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MC Common Framework in C++ versus C#

Posted: January 24th, 2014, 9:16 am
by Cuchulainn
QuoteOriginally posted by: outrunQuoteOriginally posted by: CuchulainnQuoteOriginally posted by: outrungood point, for each instrument you need to specify what curve you are going to use for discounting, and what numerical method for interpolation etcall discounting one of a specific curve should be done with the exact same interpolation setting, otherwise you'll get arbitrage opportunities. maybe make a separate design element for this?Good points, both.Andrea Germani - my coauthor - has made a design component for this, he does multi-curve and 5 interpolators So, I just need to define a good interface to it.Always a good idea to interface with your co-author! "qui audet adipiscitur "

MC Common Framework in C++ versus C#

Posted: January 31st, 2014, 7:29 am
by Cuchulainn
QuoteOriginally posted by: outrunWould it be a good idea to write down some "requirements"? And then analyze some design variants that cover those?Problem requirements (1-factor, n-factor, equity, IR) or software requirements (efficiency, interoperabiliy,...)?

MC Common Framework in C++ versus C#

Posted: January 31st, 2014, 8:10 pm
by Cuchulainn
QuoteOriginally posted by: outrunQuoteOriginally posted by: CuchulainnQuoteOriginally posted by: outrunWould it be a good idea to write down some "requirements"? And then analyze some design variants that cover those?Problem requirements (1-factor, n-factor, equity, IR) or software requirements (efficiency, interoperabiliy,...)?Both, and the choices depend on who you want to service.E.g. if I would make a framework I would service the C++11 && finance sector with building blocks (libraries) that are well designed and are compatible with existing C++11 concepts. Since it's C++ I would also focus on performance.I am not a large s/w company with a bunch of progammers and a sales team so this is not one of the scenarios.