On Saturday, 22 March 2014 at 16:35:07 UTC, Brian Rogoff wrote:
This is a very interesting thread that you started. Could you
flesh it out more with some example C++ that you'd like
compared to D? I'm sure quite a few people would assist with a
translation.
Well, right away people jumped to high-frequency trading.
Although that may be the most visible area in computational
finance - it's not the only one. There are areas where
performance is crucial, but where trading is done at a lower
frequency (where latency is not the main issue).
I'm not expert in high frequency trading, but I was inspired by
your post to start poking around here
http://www.quantstart.com/articles/european-vanilla-option-pricing-with-c-via-monte-carlo-methods
and study some of the algorithms. Nothing there that I wouldn't
rather see in D than C++.
The example that you link to is exactly what I have in mind. A
simple comparison of Monte Carlo routines for pricing options
would be a great place to start.
The bible on this is the book by Glasserman:
http://www.amazon.com/Financial-Engineering-Stochastic-Modelling-Probability/dp/0387004513/ref=sr_1_1?ie=UTF8&qid=1395509317&sr=8-1&keywords=monte+carlo+in+financial+engineering
And a great source for approaching this is in C++ is Joshi:
http://www.amazon.com/Patterns-Derivatives-Pricing-Mathematics-Finance/dp/0521832357/ref=sr_1_5?s=books&ie=UTF8&qid=1395509376&sr=1-5
D's GC is problematic, but the hope is that you can avoid
allocating from the GC'ed heap and that eventually (soon?
please?) it will be replaced by a better precise GC.
Sounds great to me. I would love to see it. Thanks for taking
interest.
