Derivatives algorithms

""Derivatives Algorithms"" provides a unique expert overview of the abstractions and coding methods which support real-world derivatives trading. Written by an industry professional with extensive experience in large-scale trading operations, it describes the fundamentals of library code structure, and innovative advanced solutions to thorny issues in implementation. For the reader already familiar with C++ and arbitrage-free pricing, the book offers an invaluable glimpse of how they combine on an industrial scale. Topics range from interface design through code generation to the protocols tha

1. Introduction -- 2. Principles. 2.1. Our code. 2.2. Functional programming. 2.3. Type and state. 2.4. Physical code structure. 2.5. Platform. 2.6. Some design patterns. 2.7. Optimization. 2.8. Threads -- 3. Types and interfaces. 3.1. The user base. 3.2. A public example. 3.3. Interface generation. 3.4. Interface types. 3.5. Interface code. 3.6. Other containers. 3.7. Environment. 3.8. Enumerated types -- 4. Vector and matrix computations. 4.1. Customizing vectors. 4.2. Algorithms. 4.3. Matrices and square matrices. 4.4. Matrix multiplication. 4.5. Decompositions (square). 4.6. Decompositions (symmetric). 4.7. Decompositions (sparse). 4.8. Decompositions (other) -- 5. Persistence and memory. 5.1. Storage. 5.2. Extraction. 5.3. Rebuilding. 5.4. Code generation. 5.5. A display interface. 5.6. Auditing. 5.7. More on repositories -- 6. Testing framework. 6.1. Component tests. 6.2. Regression tests. 6.3. No silver bullet -- 7. Further maths. 7.1. Interpolation. 7.2. Special functions. 7.3. Root solvers. 7.4. Underdetermined search. 7.5. Quadrature. 7.6. Distributions. 7.7. Baskets. 7.8. Random and quasi-random numbers. 7.9. PDE solvers. 7.10. American Monte Carlo -- 8. Schedules. 8.1.…