C# for Financial Markets

C# for Financial Markets (The Wiley Finance Series)

A practice-oriented guide to using C# to design and program pricing and trading models

In 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.

Table of Contents

1 Global Overview of the Book 5
2 C# Fundamentals 9
3 Classes in C# 25
4 Classes and C# Advanced Features 53
5 Data Structures and Collections 97
6 Creating User-defined Data Structures 125
7 An Introduction to Bonds and Bond Pricing 159
8 Data Management and Data Lifecycle 185
9 Binomial Method, Design Patterns and Excel Output 215
10 Advanced Lattices and Finite Difference Methods 241
11 Interoperability: Namespaces, Assemblies and C++/CLI 271
12 Bond Pricing: Design, Implementation and Excel Interfacing 311
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