F# for Quantitative Finance

Johan Astborg

• Verlag: Packt Publishing
• Jahr: 2013
• ISBN:
  9781782164623
• Auflage: 1
• Thema: Informatica
• Thema: Linguaggi di programmazione

In Detail

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.

Approach

The approach is to guide you as a reader from the basics of functional programming and F# to more complex tasks using tutorials and a lot of code examples. As you gain more confidence through out the book, you will be able to modify and write your own code to solve various problems in finance.

Who this book is for

If you are a practitioner of quantitative finance, economics, or mathematics and wish to learn F#, then this book is for you. You may have a basic conceptual understanding of financial concepts and models, but no previous knowledge is expected.

F# for Quantitative Finance

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Table of Contents

F# for Quantitative Finance

Credits

About the Author

About the Reviewers

www.PacktPub.com

Support files, eBooks, discount offers, and more

Why Subscribe?

Free Access for Packt account holders

Preface

What this book covers

What you need for this book

Who this book is for

Conventions

Reader feedback

Customer support

Downloading the example code

Errata

Piracy

Questions

1. Introducing F# Using Visual Studio

Introduction

Getting started with Visual Studio

Creating a new F# project

Creating a new project in Visual Studio

Understanding the program template

Adding an F# script file

Understanding F# Interactive

Language overview

Explaining mutability and immutability

Primitive types

Explaining type inference

Explaining functions

Learning about anonymous functions

Explaining higher-order functions

Currying

Investigating lists

Concatenating lists

Tuples

The pipe operator

Documenting your code

Your first application

The whole program

Understanding the program

Extending the example program

The entire program

The power of prototyping

Functional languages in quantitative finance

Understanding the imperative code and interoperability

Summary

2. Learning More About F#

Structuring your F# program

Looking into modules

Using functions and values in modules

Namespaces

Looking deeper inside data structures

Record types

Discriminated unions

Enumerations

Arrays

Interesting functions in an array module

Lists

Pattern matching and lists

Interesting functions in a list module

Sequences

Interesting functions in the sequence module

Sets

Maps

Interesting functions in the map module

Options

Strings

Interesting functions in the string module

Choosing data structures

Arrays

Lists

Sets

Maps

More on functional programming

Recursive functions

Tail recursion

Pattern matching

Incomplete pattern matching

Using guards

Pattern matching in assignment and input parameters

Active patterns

Introducing generics

Lazy evaluation

Units of measure

Asynchronous and parallel programming

Events

Background workers

Threads

Thread pools

Asynchronous programming

The F# asynchronous workflows

Asynchronous binding

Examples of using an async workflow

Parallel programming using TPL

MailboxProcessor

A brief look at imperative programming

Object-oriented programming

Classes

Objects and members

Methods and properties

Overloaded operators

Using XML documentation

Useful XML tags

Typical XML documentation

Summary

3. Financial Mathematics and Numerical Analysis

Understanding the number representation

Integers

Two's complement

Floating-point numbers

The IEEE 754 floating-point standard

Learning about numerical types in F#

Arithmetic operators

Learning about arithmetic comparisons

Math operators

Conversion functions

Introducing statistics

Aggregate statistics

Calculating the sum of a sequence

Calculating the average of a sequence

Calculating the minimum of a sequence

Calculating the maximum of a sequence

Calculating the variance and standard deviation of a sequence

Calculating variance

Calculating standard deviation

Looking at an example application

Using the Math.NET library

Installing the Math.NET library

Introduction to random number generation

Pseudo-random numbers

Mersenne Twister

Probability distributions

Normal distribution

Statistics

Linear regression

Using the least squares method

Using polynomial regression

Learning about root-finding algorithms

The bisection method

Looking at an example

Finding roots using the Newton–Raphson method

Looking at an example

Finding roots using the secant method

Looking at an example

Summary

4. Getting Started with Data Visualization

Making your first GUI in F#

Composing interfaces

More about agents

The user interface

The main application

Learning about event handling

Displaying data

Extending the form to use a table

Displaying financial data from Yahoo! Finance

Understanding the application code

Extending the application to use Bollinger bands

Using FSharp.Charting

Creating a candlestick chart from stock prices

Creating a bar chart

Summary

5. Learning Option Pricing

Introduction to options

Looking into contract specifications

European options

American options

Exotic options

Learning about Wiener processes

Learning the Black-Scholes formula

Implementing Black-Scholes in F#

Using Black-Scholes together with charts

Introducing the greeks

First-order greeks

Second-order greeks

Implementing the greeks in F#

Delta

Gamma

Vega

Theta

Rho

Investigating the sensitivity of the greeks

Code listing for visualizing the four greeks

The Monte Carlo method

Summary

6. Exploring Volatility

Introduction to volatility

Actual volatility

Implied volatility

Exploring volatility in F#

The complete application

Learning about implied volatility

Solving for implied volatility

Delta hedging using Black-Scholes

Exploring the volatility smile

Summary

7. Getting Started with Order Types and Market Data

Introducing orders

Order types

Market orders

Limit orders

Conditional and stop-orders

Order properties

Understanding order execution

Introducing market data

Implementing simple pretrade risk analysis

Validating orders

Introducing FIX and QuickFIX/N

Using FIX 4.2

Configuring QuickFIX to use the simulator

Summary

8. Setting Up the Tradi...