SERVING THE QUANTITATIVE FINANCE COMMUNITY

Cuchulainn
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### C++11 and C++14 Articles

Here is the first article of a series

http://onlinelibrary.wiley.com/doi/10.1 ... 10606/epdf
http://www.datasimfinancial.com

“Sir Walter Scott created rank & caste in the South and also reverence for and pride and pleasure in them"

Mark Twain

Cuchulainn
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### Re: C++11 and C++14 Articles

The next article will show how to design the Alternating Direction Explicit (ADE) method in C++11 for the Anchoring problem with Alan and Paul (WLD2014):

http://onlinelibrary.wiley.com/doi/10.1 ... 10366/epdf

preview

.. The focus is on applying the author’s system decomposition techniques (Duffy 2004) in combination with the new features in C++11 to produce a customisable software framework that first reproduces the numerical results in WLD 2014 and that can be extended to other kinds of PDEs and finite difference schemes. We realise a certain level of flexibility in the new framework due to the following features:

. Each subsystem has a single major responsibility and it has well-defined and narrow interfaces. Complex mathematical operations are hidden behind these interfaces.
. We model PDEs as compositions of universal function wrappers based on the functional programming model. In this way we avoid code bloat and proliferation of classes that arise when creating traditional class hierarchies based on subtype polymorphism or the Curiously Recurring Template Pattern (CRTP).
. We begin with the C++ code that we used to implement the Alternating Direction Explicit (ADE) in WLD 2014 and we port it to code that fits into the software framework.
. Lambda functions are very in helping reduce code bloat, especially when configuring the application. In particular, their use promotes code readability and maintainability.
..
http://www.datasimfinancial.com

“Sir Walter Scott created rank & caste in the South and also reverence for and pride and pleasure in them"

Mark Twain

Cuchulainn
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### Re: C++11 and C++14 Articles

C++11 for a class of path-dependent options.

http://onlinelibrary.wiley.com/doi/10.1 ... 10620/epdf
http://www.datasimfinancial.com

“Sir Walter Scott created rank & caste in the South and also reverence for and pride and pleasure in them"

Mark Twain

Cuchulainn
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### Re: C++11 and C++14 Articles

The PDE in transformed coordinates in  the anchoring model is:

$\begin{array}{ll} \frac{\partial V}{\partial t} = \frac{1}{2} \sigma^{2} \left( \frac{S}{A} \right) x^{2} (1 - x)^{2} \frac{\partial^{2} V}{\partial x^{2}} + \left\{ r x (1 - x) - \sigma^{2} x^{2} (1 - x)^{2} \right\} \frac{\partial V}{\partial x}\\ \\ \;\;\;\;\;\;\;\;+ \left( \gamma (S - A) (1 - y)^{2} / b \right) \frac{\partial V}{\partial y} - r V \\ \\ 0 < x < 1, \;\;\; 0 < y < 1 \left( S = \frac{ax}{1 - x}, A = \frac{by}{1 - y} \right). \end{array}$

The FDM is fine when we give the usual BS BC for x and no BC in y (just use upwinding). See artilcle.

The *question* now is: I want to use MOL so how we we specify the BC (or is it a PDE) for $y \in Set({{0,1}})$?

I have a hunch but am not saying

I would like to compare NDSolve and Boost.odeint.
http://www.datasimfinancial.com

“Sir Walter Scott created rank & caste in the South and also reverence for and pride and pleasure in them"

Mark Twain

ppauper
Posts: 64810
Joined: November 15th, 2001, 1:29 pm

### Re: C++11 and C++14 Articles

Cuchulainn wrote:
C++11 for a class of path-dependent options.

http://onlinelibrary.wiley.com/doi/10.1 ... 10620/epdf

the first thing I noticed was the typo, Dataism Education

Cuchulainn
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### Re: C++11 and C++14 Articles

ppauper wrote:
Cuchulainn wrote:
C++11 for a class of path-dependent options.

http://onlinelibrary.wiley.com/doi/10.1 ... 10620/epdf

the first thing I noticed was the typo, Dataism Education

Next time iI will fill that bio stuff in myself _before_  I send the stuff.
Anyways, I can be contacted at dduffy at dataism dot nl
To err is human.

BTW did you read the rest of the article(s)?
http://www.datasimfinancial.com

“Sir Walter Scott created rank & caste in the South and also reverence for and pride and pleasure in them"

Mark Twain

ISayMoo
Posts: 351
Joined: September 30th, 2015, 8:30 pm

### Re: C++11 and C++14 Articles

Dataism is a new data-driven school of painting.

Cuchulainn
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### Re: C++11 and C++14 Articles

ISayMoo wrote:
Dataism is a new data-driven school of painting.

Dataism is a form of artistic anarchy that challenged  the social, political and cultural values of the time.

We display our data driven art just opposite  Fighting 69th Armory Show at Lexington and 24th.
http://www.datasimfinancial.com

“Sir Walter Scott created rank & caste in the South and also reverence for and pride and pleasure in them"

Mark Twain

ppauper
Posts: 64810
Joined: November 15th, 2001, 1:29 pm

### Re: C++11 and C++14 Articles

Cuchulainn wrote:
ppauper wrote:
Cuchulainn wrote:
C++11 for a class of path-dependent options.

http://onlinelibrary.wiley.com/doi/10.1 ... 10620/epdf

the first thing I noticed was the typo, Dataism Education

Next time iI will fill that bio stuff in myself _before_  I send the stuff.
Anyways, I can be contacted at dduffy at dataism dot nl
To err is human.

BTW did you read the rest of the article(s)?

skimmed it
I think I vaguely know one of your references, black chick called lucy?
Campbell, L.J. and Yin, B. 2006. On the Stability of Alternating-Direction Explicit Methods for Advection-Diffusion Equations. New York: Wiley Interscience.
p49 below eqn 6, you say,  "instantiating." Is that a real word?
and in (5) you use A which you don't seem to define until later in Section 4

Cuchulainn
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Posts: 53307
Joined: July 16th, 2004, 7:38 am
Location: Amsterdam
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### Re: C++11 and C++14 Articles

ppauper wrote:
Cuchulainn wrote:
ppauper wrote:
the first thing I noticed was the typo, Dataism Education

Next time iI will fill that bio stuff in myself _before_  I send the stuff.
Anyways, I can be contacted at dduffy at dataism dot nl
To err is human.

BTW did you read the rest of the article(s)?

skimmed it
I think I vaguely know one of your references, black chick called lucy?
Campbell, L.J. and Yin, B. 2006. On the Stability of Alternating-Direction Explicit Methods for Advection-Diffusion Equations. New York: Wiley Interscience.
p49 below eqn 6, you say,  "instantiating." Is that a real word?
and in (5) you use A which you don't seem to define until later in Section 4

I think you are correct. To the point article.
https://carleton.ca/math/people/lucy-campbell/
"instantiating" is kind of C++ urban jargon.
I don't normally do forward references. I'l check it out. On the other hand, 'A' is defined in the earlier paper with Alan and Paul (Paul and Alan) so i am covered to a certain extent.
http://www.datasimfinancial.com

“Sir Walter Scott created rank & caste in the South and also reverence for and pride and pleasure in them"

Mark Twain