Generic Programming

Articles

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

13 March 2019 Editor Comments Off on Software Frameworks in Quantitative Finance, Part I: Fundamental Principles and Applications to Monte Carlo Methods
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. […]
Articles

Automatic Differentiation for the Greeks

16 April 2017 Editor Comments Off on Automatic Differentiation for the Greeks
The sensitivities of the value of an option to the model parameters, a.k.a. “the Greeks,” are crucial to understanding the risk of an option position, as well as tasks such as model calibration. Outside a […]