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

A brief look at imperative programming


In this section, we will look at imperative programming and object orientation. It's hard to do object orientation without involving imperative programming. In other words, mutable state. Mutable state and pure functional programming is not a good combination, in fact pure functional programming forbids mutable state totally. To our rescue, F# is not a pure functional programming language, so mutable state is allowed. With this knowledge, we can continue and learn about object orientation and how it's carried out in F#.

Object-oriented programming

F# is a multi-paradigm language where object orientation makes up parts of it. This makes the language interact seamlessly with the other .NET languages in the case of objects. Features that are well known because they are used in almost every modern programming language are imperative programming, object orientation, storing, and manipulating data. Combine imperative and functional programming; F# tried this...