Modern Computational Finance

CHAPTER 6Serial Implementation

In this chapter, we turn the ideas of the previous two chapters into a simulation library in C++. We introduce a library with a generic, modular architecture, capable of accommodating wide varieties of models and products. We also instantiate a small number of models and products, where the calculation code is mainly a translation in C++ of the mathematics in the previous chapters.

Other publications cover the design and development of financial libraries, the best to our knowledge being Joshi's [74] and Schlogl's [75]. Our purpose is not to build a complete financial library, but to introduce the generic design of valuation libraries and establish a baseline for our work on parallelism and differentiation in the following chapters. In particular, we only cover simulation. Calibration is introduced in Chapter 13. We don't implement interest rate markets, model hierarchies, or algorithms other than simulation.

6.1 THE TEMPLATE SIMULATION ALGORITHM

Object Oriented Design (OOD) reigned supreme for decades over the software development community and gave birth to popular programming languages like Java, C#, and C++. OOD lost traction in the past decade in favor of the more intellectually satisfying functional programming; see for instance the excellent [23], and the more efficient meta-programming, see for instance [76].

The main criticisms toward OOD are the run-time overhead of dynamic polymorphism, and the presence of mutable state causing race ...