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by AndreyShihov
September 9th, 2019, 5:46 am
Forum: Programming and Software Forum
Topic: Parallel programming in Finance
Replies: 20
Views: 3538

Re: Parallel programming in Finance

Also, forgot to add. In my earlier post I wasn't happy enough to see Monte-Carlo Simulation implemented with Blocking Collection I have seen in " C# book by Germani and Duffy". It turned out that my parallel implementation based on Blocking Collection is the winner in terms of speed. I have done it ...
by AndreyShihov
September 8th, 2019, 4:58 pm
Forum: Programming and Software Forum
Topic: FIVE years from now: can you predict the Software Landscape in anno 2023?
Replies: 729
Views: 233191

Re: FIVE years from now: can you predict the Software Landscape in anno 2023?

I'm pre-Agile generation. What's Minimum Viable Product == applied common sense?  In the context of App Development - it's a complete product with minim functionality, so users could start play around with it and give early feedback.  In the context of Engineering - it's complete algorithms that co...
by AndreyShihov
September 5th, 2019, 1:30 pm
Forum: Programming and Software Forum
Topic: FIVE years from now: can you predict the Software Landscape in anno 2023?
Replies: 729
Views: 233191

Re: FIVE years from now: can you predict the Software Landscape in anno 2023?

For risky projects, persuade client to do  a POC (proof-of-concept) especially if fixed price.
Agree, also seasoning it with Agile and Minimum Viable Product these days might help to get a green light. 
by AndreyShihov
September 4th, 2019, 8:18 am
Forum: Programming and Software Forum
Topic: FIVE years from now: can you predict the Software Landscape in anno 2023?
Replies: 729
Views: 233191

Re: FIVE years from now: can you predict the Software Landscape in anno 2023?

I used to be a requirements analyst for a good while and I found Inquiry-based .. to be so invaluable for high-risk (all are :-)) fixed-price projects https://www.researchgate.net/publication/3246954_Inquiry-Based_Requirements_Analysis Q: what is, what kinds of, who, when, what-if,  how-to , relati...
by AndreyShihov
September 4th, 2019, 6:23 am
Forum: Programming and Software Forum
Topic: FIVE years from now: can you predict the Software Landscape in anno 2023?
Replies: 729
Views: 233191

Re: FIVE years from now: can you predict the Software Landscape in anno 2023?

Corollary: some/many developers spend 10 minutes om WHAT (their own internal model,of reality) and an eternity on HOW. In the legendary words of Luigi Ballabio, I now duck for cover! It might be a side effect of Agile. Most of the things these days can be done without planning or minimum planning. ...
by AndreyShihov
September 3rd, 2019, 2:31 pm
Forum: Programming and Software Forum
Topic: FIVE years from now: can you predict the Software Landscape in anno 2023?
Replies: 729
Views: 233191

Re: FIVE years from now: can you predict the Software Landscape in anno 2023?

On a deeper level, the mental blocks are  1. Think about WHAT before HOW 2. Can you explain the DATA FLOW in 5 minutes to the customer? My two cents to point 1. I would also add WHO before HOW. Might help to understand that parallelism is about Workers which have to be well organised to achieve all...
by AndreyShihov
September 3rd, 2019, 10:32 am
Forum: Programming and Software Forum
Topic: Parallel programming in Finance
Replies: 20
Views: 3538

Re: Parallel programming in Finance

OK, I have completed my experiments. I have used different data structures and algorithms. Memory profile looked like sawteeth or flat. CPU was around 100% or 50%; Had over 2M context switches or just 9K. All implementations complete simulation in about 40 sec.  Expectation: I hoped avoidance of lar...
by AndreyShihov
September 2nd, 2019, 2:04 pm
Forum: Programming and Software Forum
Topic: Parallel programming in Finance
Replies: 20
Views: 3538

Re: Parallel programming in Finance

I find the combination of FP and OOP optimal. In the boiler room we have OP and on top deck FP.  Just out of curiosity; C# is very popular but I don't hear all that much about F#. I love the elegance of FP too, quite often mimic it in a small scale like Fluent Methods. Most of my experience it was ...
by AndreyShihov
August 28th, 2019, 6:53 am
Forum: Programming and Software Forum
Topic: Parallel programming in Finance
Replies: 20
Views: 3538

Re: Parallel programming in Finance

BTW here is a design I used for Monte Carlo in C#. http://www.datasimfinancial.com/forum/viewtopic.php?f=33&t=1219 Thanks, I'll have a look. Just out of curiosity, Andrey, do you use the CRTP pattern in C# (in C++ it is very efficient) https://zpbappi.com/curiously-recurring-template-pattern-in-csh...
by AndreyShihov
August 25th, 2019, 5:41 pm
Forum: Programming and Software Forum
Topic: Parallel programming in Finance
Replies: 20
Views: 3538

Re: Parallel programming in Finance

Thank you for sharing, it is very interesting. I'm looking at it. I'll send you my implementation a bit later. Would be interesting to hear your opinion about the design!
by AndreyShihov
August 23rd, 2019, 7:20 am
Forum: Programming and Software Forum
Topic: Parallel programming in Finance
Replies: 20
Views: 3538

Re: Parallel programming in Finance

Nice booklet on .NET parallel patterns https://www.amazon.com/Parallel-Programming-Microsoft%C2%AE-NET-Decomposition/dp/0735651590#customerReviews Figured out that I've already read that book. There is free pdf online. It's a really good book that gives quick overview about TPL, patterns and antipa...
by AndreyShihov
August 22nd, 2019, 3:01 pm
Forum: Programming and Software Forum
Topic: Parallel programming in Finance
Replies: 20
Views: 3538

Re: Parallel programming in Finance

Just one issue: the danger of race conditions and correlation between random number generation (grey area: are .NET rngs thread-safe??) Thanks for the book, I'll have a look. Good question. Thanks for reminding. I've used MathNet.Distributions.Normal with Box-Muller algorithm. I'll be able to compa...
by AndreyShihov
August 22nd, 2019, 1:33 pm
Forum: Programming and Software Forum
Topic: Parallel programming in Finance
Replies: 20
Views: 3538

Re: Parallel programming in Finance

OK, I've done MC Lookback Pricing with Simple Parallel Fork/Join, Blocking Collection and Concurrent Queue. Latter two Producer/Consumer. 2_500_000_000 (50K x 50K) The winner is: Delightfully Parallel Fork/Join.  First point: Speed - 40 sec (on my laptop).  10 seconds faster than Concurrent Queue an...
by AndreyShihov
August 16th, 2019, 4:07 pm
Forum: Programming and Software Forum
Topic: Parallel programming in Finance
Replies: 20
Views: 3538

Re: Parallel programming in Finance

I would look into the full lifecycle of swap trading by extending your expertise to ADO.NET, P(LINQ) and possibly Reflection  API and profiling system throughput. Thanks Cuchulainn, Sorry, I didn't mention, I work with C# 16+ years. Know most important perks of ADO.NET & EF as well as their bottlen...
by AndreyShihov
August 16th, 2019, 10:19 am
Forum: Programming and Software Forum
Topic: Parallel programming in Finance
Replies: 20
Views: 3538

Parallel programming in Finance

Hello all, I've been looking where I could use and improve my TPL C# skills in Finance? I have done MCS for some path-dependent option pricing in python before. Done it again in C# TPL and improved performance almost 20 (Edit: should be 200) times on the same machine (8 cores). It is pleasant result...
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