Quantlab - AutoCallable Product - Valuation and Risk

Описание: A brief tutorial on how to understand the AutoCallable financial product commonly sold as retail investment products. We give an example of coding, testing and preparing the product for production use in a risk system. A Monte-Carlo library is used to get an estimated present value and then a risk system is tested to get the Value-at-risk and expected shortfall of the AutoCallable.

The code does not give a production quality valuation of the prospectus displayed in the video and some corners have been cut for pedagogic reasons.