<t>Sam, I have C++ source code which I developed for the CQF final project - it is an implementation of Staunton's example. The code works through finding the variance/covariance matrix and then performing a Jacobian decomposition to calculate the eigenvectors and eigenvalues. PM me if you want me t...

<t>QuoteOriginally posted by: DevonFangsfor_each( your_bases.begin(), your_bases.end(), [&our_bases](base_t & b) { our_bases.push_back( move(b) ); } );auto are_belong_to_us = [&our_base](base_t &b) { our_bases.push_back( std::move(b) ); };for (auto all : your_base) are_belong_to_us(a...

<t>I am hoping someone has some experience or ideas in this arena that they would care to share...In the world of electronic trading, how does one measure latency performance?I'm not talking about the actual measurement of latency, but rather how to quantify the effect latency has on P&L. Often ...