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

Choosing data structures


With this many data structures to choose from, it can be hard to know which one to choose during a specific problem. There are some rules to follow, and here is a short summary of the main characteristics of the individual data structures.

Arrays

Arrays are efficient if you have to know the size of the collection beforehand. That means the size is fixed, and if you want to change the size, you have to create a new array and copy the elements over. On the other hand, random access is very fast; it can be done in constant time.

Lists

Lists are implemented using linked lists, which are items linked together using pointers. This means that traversing a linked list is not super-efficient, because a lot of pointers have to be followed. On the other hand, insertion is very fast at any position in the list. Also worth mentioning is that the lookup of the head element is a constant time operation.

Sets

Sets are implemented as binary trees, where you can't have multiple values defined...