DEADLINE: 3rd January 2017 Programming Project Instructions Projects are submitted in accordance with the current Brief. It is designed to give an opportunity for further study of numerical methods required to implement and validate a quantitative model. To complete the project, you must implement the topic below plus CVA component. SECTION 1: Time Series Analysis and Backtesting SECTION 2: CVA Calculation for an Interest Rate Swap Note: The CVA component (section 2) is a mandatory addition as it balances exposure to the quant issues (interest rates, discounting) that would not be in focus otherwise. Submission Requirements 1. Submit working code together with a well-written report. 2. Project report to have an exact title and content must correspond to!it. Guided length is 30-40 pages, excluding code. Code must be uploaded separately. 3. Submissions to be uploaded to online portal only. Upload format: one written report!(PDF) and one zip archive with code and data files.Programming – Code Requirements Programming environment must have appropriate strengths and facilities to implement the topic (pricing model). Common choices range from Matlab to Python to C++, please exercise judgement as quants. Use of R/Matlab/Mathematica/Matlab is encouraged where time series or presentation involved. Coding of numerical techniques/use of industry code libraries is expected. 'Scripted solution' means the ready functionality from toolboxes and libraries is called, but the amount of own coding of numerical methods is minimal or non-existent. This particularly applies to Matlab/R as well as Excel spreadsheet functions (not robust). The aim of the project is to enable you to code numerical methods and develop model prototypes in a production environment. Excel spreadsheets only or scripted solutions are below the expected standard for completion of the project. To answer the question, "What should I code?" Delegates are expected to re-code numerical methods that are central to the model and exercise judgement in identifying them. Balanced use of libraries is allowed at the delegate's own discretion and subject to a description of limitations for ready functions/borrowed code (in the report). It is up to delegates to develop their own test cases, sensibility checks and validation. It is normal to observe irregularities when the model is implemented on real life data. If in doubt, reflect on the issue in the project report. The code must be thoroughly tested and well-documented: each function must be described, and comments must be used. Provide instructions on how to run the code.!Report Requirements The main purpose of the report is to facilitate access to numerical methods' implementation (the code) and pricing results. The report must contain a sufficient description of the mathematical model, numerical methods and their properties. In-depth study is welcome but report must be relevant. Identify numerical methods recorded and include their code/algorithms in an appendix. Please give due attention and space for presentation and discussion of your pricing results. Present explicit sensitivity and/or risk analysis. Use charts, test cases and comparison to research results where available. Mathematical sections of the report can be prepared using LaTeX or Equation Editor (Word). For Mathematica and Python notebooks, make sure they are presentable.