NUnit is an open source unit testing framework for all .NET languages, same as JUnit is for Java. NUnit enables the programmer to write unit tests, and execute the test to be able to see which tests are successful and which failed. In our project we'll use NUnit and its external tool for running tests. A typical line for testing in F# using FsUnit can look something like the following:
> 1 |> should equal 1;;
In this section we'll discuss some of the main requirements for the trading system. We'll not specify all the details, because some of them are needed to be divided into parts. The trading system will make use of some libraries and tools, specified in the following section.
Table some of the most important requirements of the trading system we'll develop. It will be a simple system with trading options for volatility arbitrage opportunities using S&P 500 index options and the CBOE Volatility Index (VIX). The S&P 500...