QuoteOriginally posted by: outrunIndeed, first a scope and requirements. My toy project is to try and make it very wide (all QF models, [analytical, MC, PDE], multi-factor, exotic options,single instruments, full portfolios, pricing, VaR) and see if that leads to a scalable design.This would be huge project.Would you see 1-factor as a special case of n-factor? e.g. modelling (S1,...Sn) as std::array<T,n>. The magic number 7 _is_ the problem. that the number of objects an average human can hold in working memory is 7 ± 2. This is frequently referred to as Miller's Law.
Last edited by Cuchulainn
on May 21st, 2014, 10:00 pm, edited 1 time in total.