A live demonstration showed how an AI agent can use existing documentation and Python examples to generate pricing code for a worst-of barrier reverse convertible.
The webinar, presented by Ping Sun, SVP, head of quantitative research at Numerix, provided an in-depth introduction of autocallables and demonstrated the application of agentic AI for turning a term sheet into a working template. Sun started with the history of autocallables noting that the first product was traded in the US market about 23 years ago by BNP Paribas. "As of today... the total dollar amount is about 40% of the total [exotics market], and this is a huge volume for a single instru