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

Looking deeper inside data structures


In the previous chapter we introduced some data structures of F# and scratched the surface of their functionality. In this section we will take a deeper look at several data structures and expressions used in many programs.

The following is a list of what will be covered together with a short description to summarize their main characteristics:

  • Record types: Record types are used to represent data and group pieces of data together by combining named values and types.

  • Discriminated unions: Discriminated unions are useful to represent heterogeneous data and support data that can be a set of named cases.

  • Enumerations: Enumerations in F# are almost identical to enumerations in other languages and are used to map labels to constant values.

  • Arrays: Arrays are collections of a fixed size and must contain values of the same type. Large arrays of constant values can be compiled to efficient binary representations.

  • Lists: Lists are ordered collections with elements...