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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