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

Functional languages in quantitative finance


In the preceding example code, we saw that parsing data from a file and extracting various information is straightforward, and results in code that is both easy to read and understand. That's one of the highlights of F#, not less important in quantitative finance where code can be complex and hard to follow and comprehend in many languages.

Let's illustrate the preceding statements with another example. The data in the CSV file in the previous sample application was sorted with the most recent date first. If we want the data to be ordered in a more natural way, lowest date first and so on, we can simply reverse the entire list in the following way:

/// Reverses the price data from the CSV-file
let reversePrices =
    openFile filePath
    |> List.map splitCommas
    |> List.rev