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"Free Seminar Evening – Software Frameworks in C++ and C# for Applications in Computational Finance" by Daniel Duffy

Speaker: Daniel J. Duffy, Datasim

Date and Time: Tuesday 26 June 2007, 18.30 to 20.30

Venue: City of London

Registration: contact Ilona Hooft Graafland

In this seminar we discuss how modern software design techniques are used to create applications in Computational Finance using C++ and C# as the implementation languages. We elaborate on the object-oriented and generic programming features that we employ to create robust and maintainable software systems for a range of derivatives applications such as equities and interest rates. In particular, we concentrate on PDE/FDM and Monte Carlo methods.

Some of the topics to be considered are:

• Designing architectural Frameworks for financial applications

• Combing the object-oriented and generic programming models

• Developing applications for Monte Carlo and PDE

• Choosing between C++ and C#: creating interoperable applications

Who should attend:

• Quants and quant developers

• Managers who wish to gain insight into the software development process in Computational Finance 

Program:

18.00 – 18.30 Refreshments and Registration

18.30 – 19.30 C++ and C# for Computational Finance

19.30 – 1945 short break/refreshments

19.45 – 20.30 Option Pricing with PDE and Monte Carlo

20.30 end of seminar

About the Speaker: view Daniel's profile

Is Computational Finance a Multi-Disciplinary Activity? by Daniel Duffy

Software is an indispensable part of most businesses. In the case of computational finance the main challenge is to propose new financial models, define mathematical structures and algorithms for them and then map these algorithms to code. Some of the questions that arise are:

• How do we define a repeatable process for modelling derivatives in C++ or C#?

• How do the financial, mathematical and software models link up?

• What are the requirements for our resulting software products in terms of maintainability, efficiency, functionality and reliability?

These questions are more easily posed than answered for a number of reasons; there are a number of challenges to be resolved. First, the ideal development team consists of quant analysts, developers and other professionals with knowledge of finance, mathematics and numerical analysis. Second, the members of the team need to have a common language (or even several languages) that they can use to promote interoperability. Finally, we need to take account of constraints such as time-to-market, project schedule and budget as well as the requirements on the resulting software product.
The techniques that we can use to promote computational finance as a multidisciplinary activity are:

• Good mathematical and numerical models that unambiguously define derivatives products

• Using the de facto modeling language UML (Unified Modeling Language)

• Using proven Design and System Patterns

• Using multi-paradigm programming languages that support the object-oriented and generic programming models

I shall be speaking about these software-related issues at the free evening seminar in the City of London on June 26 2007 at Charing Cross. More information and registration (you must register in order to attend), see http://www.datasimfinancial.com/course_detail.php?courseId=13

For queries, please contact Ilona Hooft Graafland at ilona@datasim.nl

Let me know if you have any questions.

Daniel

 

Daniel Duffy: Using C++ and C# for Application Development

C# and C++ are descendents of the C programming language.  It is worthwhile to consider whether it is ‘better’ (in some sense) to develop new applications in C# or C++. We discuss the problem from three perspectives:

    P1: The skills and knowledge of those engineers developing QF applications
    P2: The type of application and related application requirements
    P3: The technical, organizational risks involved when we choose a given language

First, C++ is a multi-paradigm language and it supports the modular, object-oriented and generic programming models. C# is a relatively new language and it supports the object-oriented and generic programming models, but not the modular programming model.
In general, C# is much easier to learn than C++. It shields the developer from many of the low-level syntax that we see in C++, in particular the dreaded pointer mechanism, memory management and garbage collection. The C# developer does not have to worry about these details because they are automatically taken care of by the garbage collector. C++ is a vendor-neutral language (it is an ISO standard) while C# was originally developed by Microsoft for its Windows operating system.

We now discuss perspective P2. This perspective is concerned with the range of applications that C++ or C# can be applied to, how appropriate they are to these applications and how customer wants and needs determine which language will be most suitable in a particular context. In general, customers wish to have applications that perform well, are easy to use and easy to extend.

We now compare the two languages from the perspective of developer productivity. In order to answer this question we need to define what we are measuring. C# has many libraries that the developer can use, thus enhancing productivity. C++, on the other hand does not have such libraries and they must be purchased as third-party software products.

Finally, perspective P3 is concerned with the consequences and risks to the organization after a choice has been made for a particular language. C++ is a large and difficult language, it takes some time to master and C++ applications tend to be complex and difficult to maintain. But a careful design can mitigate the risks.

I'd be happy to answer any of your questions - feel free to leave a comment!

Daniel

Daniel Duffy's First Vlog Post

Watch Daniel highlight three key issues he would like to discuss over the coming weeks and invite your participation:

Applications, Design and using C++/C#

View video:

       

Email Daniel or leave a comment if you have any questions/feedback.