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

Asynchronous and parallel programming


Asynchronous and parallel programming will be introduced in this section, together with events, thread pools, background workers, and the MailboxProcessor (agents). All these constructs exist with one purpose in life: to make life easier for the programmer. Modern computers have CPUs capable of executing several threads in parallel, which opens doors to new possibilities. These possibilities require a good toolkit for concurrent and parallel programming. F# is a very good candidate, and one of its design principles is to be a good fit in these types of situations.

Events

Events are useful when you want a certain function to execute upon a specific event that will occur sometime in the future. This is often applicable to GUI programming, where a user will interact in some way with the interface. The pattern is called event-driven programming, where events drive the execution of the program. The following example illustrates this in a simple manner:

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