Principles of Quantitative Development

8

Flexible Derivatives Pricing Tool

The pricing tool in the attached CD is a companion program designed to illustrate the modular programming techniques described in this book, Principles of Quantitative Development. Although the pricing tool falls short of meeting all the requirements of a good trading platform, it illustrates many of the design and interface principles described in this book. In particular, the pricing tool provides excellent extensibility when it comes to defining and deploying new products and quantitative models. It also gives its users dynamic interfaces based on product or model definitions. The act of designing new products or models also takes care of putting together interfaces for them. Moreover, through a clean separation of various modules, the pricing tool can provide a rich toolkit (finite difference Greeks, visualization, etc.) to any newly developed products and models.

In this chapter, we will start with the design scope of the pricing tool and explain why it is not considered a trading platform. We will then go through some of its features and highlight the areas where they do meet the requirements of a good trading platform. We will follow it up a discussion on how these features are implemented, including the publicly available class libraries it uses. We will finish off by focusing on the often neglected documentation aspect. In the next chapter, we will discuss how the shortcomings of the pricing tool can be addressed so that it can become ...