Autocallable Bonds

My only non-core class this semester has been in Structure Products. We've been surveying a wide variety of products, and the final project was to pick one to report on. Because these are all very similar, we decided to demonstrate all 3 products at once.

What follows below is a notebook demonstrating the usage of Julia for Monte-Carlo simulation of some exotic products.

{% notebook 2015-11-27-autocallable.ipynb language[julia] %}