CDO

Implementation of a class based model of a one period CDO including modelling expected losses in user defined tranches

Having recently completed an online course in financial engineering from the university of Columbia (https://www.coursera.org/learn/financial-engineering-2/home/welcome) I was interested by how to it would be possible to begin to build models of more complex financial derivatives. One such example, perhaps for its infamous reputation was the collaterized debt obligation (CDO). In particular how construction of these can affect the end mechanics of such products.

I performed the modelling in Mathworks MATLAB. As CDO’s are themselves an object it makes sense to approach this with an OOP approach, creating a class for CDO’s, and instantizing each time we want to construct a CDO.