SERVING THE QUANTITATIVE FINANCE COMMUNITY

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by Polter
April 5th, 2015, 5:41 pm
Forum: Programming and Software Forum
Topic: boost::bind + boost::math::quantile
Replies: 29
Views: 18526

boost::bind + boost::math::quantile

<r>Check out EMC++ (Effective Modern C++) by Scott Meyers.// The best-practices book for C++11 and C++14 :-)In particular, quoting selectively from Item 5: Prefer `auto` to explicit type declarations:QuoteIt's important to recognize that even setting aside the syntactic verbosity and need to repeat ...
by Polter
April 5th, 2015, 4:24 pm
Forum: Programming and Software Forum
Topic: boost::bind + boost::math::quantile
Replies: 29
Views: 18526

boost::bind + boost::math::quantile

<r>Notes:- `std::bind1st`, `std::bind2nd` have been deprecated since C++11 and are planned to be removed in C++17: <URL url="http://en.cppreference.com/w/cpp/utility/functional/bind12Of"><LINK_TEXT text="http://en.cppreference.com/w/cpp/utilit ... l/bind12Of">http://en.cppreference.com/w/cpp/utility...
by Polter
April 3rd, 2015, 9:34 am
Forum: Programming and Software Forum
Topic: C++ quiz --- STL tricks
Replies: 217
Views: 158710

C++ quiz --- STL tricks

QuoteCorrect code?Looks well-formed to me; as outrun said, can't cay more without pre/post conditions (DWIM inference is non-trivial without any comments).Quote What conclusions can we draw about std::set?Well, it's not a `std::multiset` all right.
by Polter
April 3rd, 2015, 9:09 am
Forum: The Quantitative Finance Code Library Project
Topic: qfcl/random
Replies: 27
Views: 25209

qfcl/random

<r>Interesting discussion here: <REDDIT path="/r/cpp/comments/31857s/" url="http://www.reddit.com/r/cpp/comments/31857s/random_number_generation_it_might_be_harder_than/"><URL url="http://www.reddit.com/r/cpp/comments/31857s/random_number_generation_it_might_be_harder_than/"><LINK_TEXT text="http://...
by Polter
March 30th, 2015, 12:10 pm
Forum: Programming and Software Forum
Topic: Simpl Black Code that is not robust: quiz and structural solution
Replies: 55
Views: 5335

Simpl Black Code that is not robust: quiz and structural solution

<t>QuoteSo, if you get undocumented code with a bug somewhere, how do you locate the root cause?Thinking out loud -- perhaps some of the techniques mentioned here are applicable:Paranoid ProgrammingA Guide to Better Scripty Code for AcademicsIn particular:Software Testing Using Easy CasesBurning in ...
by Polter
March 27th, 2015, 11:09 pm
Forum: Book And Research Paper Forum
Topic: Publishing an article in Applied Mathematics Letters
Replies: 44
Views: 7807

Publishing an article in Applied Mathematics Letters

<r>On a side note, ICLR (a machine learning conference) uses an interesting approach: <URL url="http://openreview.net/aboutSee">http://openreview.net/aboutSee</URL> "An Open Reviewing Paradigm": <URL url="http://deeplearning.net/2014/09/27/call-for-papers-iclr-2014/"><LINK_TEXT text="http://deeplear...
by Polter
March 25th, 2015, 8:21 pm
Forum: Programming and Software Forum
Topic: Simpl Black Code that is not robust: quiz and structural solution
Replies: 55
Views: 5335

Simpl Black Code that is not robust: quiz and structural solution

<r>Well, Cuch, the underlying could reach 0.0 ;-)The option pricer had better take this into account (with the legal caveats amplifying the fun factor, as usual):<URL url="http://investorplace.com/2011/04/options-faq-splits-mergers-spinoffs-bankruptcies/Dangers"><LINK_TEXT text="http://investorplace...
by Polter
March 25th, 2015, 4:53 pm
Forum: Programming and Software Forum
Topic: Simpl Black Code that is not robust: quiz and structural solution
Replies: 55
Views: 5335

Simpl Black Code that is not robust: quiz and structural solution

Looking at When to use Optional, class template expected seems like another interesting solution (more specific: returns the reason of failure).Examples from the proposal:
by Polter
March 25th, 2015, 4:19 pm
Forum: Programming and Software Forum
Topic: Simpl Black Code that is not robust: quiz and structural solution
Replies: 55
Views: 5335

Simpl Black Code that is not robust: quiz and structural solution

<r>QuoteBS returns a `double`One could arguably interpret the above as the shall-never-fail guarantee in the implicit contract.One could weaken this stated guarantee by changing the signature to return an `optional<double>`: "Class template optional is a wrapper for representing 'optional' (or 'null...
by Polter
March 25th, 2015, 2:57 pm
Forum: Careers Forum
Topic: Best undergraduate degrees for quants
Replies: 17
Views: 6173

Best undergraduate degrees for quants

<r>Econometrics or stochastic calculus -- boils down essentially to P vs. Q: <URL url="http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1717163//"><LINK_TEXT text="http://papers.ssrn.com/sol3/papers.cfm? ... =1717163//">http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1717163//</LINK_TEXT></URL>...
by Polter
March 24th, 2015, 6:40 pm
Forum: Programming and Software Forum
Topic: C++ design question
Replies: 42
Views: 13078

C++ design question

QuoteThis proliferation of jargon does not happen in Mathematics.Well...// And don't you dare going no true Scotsman on the statistics (sub)categorization! ;-)That being said, sometimes the difference between things boils down to just this: They're called different things: And that's it..
by Polter
March 24th, 2015, 11:32 am
Forum: Programming and Software Forum
Topic: C++ design question
Replies: 42
Views: 13078

C++ design question

<r>QuoteIn response to the previous post, I think much is revolving around the pioneering work of Sid Hoare ('Hoare triples') and Bertrand Meyer's Eiffel langauge support for Design by Contract. Not enoigh developers know his work IMO and his book is probably the best one on OOP design (Prentice Hal...
by Polter
March 23rd, 2015, 7:38 pm
Forum: Book And Research Paper Forum
Topic: Best Books on Stochastic Calculus
Replies: 11
Views: 7343

Best Books on Stochastic Calculus

<t>Like both Shreve as well as Øksendal.Other than that:* Financial modelling with Jump Processes by Cont & Tankov -- good intro to jumps* Stochastic Integration and Differential Equations by Philip Protter -- this is somewhat in the technical territory, but still think it's the reference to go ...
by Polter
March 23rd, 2015, 1:57 pm
Forum: Programming and Software Forum
Topic: C++ design question
Replies: 42
Views: 13078

C++ design question

<r>QuoteWhen calling a boost Maths function, how do you know the contract?You can specify it:// Call the function applying my_policy:double t1 = tgamma(my_value, my_policy());QuoteI already posted Contract++ which hopes to formalize all this. It is based on Eiffel which had it > 20 years ago. C# imp...
by Polter
March 22nd, 2015, 5:35 pm
Forum: Programming and Software Forum
Topic: C++ design question
Replies: 42
Views: 13078

C++ design question

<r>One idea: outsource this (these) decision(s) to the user(s).Example: <URL url="http://www.boost.org/doc/libs/release/libs/math/doc/html/math_toolkit/pol_ref/error_handling_policies.html"><LINK_TEXT text="http://www.boost.org/doc/libs/release/l ... icies.html">http://www.boost.org/doc/libs/release...
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