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

Writing test cases


In this section we'll look at some of the test cases that can be written for the trading system. We'll use NUnit together with the graphical user interface provided by NUnit to accomplish this. The following screenshot displays the main GUI from NUnit:

Figure 4: The NUnit user interface

Before we start to write real tests for our system, we'll write a simple test to verify that our setup is correct. NUnit will automatically rerun the executable every time it's built. We start by writing a simple test inside the TestOrderValidation file, before we write the real ones:

[<Test>]
let OneIsEqualToOne() =
    1 |> should equal 1

This is quite silly, but we'll be able to see if NUnit detects changes and if NUnit will detect the test cases inside the .exe file. The steps for writing a simple test case are as follows:

  1. Open up NUnit and navigate to File | Open Project....

  2. Select the .exe file corresponding to the .exe? file in TradingSystem.Tests, located in ..\visual studio...