Download Derivatives Algorithms, Volume 1: Bones by Tom Hyer PDF

By Tom Hyer

ISBN-10: 9814289809

ISBN-13: 9789814289801

"Derivatives Algorithms" presents a different professional evaluate of the abstractions and coding equipment which help real-world derivatives buying and selling. Written through an expert with wide adventure in large-scale buying and selling operations, it describes the basics of library code constitution, and cutting edge complicated ideas to thorny matters in implementation. For the reader already accustomed to C++ and arbitrage-free pricing, the e-book deals a useful glimpse of the way they mix on an business scale. subject matters variety from interface layout via code iteration to the protocols that aid ever extra advanced trades and types.

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Extra resources for Derivatives Algorithms, Volume 1: Bones

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By carefully structuring the interfaces of these routines, we can write more flexible and safer code. 1 Customizing Vectors The standard library std::vector is a fairly good fit for our needs: in particular, its iteration and subscripting are optimal. We would prefer, however, to have somewhat more numerical support. One important decision is whether to use the same container (or container template) for general-purpose data storage and for processorintensive arithmetic. By separating the two, we could highly optimize the numerical containers without interfering with the ease of use of storage containers.

H 5 10 15 class StackInfo_: public Entry_ { const char* name_; variant val_; public: StackInfo_(const char* name, int val); StackInfo_(const char* name, double val); StackInfo_(const char* name, const char* val); StackInfo_(const char* name, const Time_& val); StackInfo_(const char* name, const String_& val); void AppendTo(Exception_* e) const { e->Append(apply_visitor(StackMessage_(name_), val_)); } }; Here we have used a boost::variant over the most commonly captured basic types; this can be extended with minimal run-time cost.

The argument name ("x") need not be included in this exception, because it can be attached later by XLOPER::Exception. In writing validation code, it is useful to reserve some special character or string, such as @me, for which the argument name can be substituted during code generation. This allows constructs like INPUT DATE end_date COND{@me >= start_date} {@me cannot precede start date} 4 We \ use \ in this example for line continuation, but in real code we would more likely just use a long single line.

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