In Computational Finance Using C and C# George Levy raises computational finance to the next level using the languages of both standard C and C#. The inclusion of both these languages enables readers to match their use of the book to their firm's internal software and code requirements. Levy also provides derivatives pricing information for: - equity derivates: vanilla options, quantos, generic equity basket options- interest rate derivatives: FRAs, swaps, quantos - foreign exchange derivatives: FX forwards, FX options- credit derivatives: credit default swaps, defaultable bonds, total return swaps.Illustrates the use of C# design patterns, including dictionaries, abstract classes, and .NET InteropServices.
- Publication Date:
- 13 / 06 / 2008