Derivatives algorithms. Volume 1, Bones / Tom Hyer.

Format:

Book

Author/Creator:

Hyer, Tom, author.

Language:

English

Subjects (All):

Derivative securities--Data processing.

Derivative securities.

Algorithms--Data processing.

Algorithms.

Physical Description:

1 online resource (346 p.)

Edition:

Second edition.

Other Title:

Bones

Place of Publication:

New Jersey : World Scientific Publishing, [2016]

Language Note:

English

Summary:

"Derivatives Algorithms — Volume 1: Bones (Second Edition) is for practicing quants who already have some expertise in risk-neutral pricing and in programming, and want to build a reusable and extensible library. Rather than specific models, this volume provides foundations common to all pricing, such as C++ code structure, interfaces, and several widely used mathematical methods. It also presents a set of protocols, by which models and trades can collaborate to support pricing and hedging tasks, and illustrates their use with several example trade types and models. Readers will learn to deploy the results of their research work with productivity-enhancing methods that are not taught elsewhere, including object serialization, code generation, and separation of concerns for continuous improvement. Of all the books on derivatives pricing, only Derivatives Algorithms shows the internals of a high-quality working library. The new Second Edition is more accessible to readers who are not already familiar with the book's concepts; there is an increased focus on explaining the motivation for each step, and on providing a high-level perspective on design choices. The chapters on Persistence and Protocols have been substantially rewritten, providing motivating examples and additional detail in the code. The treatment of yield curves and funding has been modernized, with the increased sophistication required by today's markets. And a new final chapter, describing the next phase in the evolution of derivatives valuation and risk, has been added."-- Provided by publisher.

Contents:

Contents; 1. Introduction; 1.1 Note on the Second Edition; 2. Principles; 2.1 Our Code; 2.1.1 auto; 2.1.2 override and final; 2.1.3 Wishful Thinking; 2.2 Functional Programming; 2.3 Type and State; 2.4 Physical Code Structure; 2.4.1 Facts; 2.5 Platform; 2.6 Some Design Patterns; 2.6.1 Factory Method; 2.6.2 Decorator; 2.6.3 Singleton; 2.6.4 Composites; 2.7 Optimization; 2.7.1 Calibration; 2.7.2 map; 2.8 Threads; 3. Types and Interfaces; 3.1 The User Base; 3.2 A Public Example; 3.3 Interface Generation; 3.4 Interface Types; 3.4.1 Tables and Cells; 3.4.2 Variety; 3.4.3 Containers; 3.5 Machinist

3.6 Exception Messaging3.6.1 Macro Hackery; 3.7 Environment; 3.7.1 Fast-Path Optimization; 3.7.2 Repository Access; 3.8 Enumerated Types; 4. Vector and Matrix Computations; 4.1 Customizing Vectors; 4.2 Algorithms; 4.2.1 Join; 4.3 Matrices and SquareMatrices; 4.3.1 Internal Layout; 4.3.2 Pasting and Formatting; 4.4 Matrix Multiplication; 4.4.1 Inheritance and Substitutability; 4.5 Decompositions (Square); 4.6 Decompositions (Symmetric); 4.7 Decompositions (Sparse); 4.7.1 Tridiagonal Matrices; 4.7.2 Band Diagonal Matrices; 4.7.3 SLAP Format; 4.7.4 The Symmetric Case; 4.8 Decompositions (Other)

5. Persistence and Memory5.1 Storage; 5.2 Extraction; 5.2.1 Example: Linear Interpolant; 5.2.2 Reader Registry; 5.3 Code Generation; 5.4 A Display Interface; 5.4.1 Storage; 5.4.2 Display Format; 5.4.3 Extraction; 5.4.4 Refinements; 5.5 Auditing; 5.5.1 Bag; 5.5.2 Filling Up; 5.5.3 Audit Types; 5.6 More on Repositories; 5.6.1 Naming; 5.6.2 Matching; 5.6.3 Capturing State; 5.6.4 Unique Objects; 6. Testing Framework; 6.1 Component Tests; 6.1.1 Physical Structure; 6.1.2 Reuse; 6.2 Regression Tests; 6.2.1 Repository Instrumentation; 6.3 No Silver Bullet; 7. Further Maths; 7.1 Interpolation

7.1.1 Functions of Time7.2 Special Functions; 7.2.1 The Normal Distribution; 7.3 Root Solvers; 7.4 Underdetermined Search; 7.4.1 Function and Jacobian; 7.4.2 Weights and Smoothing; 7.4.3 Monitoring Progress; 7.5 Quadrature; 7.5.1 Gaussian Quadrature; 7.5.2 Adaptive Quadrature; 7.6 Distributions; 7.6.1 Implied Vol; 7.7 Baskets; 7.7.1 Whole-Basket Moment Matching; 7.7.2 Taylor Expansion of Projected Vols; 7.7.3 Midpoint Variance; 7.8 Randomand Quasi-Random Numbers; 7.8.1 Random Deviate Streams; 7.8.2 Generator Implementation; 7.8.3 Transforms; 7.8.4 Low-Discrepancy Sequences

7.8.5 Spectral and Spining Methods7.9 PDE Solvers; 7.9.1 Cube; 7.9.2 Coordinate Mapping; 7.9.3 Coefficient Calculators; 7.9.4 Forward Induction; 7.10 American Monte Carlo ; 7.10.1 Recursive Partitioning; 7.10.2 Biases; 8. Schedules; 8.1 Enumerated Switches; 8.1.1 Groundwork for Extensibility; 8.1.2 30E/360 ISDA, ACT/ACT ISMA; 8.1.3 BUS/252; 8.1.4 Other Enumerations; 8.2 Holidays; 8.2.1 Cities; 8.2.2 Holiday Sets; 8.3 Currencies; 8.3.1 Internals; 8.4 Increments; 8.5 Legs; 8.5.1 Stubs; 8.5.2 Build from Parameters; 8.5.3 CDS; 8.5.4 Inflation Instruments; 9. Indices; 9.1 Naming and Parsing

9.1.1 Short Names

Notes:

Description based upon print version of record.

Includes bibliographical references and index.

Description based on print version record.

ISBN:

981-4699-52-7