Validation

Hierarchy in MATLAB

Posted on by Francesca van Niekerk

Introduction to Hierarchy

This blog is part 2 on the object oriented programming in Matlab. Consider reading out previous blog first.

In classifying objects, hierarchy in the objects is a common occurrence, where subclasses and super-classes can be defined. In the example of a rectangle class, a superclass namely Shape can be defined, where the superclass provides a more broadly defined class for a shape, and rectangle a more narrowly defined class for a specific type of shape. We can extend our example, by including the creation of Triangle and Circle classes, which are also subclasses of the superclass Shape.

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Validation Hour Estimation of Project Plan

Posted on by Jorrit de Jong

Ugly Duckling was asked to give a second opinion on the hour estimation of a large IT implementation project of a financial solution developed by team outside the IT landscape. We started by creating a large detailed list of each activity and sub-activity expected to be carried out during the project. The list contained an optimistic as well as a pessimistic estimate.

The optimistic approach consider that all the (sub-)activities are carried out smoothly with no unexpected delays and/or additional exceptional activities. In the pessimistic approach things go wrong and/or unexpected activities arise, i.e. project risks materialise. The pessimistic approach estimates the extra time to deal with these risks.

Based on the list it was easy for management to assess whether estimations were within realistic bounds and where further investigation was needed.

Matlab Validation at Kempen & Co.

Posted on by Jorrit de Jong

In collaboration with Valu8, we acted for Kempen & Co in validating the valuation and hedging of the Inflation Breaker, a portfolio of ground lease contracts.

The contracts in the portfolio generate monthly cash flows based on the rent. Rents increase annually, with the Dutch pricing inflation index. At maturity of the contract, the tenant has the option, but not the obligation, to buy back the land.

This was not the first time Kempen & Co decided to entrust this validation to Valu8 and Ugly Duckling. This shows that Ugly Duckling is a key player in software, management and finance with an integrated approach that delivers. The work done was a continuation of previous validation work where we checked the cash flow model, the interest rate curve construction methodology and the inflation model. The previous implementation was improved and migrated to Matlab (previously Excel/VBA), which required a new validation.

Validation at Kempen & Co

Posted on by Jorrit de Jong

In collaboration with Valu8, we acted for Kempen & Co on a model validation.

In collaboration with Valu8 we performed a model validation for Kempen & relating to the methodology used to valuate and hedge the Inflation Breaker, a portfolio of ground lease contracts. The contracts in the portfolio generate monthly cash flows based on the rent which increase annually with the Dutch pricing inflation index. At maturity of the contract, the tenant has the option, but not the obligation, to buy back the land.

As part of the validation we checked the cash flow model, the interest rate curve construction methodology and the inflation model. Finally, the implementation of the models in Excel/VBA was checked, and the code used to implement the models was validated.