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

Structuring your F# program


When you write larger programs, it becomes essential to be able to structure the code into hierarchical abstraction levels. This makes it possible to build larger programs, reuse existing code, and let others understand the code as well. In F# there are namespaces, modules, and object orientation together with types and data structures to do this. In object orientation, there are possibilities to make functions and variables private and to disable outside access. Object orientation will be covered in a section by itself later on.

As you may have seen in Visual Studio, when you have created your F# projects, there exist various types of source code files. They have different extensions depending on their use. In this book we use .fs and .fsx files. The former is an F# source code file to be compiled and used in an executable program. The latter, .fsx, is used for F# scripts and interactive mode for prototyping. Scripts are excellent for prototyping and exploratory...