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

Understanding software testing and test-driven development


When writing software, it's crucial to be able to test the functionality of the system being written. In software development, there is a popular and effective way of writing code in a more agile fashion, namely test-driven development. This method is driven by tests, and the tests written before the main logic are implemented. In other words, when you are about to write a test case for a system, you will certainly have a couple of requirements already at hand, or an idea about the software. In test-driven development, the tests will reflect the requirements. This is a way of writing the requirements in code that will test the piece of software for a given set of functionality. The tests are implemented as test cases, and test cases are collected into test suites. The tests will preferably be automated with a tool. Having automated tests will enable the developers to rerun the tests every time a change is made to the code.

We'll focus...