C# for Financial Markets

C# for Financial Markets

Book Description

C# for Financial Markets by Daniel J. Duffy, Andrea Germani

A practice-oriented guide to using C# to design and program pricing and trading models
In this step-by-step guide to software development for financial analysts, traders, developers and quants, the authors show both novice and experienced practitioners how to develop robust and accurate pricing models and employ them in real environments. Traders will learn how to design and implement applications for curve and surface modeling, fixed income products, hedging strategies, plain and exotic option modeling, interest rate options, structured bonds, unfunded structured products, and more. A unique mix of modern software technology and quantitative finance, this book is both timely and practical. The approach is thorough and comprehensive and the authors use a combination of C# language features, design patterns, mathematics and finance to produce efficient and maintainable software.


1. Global Overview of the Book
2. C# Fundamentals
3. Classes in C#
4. Classes and C# Advanced Features
5. Data Structures and Collections
6. Creating User-defined Data Structures
7. An Introduction to Bonds and Bond Pricing
8. Data Management and Data Lifecycle
9. Binomial Method, Design Patterns and Excel Output
10. Advanced Lattices and Finite Difference Methods
11. Interoperability: Namespaces, Assemblies and C++/CLI
12. Bond Pricing: Design, Implementation and Excel Interfacing
13. Interpolation Methods in Interest Rate Applications
14. Short Term Interest Rate (STIR) Futures and Options
15. Single-curve Building
16. Multi-curve Building
17. Swaption, Cap and Floor
18. Software Architectures and Patterns for Pricing Applications
19. LINQ (Language Integrated Query) and Fixed Income Applications
20. Introduction to C# and Excel Integration
21. Excel Automation Add-ins
22. C# and Excel Integration COM Add-ins
23. Real-time Data (RTD) Server
24. Introduction to Multi-threading in C#
25. Advanced Multi-threading in C#
26. Creating Multi-threaded and Parallel Applications for Computational Finance

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