    MATLAB Optimizer

    This module harnesses the MATLAB® engine to perform a mean-variance optimization of a portfolio based on expected returns, covariance and subject to user-defined constraints.

  • Arithmetic, Utility

    Matrix Operation

    This module is used to handle matrices and perform operations.

  • Transform, Utility

    Matrix to Relational

    This module converts data in matrix form to data in database form.

  • Transform, Utility

    Model File Transform

    Transforms and Validates data using saved report settings from the SAYS Platform™. Can be used in batch mode transformation of raw data files using SAYS’ data management module.

  • Transform, Utility

    Move Data Column

    This module is used to move one or more data columns.

  • Database, Import

    MySQL

    This module is used to read data from a MySQL relational database. The data can be imported by using a query or procedure. Procedure or Query parameters can be defined in a setting or setting file. ODIN will then execute the procedure or query for each set of parameter input.

  • Database, Export

    MySQL Out

    This module is used to write data to a MySQL relational database. The data can be exported by using an insert/update query or procedure.

MATLAB Bond Attributes

This module harnesses the MATLAB® engine to compute bond attributes such as Yield, Price, Convexity, Duration and Spread.

Inputs

  • spotRates.xlsx
  • input.xlsx

    • Outputs

  • output.xlsx

    • MATLAB CVA (Credit Valuation Adjustment)

    This module harnesses the MATLAB® engine to approximate using a Monte-Carlo simulation various quantites related to the counterparty risk exposure, including credit valuation adjustment, maximum peak exposure and effective expected exposure.

    Inputs

  • cds_data.xlsx
  • swap_portfolio.xlsx

    • Outputs

  • creditValuation.xls

    • MATLAB Greeks

    This module harnesses the MATLAB® engine to compute the greeks of vanilla derivatives (calls or puts) assuming Black-Scholes pricing.

    Inputs

  • input.xlsx

    • Outputs

  • output.csv

    • MATLAB Kolmogorov-Smirnov Test

    This module harnesses the MATLAB® engine to compute the Kolmogorov-Smirnov P-value on a table set. This P-value can be used to test whether a given set of values follows a normal distribution.

    Inputs

  • input.csv

    • Outputs

  • p-values.csv

    • MATLAB Matrix Decomposition

    This module harnesses the MATLAB® engine to compute the singular value decomposition of a matrix.

    Inputs

  • Matrix.csv

    • Outputs

  • Matrix_V.csv
  • Matrix_S.csv
  • Matrix_U.csv

    • MATLAB Optimizer

    This module harnesses the MATLAB® engine to perform a mean-variance optimization of a portfolio based on expected returns, covariance and subject to user-defined constraints.

    Inputs

  • covarianceMatrix.csv
  • expectedReturns.csv

    • Outputs

  • optimalPortfolio.csv

    • Matrix Operation

    This module is used to handle matrices and perform operations.

    Inputs

  • correlation.csv

    • Outputs

  • output.xls

    • Matrix to Relational

    This module converts data in matrix form to data in database form.

    Model File Transform

    Transforms and Validates data using saved report settings from the SAYS Platform™. Can be used in batch mode transformation of raw data files using SAYS’ data management module.

    Move Data Column

    This module is used to move one or more data columns.

    Inputs

  • data.xls

    • Outputs

  • output.xls

    • MySQL

    This module is used to read data from a MySQL relational database. The data can be imported by using a query or procedure. Procedure or Query parameters can be defined in a setting or setting file. ODIN will then execute the procedure or query for each set of parameter input.

    MySQL Out

    This module is used to write data to a MySQL relational database. The data can be exported by using an insert/update query or procedure.