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

Understanding the imperative code and interoperability


Suppose we are interested in parsing the date column in the example with the stock prices. The entire row looks something like the following:

 [|"2013-02-22"; "54.96"; "55.13"; "54.57"; "55.02"; "5087300"; "55.02"|]

We are interested in the first column, with index 0:

lowestVolume.[0];;	
val it : string = "2013-02-22"

We can make use of the .NET classes for date and time in the System.DateTime namespace:

> let dateTime = System.DateTime.ParseExact(lowestVolume.[0], "yyyy-mm-dd", null);;

val dateTime : System.DateTime = 2013-01-22 00:02:00

Now we have a System.DateTime object, which is compatible with C# and the other .NET languages, to work with!