F# for Quantitative Finance电子书

F# for Quantitative Finance

Table of Contents

F# for Quantitative Finance

Credits

About the Author

About the Reviewers

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Preface

What this book covers

What you need for this book

Who this book is for

Conventions

Reader feedback

Customer support

Downloading the example code

Errata

Piracy

Questions

1. Introducing F# Using Visual Studio

Introduction

Getting started with Visual Studio

Creating a new F# project

Creating a new project in Visual Studio

Understanding the program template

Adding an F# script file

Understanding F# Interactive

Language overview

Explaining mutability and immutability

Primitive types

Explaining type inference

Explaining functions

Learning about anonymous functions

Explaining higher-order functions

Currying

Investigating lists

Concatenating lists

Tuples

The pipe operator

Documenting your code

Your first application

The whole program

Understanding the program

Extending the example program

The entire program

The power of prototyping

Functional languages in quantitative finance

Understanding the imperative code and interoperability

Summary

2. Learning More About F#

Structuring your F# program

Looking into modules

Using functions and values in modules

Namespaces

Looking deeper inside data structures

Record types

Discriminated unions

Enumerations

Arrays

Interesting functions in an array module

Lists

Pattern matching and lists

Interesting functions in a list module

Sequences

Interesting functions in the sequence module

Sets

Maps

Interesting functions in the map module

Options

Strings

Interesting functions in the string module

Choosing data structures

Arrays

Lists

Sets

Maps

More on functional programming

Recursive functions

Tail recursion

Pattern matching

Incomplete pattern matching

Using guards

Pattern matching in assignment and input parameters

Active patterns

Introducing generics

Lazy evaluation

Units of measure

Asynchronous and parallel programming

Events

Background workers

Threads

Thread pools

Asynchronous programming

The F# asynchronous workflows

Asynchronous binding

Examples of using an async workflow

Parallel programming using TPL

MailboxProcessor

A brief look at imperative programming

Object-oriented programming

Classes

Objects and members

Methods and properties

Overloaded operators

Using XML documentation

Useful XML tags

Typical XML documentation

Summary

3. Financial Mathematics and Numerical Analysis

Understanding the number representation

Integers

Two's complement

Floating-point numbers

The IEEE 754 floating-point standard

Learning about numerical types in F#

Arithmetic operators

Learning about arithmetic comparisons

Math operators

Conversion functions

Introducing statistics

Aggregate statistics

Calculating the sum of a sequence

Calculating the average of a sequence

Calculating the minimum of a sequence

Calculating the maximum of a sequence

Calculating the variance and standard deviation of a sequence

Calculating variance

Calculating standard deviation

Looking at an example application

Using the Math.NET library

Installing the Math.NET library

Introduction to random number generation

Pseudo-random numbers

Mersenne Twister

Probability distributions

Normal distribution

Statistics

Linear regression

Using the least squares method

Using polynomial regression

Learning about root-finding algorithms

The bisection method

Looking at an example

Finding roots using the Newton–Raphson method

Looking at an example

Finding roots using the secant method

Looking at an example

Summary

4. Getting Started with Data Visualization

Making your first GUI in F#

Composing interfaces

More about agents

The user interface

The main application

Learning about event handling

Displaying data

Extending the form to use a table

Displaying financial data from Yahoo! Finance

Understanding the application code

Extending the application to use Bollinger bands

Using FSharp.Charting

Creating a candlestick chart from stock prices

Creating a bar chart

Summary

5. Learning Option Pricing

Introduction to options

Looking into contract specifications

European options

American options

Exotic options

Learning about Wiener processes

Learning the Black-Scholes formula

Implementing Black-Scholes in F#

Using Black-Scholes together with charts

Introducing the greeks

First-order greeks

Second-order greeks

Implementing the greeks in F#

Delta

Gamma

Vega

Theta

Rho

Investigating the sensitivity of the greeks

Code listing for visualizing the four greeks

The Monte Carlo method

Summary

6. Exploring Volatility

Introduction to volatility

Actual volatility

Implied volatility

Exploring volatility in F#

The complete application

Learning about implied volatility

Solving for implied volatility

Delta hedging using Black-Scholes

Exploring the volatility smile

Summary

7. Getting Started with Order Types and Market Data

Introducing orders

Order types

Market orders

Limit orders

Conditional and stop-orders

Order properties

Understanding order execution

Introducing market data

Implementing simple pretrade risk analysis

Validating orders

Introducing FIX and QuickFIX/N

Using FIX 4.2

Configuring QuickFIX to use the simulator

Summary

8. Setting Up the Trading System Project

Explaining automated trading

Understanding software testing and test-driven development

Understanding NUnit and FsUnit

Requirements for the system

Setting up the project

Installing the NUnit and FsUnit frameworks

Connecting to Microsoft SQL Server

Introducing type providers

Using LINQ and F#

Explaining sample code using type providers and LINQ

Creating the remaining table for our project

Writing test cases

Details about the setup

Summary

9. Trading Volatility for Profit

Trading the volatility

Plotting payoff diagrams with FSharpCharts

Learning directional trading strategies

Trading volatility using options

Trading the straddle

Long straddle

Short straddle

Trading the butterfly spread

The long butterfly spread

The short butterfly spread

Trading the VIX

Trading the delta neutral portfolio

Deriving the mathematics

Hedging with implied volatility

Implementing the mathematics

Learning relative value trading strategies

Trading the slope of the smile

Defining the trading strategy

Case 1 – increasing the slope

Case 2 – decreasing the slope

Defining the entry rules

Defining the exit rules

Summary

10. Putting the Pieces Together

Understanding the requirements

Revisiting the structure of the system

Understanding the Model-View-Controller pattern

The model

The view

The controller

Executing the trading strategy using a framework

Building the GUI

Presenting information in the GUI

Adding support for downloading the data

Looking at possible additions to the system

Improving the data feed

Support for backtesting

Extending the GUI

Converting to the client-server architecture

Summary

Index