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  • Book Overview & Buying F# for Quantitative Finance
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F# for Quantitative Finance

F# for Quantitative Finance

By : Johan Astborg
3.8 (5)
Buy this Book
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F# for Quantitative Finance

F# for Quantitative Finance

3.8 (5)
By: Johan Astborg
Buy this Book

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)
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F# for Quantitative Finance
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F# for Quantitative Finance
Credits
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Credits
About the Author
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About the Author
About the Reviewers
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About the Reviewers
www.PacktPub.com
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www.PacktPub.com
Preface
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Preface
Lock Free Chapter
1
Introducing F# Using Visual Studio
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Introducing F# Using Visual Studio
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Introduction
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Getting started with Visual Studio
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Understanding F# Interactive
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Language overview
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Explaining mutability and immutability
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Primitive types
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Explaining type inference
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Explaining functions
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Documenting your code
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Your first application
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The whole program
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The power of prototyping
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Functional languages in quantitative finance
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Understanding the imperative code and interoperability
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Summary
2
Learning More About F#
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Learning More About F#
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Structuring your F# program
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Looking deeper inside data structures
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Choosing data structures
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More on functional programming
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Asynchronous and parallel programming
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A brief look at imperative programming
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Using XML documentation
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Summary
3
Financial Mathematics and Numerical Analysis
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Financial Mathematics and Numerical Analysis
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Understanding the number representation
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Learning about numerical types in F#
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Arithmetic operators
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Learning about arithmetic comparisons
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Math operators
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Conversion functions
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Introducing statistics
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Using the Math.NET library
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Learning about root-finding algorithms
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Summary
4
Getting Started with Data Visualization
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Getting Started with Data Visualization
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Making your first GUI in F#
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Composing interfaces
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Displaying data
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Extending the application to use Bollinger bands
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Using FSharp.Charting
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Creating a bar chart
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Summary
5
Learning Option Pricing
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Learning Option Pricing
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Introduction to options
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Learning the Black-Scholes formula
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The Monte Carlo method
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Summary
6
Exploring Volatility
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Exploring Volatility
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Introduction to volatility
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Learning about implied volatility
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Solving for implied volatility
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Delta hedging using Black-Scholes
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Exploring the volatility smile
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Summary
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Getting Started with Order Types and Market Data
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Getting Started with Order Types and Market Data
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Introducing orders
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Understanding order execution
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Introducing market data
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Implementing simple pretrade risk analysis
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Introducing FIX and QuickFIX/N
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Summary
8
Setting Up the Trading System Project
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Setting Up the Trading System Project
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Explaining automated trading
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Understanding software testing and test-driven development
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Understanding NUnit and FsUnit
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Connecting to Microsoft SQL Server
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Introducing type providers
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Writing test cases
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Summary
9
Trading Volatility for Profit
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Trading Volatility for Profit
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Trading the volatility
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Plotting payoff diagrams with FSharpCharts
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Learning directional trading strategies
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Deriving the mathematics
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Learning relative value trading strategies
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Defining the trading strategy
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Summary
10
Putting the Pieces Together
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Putting the Pieces Together
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Understanding the requirements
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Revisiting the structure of the system
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Understanding the Model-View-Controller pattern
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Executing the trading strategy using a framework
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Building the GUI
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Presenting information in the GUI
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Adding support for downloading the data
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Looking at possible additions to the system
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Summary
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Index
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Index

Displaying data

Displaying and visualizing data is essential to get a better understanding of its characteristics. Also, data is at its core in quantitative finance. F# is a sharp tool for data analysis and visualization. A majority of the functionalities of visualization and user interfaces comes from the .NET platform. Together with the exploratory characteristics of F#, especially through F# Interactive, the combination becomes very efficient and powerful.

Let's start out by using F# Interactive to create a form that will display data feed to it. This means we will have a form that can change the content at runtime, without the need for recompiling. The controls in the form are also interchangeable:

// The form
open System
open System.Drawing
open System.Windows.Forms

let form = new Form(Visible = true, Text = "Displaying data in F#",TopMost = true, Size = Drawing.Size(600,600))

let textBox = 
    new RichTextBox(Dock = DockStyle.Fill, Text = "This is a text box that we can feed data...
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Tech Concepts
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Programming languages
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F# for Quantitative Finance
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