Few algorithms in quant finance - short writeup

[Quasar Chunawala]

Hi all,

I created a short LaTeX write-up, describing some algorithms used in mathematical finance and their C++ implementation. Perhaps, you might find it to be a good read, if you are starting out like me.

Just feel free to like, share or critique and I am open to all.

- Quasar

 

[Onegin]

if this is just you starting out, good on you! I haven't looked at this in detail, but at first glance quite solid. ..

 

[Daniel Duffy]

Nice stuff, Quasar. Some ideas

1. std:;array<> is fixed/limited, use std::vector
2. The if-else C/P test should be at main() level, not embedded in CRR etc. (AFAIR I mentioned this already somewhere down the tracks?)
3. Payoff() should be a global function (pointer)
4. loops, use std::size_ (unsigned)
5. namespace always, std::exp. std::pow,..
6. Accuracy tests against exact, quasi-exact solutions.


7. Code review and improvement. Next version.
8. Classes are top-heavy .. too many member data ==> not SRP, maintenance problem

 

[Daniel Duffy]

Google Single Responsibility Principle.

 

[Daniel Duffy]

At some stage software systems need to be maintained. Up-front functional decomposition is very good. This is the technique used in Baruch Advanced C++ course. The technique is language-independent.