发帖
雷达卡
by Daniel J. Duffy Andrea Germani. Published 2013
本书以Csharp为开发工具，以常见的交易品种为对象，给出系统且全面程序的实例，对于学习开发金融交易程序和量化交易的童鞋们来说，是一本不错的参考书。要求阅读者有较好的Csharp程序开发基础。本书电子版论坛已有人提供下载，https://bbs.pinggu.org/thread-2795563-1-1.html 。
现提供随书代码及其指导资料包，售100个币。建议有意下载的童鞋仔细阅读本书目录【因字数限制不能完整贴出目录内容】，再决定是否下载，以免后悔。程序包对有用的人有用，也就不觉得贵；对没用的人没用，却是高级浪费，特此提醒。
随书代码及指导资料for Csharp Financianl Markets - Duffy.rar
(15.44 MB, 需要: 100 个论坛币)
本附件包括：- ExcelDNA_instruction.rar
- CsForFinancialMarkets.zip
- CsForFinancialMarketsPart2.zip
Introduction 1
0.1 What Is This Book? 1
0.2 Special Features in This Book 1
0.3 Who Is This Book for and What Do You Learn? 2
0.4 Structure of This Book 2
0.5 C# Source Code 3
1 Global Overview of the Book 5
1.1 Introduction and Objectives 5
1.2 Comparing C# and C++ 5
1.3 Using This Book 6
2 C# Fundamentals 9
2.1 Introduction and Objectives 9
2.2 Background to C# 9
2.3 Value Types, Reference Types and Memory Management 10
2.4 Built-in Data Types in C# 10
2.5 Character and String Types 12
2.6 Operators 13
2.7 Console Input and Output 14
2.8 User-defined Structs 15
2.9 Mini Application: Option Pricing 16
2.10 Summary and Conclusions 21
2.11 Exercises and Projects 22
3 Classes in C# 25
3.1 Introduction and Objectives 25
3.2 The Structure of a Class: Methods and Data 25
3.3 The Keyword ‘this’ 28
3.4 Properties 28
3.5 Class Variables and Class Methods 30
3.6 Creating and Using Objects in C# 33
3.7 Example: European Option Price and Sensitivities 33
3.7.1 Supporting Mathematical Functions 34
3.7.2 Black-Scholes Formula 35
3.7.3 C# Implementation 36
3.7.4 Examples and Applications 39
3.8 Enumeration Types 40
3.9 Extension Methods 42
3.10 An Introduction to Inheritance in C# 44
3.11 Example: Two-factor Payoff Hierarchies and Interfaces 46
3.12 Exception Handling 50
3.13 Summary and Conclusions 50
3.14 Exercises and Projects 51
4 Classes and C# Advanced Features 53
4.1 Introduction and Objectives 53
4.2 Interfaces 53
4.3 Using Interfaces: Vasicek and Cox-Ingersoll-Ross (CIR) Bond
and Option Pricing 54
4.3.1 Defining Standard Interfaces 55
4.3.2 Bond Models and Stochastic Differential Equations 55
4.3.3 Option Pricing and the Visitor Pattern 58
4.4 Interfaces in .NET and Some Advanced Features 61
4.4.1 Copying Objects 62
4.4.2 Interfaces and Properties 63
4.4.3 Comparing Abstract Classes and Interfaces 64
4.4.4 Explicit Interfaces 65
4.4.5 Casting an Object to an Interface 65
4.5 Combining Interfaces, Inheritance and Composition 67
4.5.1 Design Philosophy: Modular Programming 67
4.5.2 A Model Problem and Interfacing 68
4.5.3 Implementing the Interfaces 69
4.5.4 Examples and Testing 72
4.6 Introduction to Delegates and Lambda Functions 72
4.6.1 Comparing Delegates and Interfaces 74
4.7 Lambda Functions and Anonymous Methods 76
4.8 Other Features in C# 77
4.8.1 Static Constructors 77
4.8.2 Finalisers 78
4.8.3 Casting 79
4.8.4 The var Keyword 80
4.9 Advanced .NET Delegates 80
4.9.1 Provides and Requires Interfaces: Creating Plug-in Methods
with Delegates 82
4.9.2 Multicast Delegates 85
4.9.3 Generic Delegate Types 86
4.9.4 Delegates versus Interfaces, Again 87
4.10 The Standard Event Pattern in .NET and the Observer Pattern 87
4.11 Summary and Conclusions 91
4.12 Exercises and Projects 92
5 Data Structures and Collections 97
5.1 Introduction and Objectives 97
5.2 Arrays 97
5.2.1 Rectangular and Jagged Arrays 98
5.2.2 Bounds Checking 101
5.3 Dates, Times and Time Zones 101
5.3.1 Creating and Modifying Dates 101
5.3.2 Formatting and Parsing Dates 103
5.3.3 Working with Dates 104
5.4 Enumeration and Iterators 105
5.5 Object-based Collections and Standard Collection Interfaces 107
5.6 The List<T> Class 109
5.7 The Hashtable<T> Class 110
5.8 The Dictionary<Key, Value> Class 111
5.9 The HashSet<T> Classes 112
5.10 BitArray: Dynamically Sized Boolean Lists 114
5.11 Other Data Structures 114
5.11.1 Stack<T> 114
5.11.2 Queue<T> 115
5.11.3 Sorted Dictionaries 116
5.12 Strings and StringBuilder 117
5.12.1 Methods in string 118
5.12.2 Manipulating Strings 119
5.13 Some new Features in .NET 4.0 120
5.13.1 Optional Parameters 120
5.13.2 Named Parameters 121
5.13.3 COM Interoperability in .NET 4.0 121
5.13.4 Dynamic Binding 122
5.14 Summary and Conclusions 123
5.15 Exercises and Projects 123
6 Creating User-defined Data Structures 125
6.1 Introduction and Objectives 125
6.2 Design Rationale and General Guidelines 125
6.2.1 An Introduction to C# Generics 125
6.2.2 Generic Methods and Generic Delegates 128
6.2.3 Generic Constraints 129
6.2.4 Generics, Interfaces and Inheritance 130
6.2.5 Other Remarks 130
6.3 Arrays and Matrices 131
6.4 Vectors and Numeric Matrices 135
6.5 Higher-dimensional Structures 139
6.6 Sets 140
6.7 Associative Arrays and Matrices 142
6.7.1 Associative Arrays 142
6.7.2 Associative Matrices 144
6.8 Standardisation: Interfaces and Constraints 145
6.9 Using Associative Arrays and Matrices to Model Lookup Tables 152
6.10 Tuples 155
6.11 Summary and Conclusions 156
6.12 Exercises and Projects 156
7 An Introduction to Bonds and Bond Pricing 159
7.1 Introduction and Objectives 159
7.2 Embedded Optionality 160
7.3 The Time Value of Money: Fundamentals 160
7.3.1 A Simple Bond Class 164
7.3.2 Testing the Bond Functionality 165
7.4 Measuring Yield 166
7.5 Macauley Duration and Convexity 167
7.6 Dates and Date Schedulers for Fixed Income Applications 168
7.6.1 Accrued Interest Calculations and Day Count Conventions 169
7.6.2 C# Classes for Dates 170
7.6.3 DateSchedule Class 174
7.7 Exporting Schedulers to Excel 176
7.8 Other Examples 177
7.9 Pricing Bonds: An Extended Design 178
7.10 Summary and Conclusions 181
7.10.1 Appendix: Risks Associated with Bonds 181
7.11 Exercises and Projects 181
8 Data Management and Data Lifecycle 185
8.1 Introduction and Objectives 185
8.2 Data Lifecycle in Trading Applications 185
8.2.1 Configuration Data and Calculated Data 186
8.2.2 Which Kinds of Data Storage Devices Can We Use? 186
8.3 An Introduction to Streams and I/O 186
8.3.1 Stream Architecture 186
8.3.2 Backing Store Streams Functionality 187
8.3.3 Stream Decorators 189
8.3.4 Stream Adapters 191
8.4 File and Directory Classes 195
8.4.1 The Class Hierarchy 196
8.4.2 FileInfo and DirectoryInfo Classes 198
8.5 Serialisation Engines in .NET 199
8.5.1 DataContractSerializer 199
8.5.2 NetDataContractSerializer 201
8.5.3 Formatters 201
8.5.4 Implicit and Explicit Serialisation 203
8.6 The Binary Serialiser 203
8.7 XML Serialisation 204
8.7.1 Subclasses and Child Objects 205
8.7.2 Serialisation of Collections 206
8.7.3 The IXmlSerializable Interface 207
8.8 Data Lifetime Management in Financial and Trading Applications 209
8.9 Summary and Conclusions 213
8.10 Exercises and Projects 213
9 Binomial Method, Design Patterns and Excel Output 215
9.1 Introduction and Objectives 215
9.2 Design of Binomial Method 216
9.3 Design Patterns and Classes 217
9.3.1 Creating Input Data: Factory Method Pattern 217
9.3.2 Binomial Parameters and the Strategy Pattern 219
9.3.3 The Complete Application Object and the Mediator Pattern 228
9.3.4 Lattice Presentation in Excel 230
9.4 Early Exercise Features 232
9.5 Computing Hedge Sensitivities 233
9.6 Multi-dimensional Binomial Method 233
9.7 Improving Performance Using Pad′e Rational Approximants 236
9.8 Summary and Conclusions 238
9.9 Projects and Exercises 238
10 Advanced Lattices and Finite Difference Methods 241
10.1 Introduction and Objectives 241
10.2 Trinomial Model of the Asset Price and Its C# Implementation 241
10.3 Stability and Convergence of the Trinomial Method 246
10.4 The Black-Scholes Partial Differential Equation and Explicit Schemes 246
10.5 Implementing Explicit Schemes in C# 247
10.5.1 Using the Explicit Finite Difference Method 251
10.6 Stability of the Explicit Finite Difference Scheme 252
10.7 An Introduction to the Alternating Direction Explicit Method (ADE) 255
10.7.1 ADE in a Nutshell: The One-factor Diffusion Equation 255
10.7.2 ADE for Equity Pricing Problems 256
10.8 Implementing ADE for the Black-Scholes PDE 258
10.9 Testing the ADE Method 262
10.10 Advantages of the ADE Method 263
10.11 Summary and Conclusions 263
10.12 Appendix: ADE Numerical Experiments 263
10.13 Exercises and Projects 268
11 Interoperability: Namespaces, Assemblies and C++/CLI 271
11.1 Introduction and Objectives 271
11.2 Namespaces 271
11.2.1 Applications of Namespaces 272
11.3 An Introduction to Assemblies 273
11.3.1 Assembly Types 274
11.3.2 Specifying Assembly Attributes in AssemblyInfo.cs 275
11.3.3 The Relationship between Namespaces and Assemblies 276
11.4 Reflection and Metadata 276
11.4.1 Other Classes in the Reflection Namespace 281
11.4.2 Dynamic Method Invocation 283
11.4.3 Dynamic Object Creation 283
11.4.4 Dynamic Assembly Loading 284
11.4.5 Attributes and Reflection 284
11.4.6 Custom Attributes 286
11.5 C# and Native C++ Interoperability: How Is That Possible? 289
11.5.1 Using Native C++ from C# 289
11.6 Using C# from C++ 293
11.7 Code Generation Using the Reflection API 298
11.7.1 The DynamicMethod Class 299
11.7.2 The Evaluation Stack and Argument Passing to
Dynamic Methods 300
11.7.3 The Case in Hand: Operator Overloading for Generic
Vectors and Matrices 301
11.8 Application Domains 304
11.8.1 Creating and Destroying Application Domains 304
11.8.2 Multiple Application Domains 305
11.8.3 Sharing Data between Domains 307
11.8.4 When to Use Application Domains 308
11.9 Summary and Conclusions 309
11.10 Exercises and Projects 309
12 Bond Pricing: Design, Implementation and Excel Interfacing 311
12.1 Introduction and Objectives 311
12.2 High-level Design of Bond Pricing Problem 311
12.3 Bond Scheduling 312
12.4 Bond Functionality and Class Hierarchies 313
12.5 Calculating Price, Yield and Discount Factors: MathTools 317
12.6 Data Presentation and Excel Interop 319
12.7 Bond Data Management 321
12.7.1 Data into Memory 321
12.7.2 Serialisation and Deserialisation 322
12.8 Using the Excel Files 324
12.9 Summary and Conclusions 328
12.10 Exercises and Projects 328
1 Code Integration: Handling Bond Details 328
2 Spread on Benchmark 330
3 Floating Rate Bond and Other Structured Notes 331
4 Class Hierarchy Integration 333
13 Interpolation Methods in Interest Rate Applications 335
14 Short Term Interest Rate (STIR) Futures and Options 369
15 Single-curve Building 393
16 Multi-curve Building 431
17 Swaption, Cap and Floor 459
18 Software Architectures and Patterns for Pricing Applications 493
19 LINQ (Language Integrated Query) and Fixed Income Applications 523
20 Introduction to C# and Excel Integration 561
21 Excel Automation Add-ins 581
22 C# and Excel Integration COM Add-ins 595
23 Real-time Data (RTD) Server 625
24 Introduction to Multi-threading in C# 635
25 Advanced Multi-threading in C# 665
26 Creating Multi-threaded and Parallel Applications for Computational Finance 707
A1 Object-oriented Fundamentals 735
A2 Nonlinear Least-squares Minimisation 751
A3 The Mathematical Background to the Alternating Direction Explicit (ADE) Method 765
A4 Cap, Floor and Swaption Using Excel-DNA 789
Bibliography 805
Web References 812
Index 815
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