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

Learning about numerical types in F#


In F#, as in most other modern languages, there is a variety of numerical types. The main reason for this is to enable you, as a programmer, to choose the most appropriate numerical type at any given situation. Sometimes there is no need for a 64-bit integer as 8-bit will be enough for small numbers. Another aspect is memory efficiency and consumption, that is, 64-bit integers will consume eight times as much as 8-bit integers.

The following is a table with the most common numerical types used in the F# code. They come in two main varieties; integers and floating-point numbers:

Type

Description

Example

byte

8-bit unsigned integers

10uy, 0xA0uy

sbyte

8-bit signed integers

10y

int16

16-bit signed integers

10s

uint16

16-bit unsigned integers

10us

int, int32

32-bit signed integers

10

uint32

32-bit unsigned integers

10u

int64

64-bit signed integers

10L

uint64

64-bit unsigned integers

10UL

nativeint

Hardware-sized signed integers

...