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

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Introduction

0.1 WHAT IS THIS BOOK?

The goal of this book is to develop applications related to pricing, hedging and data processing for fixed income and other derivative products in the .NET framework and using C# as the programming language. We pay attention to each stage in the process of defining financial models, designing algorithms and implementing these algorithms using the object-oriented and generic programming techniques in C# in combination with libraries in .NET. We address a number of issues that face quant developers and quant traders when designing new applications:

  • Step 1: Create and set up a financial model.
  • Step 2: Determine which algorithms, numerical methods and data to use in order to approximate the financial model.
  • Step 3: Implement the algorithms from Step 2 in C#.

We discuss each of the steps in detail. In particular, we introduce a number of standard fixed-income derivatives products. We pay particular attention to the curve building process and interpolation in the single-curve and multi-curve framework. Second, we show how to use the features in C# and .NET to design and implement flexible and efficient software systems for pricing and risk applications.

One of the consequences of using C# and .NET libraries to develop finance applications is that we can take advantage of the modern and effective software methods to create flexible applications and to improve programmer productivity. A special topic is how to use Excel as a front-end to our applications. ...

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