Pricing Protocols

Tom Hyer

Chapter 10 in Derivatives Algorithms:Volume 1: Bones, 2015, pp 183-223 from World Scientific Publishing Co. Pte. Ltd.

Abstract: We have displayed an array of tools underpinning the creation of trades, forward curves, models and numerical pricers. To put these pieces to use, we have to define the target. A trade, for example, will be useful if it does certain trade-like things: but what precisely are those?…

Keywords: Derivatives; Quantitative; Numerical; Code Generation; C++; C++11; Algorithms; Coding; Protocols; Interfaces; Persistence; Indices; Underdetermined; Multiple Dispatch; Extensibility (search for similar items in EconPapers)
Date: 2015
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