Software Frameworks in Quantitative Finance, Part I: Fundamental Principles and Applications to Monte Carlo Methods

Daniel J. Duffy & Jörg Kienitz discuss developing customizable software systems and frameworks for problems in Quantitative Finance. In particular, examining the interplay between architecture, patterns and modern object-oriented and generic programming paradigms

We discuss a number of ongoing efforts when developing customizable software systems and frameworks for problems in Quantitative Finance. In particular, we examine the interplay between architecture, patterns and modern object-oriented and generic programming paradigms. In this way, we give some guidelines on how to develop software components, half-products and frameworks that can be modified and customized by developers. In this article we examine the applications to the Monte Carlo method and this article extends and generalizes the results in Duffy 2005.
In a future article we shall discuss object-oriented frameworks for the Finite Difference Method (FDM) and its application to option pricing models including implementation details in C++

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