http://www.wilmott.com/blogs/cuchulainn/index.cfm en-us Wed, 19 Jun 2013 20:46:08 --0100 Thu, 25 Jan 2007 21:05:00 --0100 BlogCFC http://blogs.law.harvard.edu/tech/rss blogs@wilmott.com blogs@wilmott.com http://www.wilmott.com/blogs/cuchulainn/index.cfm/2007/1/25/Monte-Carlo-Frameworks-in-C This is a project that I am working on with Dr. Kienitz. One of the conclusions that we must draw is that C++ is the only language that is flexible enough for the problems we are working on. Some of the reasons are: - support for OO and generic programming (in particular C++ templates are extremely flexible ... someone mentioned Turing complete) - direct discovery of patterns that allow developers to plug in their own models, payoffs etc. - Performance - The abiliy to migrate the framework to MPI and OpenMP environments, thus allowing us to run parts of the application concurrently (for example, calculating option price and sensitivities) - We now have some maintainable libraries that can be used C# is a good language but it is more suitable for desk top environments. The combination of C++/CLI and C# in .NET seems like a good idea; one language for I/O, GUI and so on, and the other one for distributed number crunching. C++/CLI is like C++ but has a number of extensions that take some geting use to. Edit: had some feedback on this blog; for the record let me say that I know C# well so my personal conclusions are not based on a one-sided analysis or ignorance of C#. WorkInProgress Thu, 25 Jan 2007 21:05:00 --0100 http://www.wilmott.com/blogs/cuchulainn/index.cfm/2007/1/25/Monte-Carlo-Frameworks-in-C http://www.wilmott.com/blogs/cuchulainn/index.cfm/2006/6/3/Monte-Carlo-and-C It goes without saying that the Monte Carlo method is important in QF. Performance, accuracy and code extendibility are major requirements when developing C++ applications for MC. Dr. Joerg Kienitz has kindly agreed to cooperate to help write a book on designing and implementing reusable(pluggable) frameworks using Domain Architectures and Design Patterns. We examine a range of one-factor and N-factor plain and exotic derivatives problems. CD with working code as well as code for parallel processing. Publisher: Wiley, Chichester UK WorkInProgress Sat, 03 Jun 2006 17:12:00 --0100 http://www.wilmott.com/blogs/cuchulainn/index.cfm/2006/6/3/Monte-Carlo-and-C http://www.wilmott.com/blogs/cuchulainn/index.cfm/2006/6/3/C-and-Trading-Systems C# is a modern object-oriented Language developed by Microsoft. It offers a number of advantages for the busy quant: 1. Safe coding; no more memory management problems 2. Good integration with MS products, e.g. Excel and WinForms At the moment Signore Andrea Germani (a Wilmotter) and I are writing a hands-on and practical book on C# for Trading systems with the emphasis on fixed income and interest rate products. The book dicusses C# in some detail and how to use it for swap, bond, IR and related derivatives. CD with working code will also be povided. Publisher: Wiley, Chichester, UK WorkInProgress Sat, 03 Jun 2006 17:02:00 --0100 http://www.wilmott.com/blogs/cuchulainn/index.cfm/2006/6/3/C-and-Trading-Systems