Book Image

F# for Quantitative Finance

By : Johan Astborg
Book Image

F# for Quantitative Finance

By: Johan Astborg

Overview of this book

F# is a functional programming language that allows you to write simple code for complex problems. Currently, it is most commonly used in the financial sector. Quantitative finance makes heavy use of mathematics to model various parts of finance in the real world. If you are interested in using F# for your day-to-day work or research in quantitative finance, this book is a must-have.This book will cover everything you need to know about using functional programming for quantitative finance. Using a functional programming language will enable you to concentrate more on the problem itself rather than implementation details. Tutorials and snippets are summarized into an automated trading system throughout the book.This book will introduce you to F#, using Visual Studio, and provide examples with functional programming and finance combined. The book also covers topics such as downloading, visualizing and calculating statistics from data. F# is a first class programming language for the financial domain.
Table of Contents (17 chapters)
F# for Quantitative Finance
Credits
About the Author
About the Reviewers
www.PacktPub.com
Preface
Index

Summary


In this chapter, we had a look into the basics of programming in F# using Visual Studio. We covered a wide variety of the language and scratched the surface of functional programming, where immutability plays a key role. Throughout the chapter we started out illustrating some of F#'s language features and how to make use of the .NET framework. At the end of the chapter, we put together a simple application which shows the power and elegant syntax of F#. Functions are the main building block in any functional programming language. Building new functions from existing ones is a way of abstracting away the complexity and allows for reuse.

In the next chapter, we'll dive into more details about the F# language. You'll learn more about data structures, such as Lists, Sequences, and Arrays. You'll also learn how to structure your program using modules and namespaces, things that will become useful in larger programs. The next chapter will also introduce you to threads, thread pools, asynchronous programming using .NET, and language-specific constructs for the F# language.