Blog: Articles on C++11 and Computational Finance (by Daniel J. Duffy)

[Daniel Duffy]

On this blog I would like to share some of my work.
Feedback relating to these topics very welcome.

 

[Daniel Duffy]

C++11 for the Impatient (with Mr. A. Palley)

http://onlinelibrary.wiley.com/doi/10.1002/wilm.10606/epdf

 

[Daniel Duffy]

PDE models (with A. Lewis and P. Wilmott)

http://onlinelibrary.wiley.com/doi/10.1002/wilm.10366/epdf

The follow-up in C++

http://onlinelibrary.wiley.com/doi/10.1002/wilm.10620/epdf

 

[Daniel Duffy]

Parallel Monte Carlo in C++11 using a combination of object and functional styles.


http://onlinelibrary.wiley.com/doi/10.1002/wilm.10647/epdf

Useful backgrounder for Baruch Advanced C++ course.

 

[Bkovalick]

Parallel Monte Carlo in C++11 using a combination of object and functional styles.


http://onlinelibrary.wiley.com/doi/10.1002/wilm.10647/epdf

Useful backgrounder for Baruch Advanced C++ course.

This would've been perfect for the project I just turned in for this course

 

[Daniel Duffy]

This would've been perfect for the project I just turned in for this course

The difference is I needed 20 years to get my design up and running while you got it working in a few weeks

BTW what were the similarities and differences between the two approaches?

I get the impression you enjoyed the parallel programming aspects in this part?

 

[Daniel Duffy]

An interesting follow-on remark is that these design principles are reusable, standardized and can be applied to any application domain. They grew from exposure to CAD, process control, holography and computational finance.
My forthcoming 2nd edition on C++ instrument pricing formalizes these domain architectures in computational finance.

@dstefan

 

[Bkovalick]

The difference is I needed 20 years to get my design up and running while you got it working in a few weeks

BTW what were the similarities and differences between the two approaches?

I get the impression you enjoyed the parallel programming aspects in this part?

Very much so. Mine focused solely on improving the nested loop a.k.a the monte carlo simulation. Based on the feedback from @APalley the better approach would've been similar to what you did at the client level. Also I solely relied on subtype polymorphism to implement SDE, RNG and FDM instances but as I stated in my systems design document my improvement to this would be something quite similar to your approach. I did use boost signals for the pre and post process functions which meant I could price multiple options with one call to the start function. But overall I would say it's something I'll continue to revisit to see where I can make improvements.

 

[Daniel Duffy]

There are quite a few parallel design patterns to help.

https://www.amazon.com/Patterns-Parallel-Programming-paperback-Software/dp/0321940784

 

[pingu]

There are quite a few parallel design patterns to help.

https://www.amazon.com/Patterns-Parallel-Programming-paperback-Software/dp/0321940784

this book is really good. I like it a lot. I used it around 8-9 years ago and it's still relevant.

 

[Daniel Duffy]

this book is really good. I like it a lot. I used it around 8-9 years ago and it's still relevant.

The book uses OpenMP 2.0 and MPI code snippets which is of course good. Maybe a 2nd edition would be nice.
Nowadays parallel design patterns are ready-to-run in libraries such as C++ Concurrency, PPL, TBB, TPL, actor systems (and many other languages of course).

An important modelling construct is the usefulness of creating a task dependency graph up front.

 

[Daniel Duffy]

Sample Chapter from "Financial Instrument Pricing using C++" by Daniel J. Duffy, 2nd edition, John Wiley publishers. (August 2018).

More info www.datasim.nl

 

[Daniel Duffy]

First in a series of two articles on C++/C#/Quantlb/Excel software interoperability.

https://onlinelibrary.wiley.com/doi/epdf/10.1002/wilm.10692

@APalley

 

[Daniel Duffy]

Second article on

C++/C#/Quantlb/Excel software interoperability.

https://onlinelibrary.wiley.com/doi/epdf/10.1002/wilm.10708

@APalley

 

[Daniel Duffy]

Now with source code
Blogs :: Datasim

update
Blogs :: Datasim

 

[Daniel Duffy]

Two slide shows on PDE/FDM from a recent talk in Amsterdam.

 

[Daniel Duffy]

This was probably the first object-oriented software program + Design Patterns

1. Create and clone instances/objects Creational
2. Build the structure of objects Structural
3. Manipulate objects Behavioural

 

[Daniel Duffy]

Some notes on multiparadigm software design patterns

Datasim Financial Forums • View topic - Next Generation (Multi-Paradigm) Design Patterns

Blogs - Sample chapter :: Datasim

Chapter 1 A Tour of C++ and Environs

www.datasim.nl

 

[Daniel Duffy]

This Boost C++ Library HOF (Higher-Order Functions) might be relevant to the Advanced C++ course

Getting started — Boost.HigherOrderFunctions 0.6 documentation - 1.70.0

www.boost.org

Boost.HOF — Boost.HigherOrderFunctions 0.6 documentation - 1.70.0

www.boost.org

I'm pretty sure HOF will be in the C++33 standard.

@APalley
@GONG CHEN

 

[APalley]

This Boost C++ Library HOF (Higher-Order Functions) might be relevant to the Advanced C++ course

Getting started — Boost.HigherOrderFunctions 0.6 documentation - 1.70.0

www.boost.org

Boost.HOF — Boost.HigherOrderFunctions 0.6 documentation - 1.70.0

www.boost.org

I'm pretty sure HOF will be in the C++33 standard.

@APalley
@GONG CHEN

These are an interesting read