C# for Financial Markets [推广有奖]

Title:  C# for Financial Markets

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Author(s): Daniel J. Duffy, Andrea Germani
Series: The Wiley Finance Series Periodical:  
Publisher: Wiley City:  
Year: 2013 Edition: 1
Language: English Pages: 856
ISBN: 0470030089, 9780470030080 ID: 933080
Time added: 2013-07-12 08:02:00 Time modified: 2013-10-24 10:40:16
Library:  Library issue: 0
Size: 17 MB (17560068 bytes) Extension: pdf
A practice-oriented guide to using C# to design and program pricing and trading modelsIn this step-by-step guide to software development for financial analysts, traders, developers and quants, the authors show both novice and experienced practitioners how to develop robust and accurate pricing models and employ them in real environments. Traders will learn how to design and implement applications for curve and surface modeling, fixed income products, hedging strategies, plain and exotic option modeling, interest rate options, structured bonds, unfunded structured products, and more. A unique mix of modern software technology and quantitative finance, this book is both timely and practical. The approach is thorough and comprehensive and the authors use a combination of C# language features, design patterns, mathematics and finance to produce efficient and maintainable software.Designed for quant developers, traders and MSc/MFE students, each chapter has numerous exercises and the book is accompanied by a dedicated companion website, www.datasimfinancial.com, providing all source code, alongside audio, support and discussion forums for readers to comment on the code and obtain new versions of the software.
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Table of contents :
C# for Financial Markets......Page 3
Contents......Page 5
List of Figures......Page 21
List of Tables......Page 25
0.2 Special Features in This Book......Page 27
0.4 Structure of This Book......Page 28
0.5 C# Source Code......Page 29
1.2 Comparing C# and C++......Page 31
1.3 Using This Book......Page 32
2.2 Background to C#......Page 35
2.4 Built-in Data Types in C#......Page 36
2.5 Character and String Types......Page 38
2.6 Operators......Page 39
2.7 Console Input and Output......Page 40
2.8 User-defined Structs......Page 41
2.9 Mini Application: Option Pricing......Page 42
2.10 Summary and Conclusions......Page 47
2.11 Exercises and Projects......Page 48
3.2 The Structure of a Class: Methods and Data......Page 51
3.4 Properties......Page 54
3.5 Class Variables and Class Methods......Page 56
3.7 Example: European Option Price and Sensitivities......Page 59
3.7.1 Supporting Mathematical Functions......Page 60
3.7.2 Black-Scholes Formula......Page 61
3.7.3 C# Implementation......Page 62
3.7.4 Examples and Applications......Page 65
3.8 Enumeration Types......Page 66
3.9 Extension Methods......Page 68
3.10 An Introduction to Inheritance in C#......Page 70
3.11 Example: Two-factor Payoff Hierarchies and Interfaces......Page 72
3.13 Summary and Conclusions......Page 76
3.14 Exercises and Projects......Page 77
4.2 Interfaces......Page 79
4.3 Using Interfaces: Vasicek and Cox-Ingersoll-Ross (CIR) Bond and Option Pricing......Page 80
4.3.2 Bond Models and Stochastic Differential Equations......Page 81
4.3.3 Option Pricing and the Visitor Pattern......Page 84
4.4 Interfaces in .NET and Some Advanced Features......Page 87
4.4.1 Copying Objects......Page 88
4.4.2 Interfaces and Properties......Page 89
4.4.3 Comparing Abstract Classes and Interfaces......Page 90
4.4.5 Casting an Object to an Interface......Page 91
4.5.1 Design Philosophy: Modular Programming......Page 93
4.5.2 A Model Problem and Interfacing......Page 94
4.5.3 Implementing the Interfaces......Page 95
4.6 Introduction to Delegates and Lambda Functions......Page 98
4.6.1 Comparing Delegates and Interfaces......Page 100
4.7 Lambda Functions and Anonymous Methods......Page 102
4.8.1 Static Constructors......Page 103
4.8.2 Finalisers......Page 104
4.8.3 Casting......Page 105
4.9 Advanced .NET Delegates......Page 106
4.9.1 Provides and Requires Interfaces: Creating Plug-in Methods with Delegates......Page 108
4.9.2 Multicast Delegates......Page 111
4.9.3 Generic Delegate Types......Page 112
4.10 The Standard Event Pattern in .NET and the Observer Pattern......Page 113
4.11 Summary and Conclusions......Page 117
4.12 Exercises and Projects......Page 118
5.2 Arrays......Page 123
5.2.1 Rectangular and Jagged Arrays......Page 124
5.3.1 Creating and Modifying Dates......Page 127
5.3.2 Formatting and Parsing Dates......Page 129
5.3.3 Working with Dates......Page 130
5.4 Enumeration and Iterators......Page 131
5.5 Object-based Collections and Standard Collection Interfaces......Page 133
5.6 The List Class......Page 135
5.7 The Hashtable Class......Page 136
5.8 The Dictionary Class......Page 137
5.9 The HashSet Classes......Page 138
5.11.1 Stack......Page 140
5.11.2 Queue......Page 141
5.11.3 Sorted Dictionaries......Page 142
5.12 Strings and StringBuilder......Page 143
5.12.1 Methods in string......Page 144
5.12.2 Manipulating Strings......Page 145
5.13.1 Optional Parameters......Page 146
5.13.3 COM Interoperability in .NET 4.0......Page 147
5.13.4 Dynamic Binding......Page 148
5.15 Exercises and Projects......Page 149
6.2.1 An Introduction to C# Generics......Page 151
6.2.2 Generic Methods and Generic Delegates......Page 154
6.2.3 Generic Constraints......Page 155
6.2.5 Other Remarks......Page 156
6.3 Arrays and Matrices......Page 157
6.4 Vectors and Numeric Matrices......Page 161
6.5 Higher-dimensional Structures......Page 165
6.6 Sets......Page 166
6.7.1 Associative Arrays......Page 168
6.7.2 Associative Matrices......Page 170
6.8 Standardisation: Interfaces and Constraints......Page 171
6.9 Using Associative Arrays and Matrices to Model Lookup Tables......Page 178
6.10 Tuples......Page 181
6.12 Exercises and Projects......Page 182
7.1 Introduction and Objectives......Page 185
7.3 The Time Value of Money: Fundamentals......Page 186
10.2 Trinomial Model of the Asset Price and Its C# Implementation......Page 267
10.4 The Black-Scholes Partial Differential Equation and Explicit Schemes......Page 272
10.5 Implementing Explicit Schemes in C#......Page 273
10.5.1 Using the Explicit Finite Difference Method......Page 277
10.6 Stability of the Explicit Finite Difference Scheme......Page 278
10.7.1 ADE in a Nutshell: The One-factor Diffusion Equation......Page 281
10.7.2 ADE for Equity Pricing Problems......Page 282
10.8 Implementing ADE for the Black-Scholes PDE......Page 284
10.9 Testing the ADE Method......Page 288
10.12 Appendix: ADE Numerical Experiments......Page 289
10.13 Exercises and Projects......Page 294
11.2 Namespaces......Page 297
11.2.1 Applications of Namespaces......Page 298
11.3 An Introduction to Assemblies......Page 299
11.3.1 Assembly Types......Page 300
11.3.2 Specifying Assembly Attributes in AssemblyInfo.cs......Page 301
11.4 Reflection and Metadata......Page 302
11.4.1 Other Classes in the Reflection Namespace......Page 307
11.4.3 Dynamic Object Creation......Page 309
11.4.5 Attributes and Reflection......Page 310
11.4.6 Custom Attributes......Page 312
11.5.1 Using Native C++ from C#......Page 315
11.6 Using C# from C++......Page 319
11.7 Code Generation Using the Reflection API......Page 324
11.7.1 The DynamicMethod Class......Page 325
11.7.2 The Evaluation Stack and Argument Passing to Dynamic Methods......Page 326
11.7.3 The Case in Hand: Operator Overloading for Generic Vectors and Matrices......Page 327
11.8.1 Creating and Destroying Application Domains......Page 330
11.8.2 Multiple Application Domains......Page 331
11.8.3 Sharing Data between Domains......Page 333
11.8.4 When to Use Application Domains......Page 334
11.10 Exercises and Projects......Page 335
12.2 High-level Design of Bond Pricing Problem......Page 337
12.3 Bond Scheduling......Page 338
12.4 Bond Functionality and Class Hierarchies......Page 339
12.5 Calculating Price, Yield and Discount Factors: MathTools......Page 343
12.6 Data Presentation and Excel Interop......Page 345
12.7.1 Data into Memory......Page 347
12.7.2 Serialisation and Deserialisation......Page 348
12.8 Using the Excel Files......Page 350
1 Code Integration: Handling Bond Details......Page 354
2 Spread on Benchmark......Page 356
3 Floating Rate Bond and Other Structured Notes......Page 357
4 Class Hierarchy Integration......Page 359
13.2 Interpolation and Curve Building: Basic Formula for Interpolator Tests......Page 361
13.3 Types of Curve Shape......Page 363
13.4 An Overview of Interpolators......Page 364
13.5 Background to Interpolation......Page 365
13.6 Approximation of Function Derivatives......Page 367
13.7 Linear and Cubic Spline Interpolation......Page 368
13.8 Positivity-preserving Cubic Interpolations: Dougherty/Hyman and Hussein......Page 370
13.9 The Akima Method......Page 374
13.10 Hagan-West Approach......Page 375
15.6.6 Derived Class for Traditional Bootstrapping Method......Page 438
15.6.7 Derived Class for Global Method with Interpolation......Page 439
15.6.8 Derived Class for Global Method with Smoothness Condition......Page 441
15.7.3 Calculate the Time Taken to Instantiate a SingleCurveBuilder......Page 444
15.7.4 Visualise Forward Rates in Excel......Page 445
15.7.6 Computing Sensitivities: An Initial Example......Page 447
15.7.7 More on Sensitivities......Page 448
15.8 Summary and Conclusions......Page 452
15.9 Exercises and Projects......Page 453
15.10 Appendix: Types of Swaps......Page 455
16.2 The Consequences of the Crisis on Interest Rate Derivatives Valuation......Page 457
16.2.2 Collateralisation under a CSA......Page 458
16.2.4 Basis......Page 459
16.2.5 The Par Swap Rate Formulae......Page 460
16.3.3 Risk Effect......Page 462
16.4 The Bootstrapping Process Using Two Curves: Description of the Mechanism......Page 463
16.5 Sensitivities......Page 464
16.6.1 IRateCurve Base Interface and Derived Interfaces......Page 465
16.6.2 The class MultiCurveBuilder......Page 467
16.7.1 Calibration Consistency......Page 471
16.7.3 Sensitivities on Console......Page 472
16.7.4 Forward Swap Matrix......Page 473
16.7.5 Mark-to-Market Differences......Page 474
16.7.6 Comparing Two Versions of the MultiCurveBuilder......Page 476
16.7.7 Input Data, Interpolation and Forward Rates......Page 478
16.9 Exercises and Projects......Page 479
16.10 Appendix: Par Asset Swap Spread and Zero Volatility Spread......Page 481
17.2.1 Cap and Floor: Description and Formulae......Page 485
17.2.2 Cap and Floor at the money Strike......Page 487
17.2.3 Cap Volatility and Caplet Volatility......Page 488
17.2.5 Multi-strike and Amortising Cap and Floor......Page 489
Class......Page 711
25.11.1 The Parallel Class......Page 713
25.12 Task Parallel Library (TPL)......Page 717
25.12.1 Creating and Starting Tasks......Page 718
25.13 Concurrent Data Structures......Page 720
25.13.1 An Example: Producer Consumer Pattern and Random Number Generation......Page 721
25.13.2 The Barrier Class......Page 724
25.13.3 PLINQ......Page 725
25.14 Exception Handling......Page 727
25.15 Shifting Curves......Page 728
25.17 Exercises and Projects......Page 730
26.2 Multi-threaded and Parallel Applications for Computational Finance......Page 733
26.3 Fork and Join Pattern......Page 735
26.4 Geometric Decomposition......Page 737
26.5 Shared Data and Reader/Writer Locks: Multiple Readers and Multiple Writers......Page 741
26.5.1 Upgradeable Locks and Recursion......Page 744
26.6 Monte Carlo Option Pricing and the Producer–Consumer Pattern......Page 745
26.7 The StopWatch Class......Page 752
26.8.1 Disposal and the IDisposable Interface......Page 753
26.8.2 Automatic Garbage Collection......Page 754
26.10 Exercises and Projects......Page 756
A1.2 Object-oriented Paradigm......Page 761
A4.2 Different Ways of Stripping Cap Volatility......Page 815
A4.3 Comparing Caplet Volatility Surface......Page 818
A4.4 Call Put Parity......Page 820
A4.5 Cap Price Matrix......Page 821
A4.6 Multi-strike and Amortising......Page 823
A4.7 Simple Swaption Formula......Page 824
A4.8 Swaption Straddle......Page 826
A4.9 Exercises......Page 830
Bibliography......Page 831