By George Levy
In Computational Finance utilizing C and C# George Levy increases computational finance to the subsequent point utilizing the languages of either regular C and C#. The inclusion of either those languages permits readers to compare their use of the ebook to their agencies inner software program and code requisites. Levy additionally presents derivatives pricing info for:
fairness derivates: vanilla thoughts, quantos, widespread fairness basket options
rate of interest derivatives: FRAs, swaps, quantos
foreign currency derivatives: FX forwards, FX options
credits derivatives: credits default swaps, defaultable bonds, overall go back swaps.
Computational Finance utilizing C and C# via George Levy is supported by means of broad internet assets. that can be purchased at the multi-tier web site are e types of this publication and Levys first publication, Computational Finance: Numerical tools for Pricing monetary Derivatives. buyers of the print or book can obtain loose software program such as executable records, configuration records, and effects records. With those records the person can run the instance portfolio software in bankruptcy eight and alter the portfolio composition and the attributes of the deals.
In addition, improve software program is obtainable at the web site for a small price, and comprises:
Code to run all of the C, C# and Excel examples within the booklet
whole C resource code for the Analytics_Mathlib maths library that's utilized in the book
C# resource code, marketplace information and portfolio records for the portfolio program defined in bankruptcy 8
All the C/C# software program might be compiled utilizing both visible Studio .NET 2005, or the freely on hand Microsoft visible C#/C++ 2005 show variations.
With this software program, the consumer can open the documents and create new offers, new tools, and alter the attributes of the bargains by way of enhancing the code and recompiling it. This serves as a template consumer can run to customise the offers for his or her own, daily use.
* whole monetary tool pricing code in normal C and C# to be had to publication dealers on spouse web site
* Illustrates using C# layout styles, together with dictionaries, summary periods, and .NET InteropServices.
Read or Download Computational Finance Using C and C# (Quantitative Finance) PDF
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Additional info for Computational Finance Using C and C# (Quantitative Finance)
Are random variates with a joint probability density function p(x1 , x2 , . ), and if there are an equal number of y variates y1 , y2 , . . that are functions of the x’s, then the joint probability density function of the y variates, p(y1 , y2 , . ), is given by the following expression: p(y1 , y2 , . ) dy1 dy2 , . . = p(x1 , x2 , . )Jx,y dy1 dy2 , . . 1) where Jx,y is the Jacobian determinant of the x’s with respect to the y’s. An important application of this result is the Box–Muller transformation in which a p variate independent normal distribution N(0, Ip ) is generated from a p variate uniform distribution U(0, 1); see Box and Muller (1958).
2) gives x = (−2 log V1 )1/2 cos 2πV2 , where x and y are N(0, 1). 5) 44 Computational Finance Using C and C# The Box–Muller method is contained in Eq. 5), which shows that the N(0, 1) variates are generated in pairs from the uniform U(0, 1) variates V1 and V2 . Since the N(0, 1) variates are created two at a time, if we want to generate a normal distribution with an odd number of dimensions, nodd , it is necessary to generate nodd + 1 dimensions and discard one of the dimensions. It is easy to modify Eq.
The Cartesian coordinates of the ith point on an n-dimensional hypersphere with radius r can be shown to be: xi,1 = r cos(θi,1 ) xi,2 = r sin(θi,1 ) cos(θi,2 ) 50 Computational Finance Using C and C# xi,3 = r sin(θi,1 ) sin(θi,2 ) cos(θi,3 ) xi,4 = r sin(θi,1 ) sin(θi,2 ) sin(θi,3 ) cos(θi,4 ) .. xi,n−1 = r sin(θi,1 ) sin(θi,2 ) · · · sin(θi,n−3 ) sin(θi,n−2 ) cos(θi,n−1 ) xi,n = r sin(θi,1 ) sin(θi,2 ) · · · sin(θi,n−2 ) sin(θi,n−1 ) where θi,1 are spherical coordinates and have the following constraints: 0 θi,k π, k = 1, .