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Derivatives algorithms. Volume 1, Bones

Author: Tom Hyer
Publisher: Singapore ; Hackensack, NJ : World Scientific, ©2010.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
""Derivatives Algorithms"" provides a unique expert overview of the abstractions and coding methods which support real-world derivatives trading. Written by an industry professional with extensive experience in large-scale trading operations, it describes the fundamentals of library code structure, and innovative advanced solutions to thorny issues in implementation. For the reader already familiar with C++ and  Read more...
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Genre/Form: Electronic books
Additional Physical Format: Print version:
Hyer, Tom.
Derivatives algorithms. Volume 1, Bones.
Singapore ; Hackensack, NJ : World Scientific, ©2010
(OCoLC)619946416
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Tom Hyer
ISBN: 9789814289887 9814289884
OCLC Number: 681584903
Description: 1 online resource (xii, 306 pages) : illustrations
Contents: 1. Introduction --
2. Principles. 2.1. Our code. 2.2. Functional programming. 2.3. Type and state. 2.4. Physical code structure. 2.5. Platform. 2.6. Some design patterns. 2.7. Optimization. 2.8. Threads --
3. Types and interfaces. 3.1. The user base. 3.2. A public example. 3.3. Interface generation. 3.4. Interface types. 3.5. Interface code. 3.6. Other containers. 3.7. Environment. 3.8. Enumerated types --
4. Vector and matrix computations. 4.1. Customizing vectors. 4.2. Algorithms. 4.3. Matrices and square matrices. 4.4. Matrix multiplication. 4.5. Decompositions (square). 4.6. Decompositions (symmetric). 4.7. Decompositions (sparse). 4.8. Decompositions (other) --
5. Persistence and memory. 5.1. Storage. 5.2. Extraction. 5.3. Rebuilding. 5.4. Code generation. 5.5. A display interface. 5.6. Auditing. 5.7. More on repositories --
6. Testing framework. 6.1. Component tests. 6.2. Regression tests. 6.3. No silver bullet --
7. Further maths. 7.1. Interpolation. 7.2. Special functions. 7.3. Root solvers. 7.4. Underdetermined search. 7.5. Quadrature. 7.6. Distributions. 7.7. Baskets. 7.8. Random and quasi-random numbers. 7.9. PDE solvers. 7.10. American Monte Carlo --
8. Schedules. 8.1. Enumerated switches. 8.2. Holidays. 8.3. Currencies. 8.4. Increments. 8.5. Legs --
9. Indices. 9.1. Naming and parsing. 9.2. Fixings. 9.3. Sorting and hashing. 9.4. Implied vol --
10. Pricing protocols. 10.1. Past and future. 10.2. Underlyings. 10.3. Payments and streams. 10.4. Index paths. 10.5. Defaults and contingent payments. 10.6. Requests and promises. 10.7. Bemudans and barriers. 10.8. Payouts. 10.9. Steps. 10.10. Use case review : PDE. 10.11. Use case review : Monte Carlo and hedge. 10.12. Costs and benefits. 10.13. Assembling the class hierarchy --
11. Standardized trades. 11.1. Trade classes. 11.2. Cash. 11.3. Equity and FX. 11.4. Legs and swaps. 11.5. Caps. 11.6. Swaps and swaptions. 11.7. Bermudans. 11.8. Composites --
12. Curves. 12.1. Risk. 12.2. Libor and funding. 12.3. Build instruments. 12.4. Dividend. 12.5. Hazard --
13. Models. 13.1. Vasicek-Hull-White. 13.2. Interface to numerical pricing. 13.3. Interface to valuation requests. 13.4. Cox-Ingersoll-Ross. 13.5. Black-Karasinski. 13.6. Single equity with local vol. 13.7. A simple hybrid model --
14. Semianalytic pricers. 14.1. A moment-matching pricer. 14.2. Multimethod objects. 14.3. Method registry. 14.4. Interaction with re-evaluator. 14.5. Interaction with composites. 14.6. Pure pricers. 14.7. Trade-dependent calibration --
15. Risk. 15.1. Slides and bumps. 15.2. Mutants. 15.3. Reports. 15.4. Portfolios. 15.5. Tasks. 15.6. Slide utilities. 15.7. Conclusions --
16. Additional code. 16.1. Add multiple. 16.2. Arrayfunctor. 16.3. Boolean. 16.4. Composite. 16.5. Cube. 16.6. Handle. 16.7. Matrix. 16.8. Maybe. 16.9. PWC (piecewise constant). 16.10. Vector --
16. Acknowledgements and further reading.
Other Titles: Bones
Responsibility: Tom Hyer.

Abstract:

Provides an overview of the abstractions and coding methods which support real-world derivatives trading. This work describes the fundamentals of library code structure, and innovative advanced  Read more...

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