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

Chapter 2. Learning More About F#

This chapter is a more detailed one about the F# language itself. The tutorial approach will continue with demonstrations using Visual Studio, together with detailed aspects of the language relevant to building the final trading system throughout the later part of the book. Most of the language building blocks will be covered with explanations and examples. This chapter is quite large, but it is essential to understand the content provided here to be able to follow along throughout the book.

In this chapter, you will learn:

  • Structuring a program into modules and namespaces

  • More about data structures and types

  • Recursive functions and their role in functional programming

  • Pattern matching

  • Combining functional and object-oriented ideas

  • The imperative part of F#

  • The parallel and asynchronous programming model in F#

Tip

Download the F# 3.0 Language Specification from Microsoft Research and use it side-by-side as you go along this chapter and the rest of the book. The specification...