Walter's DConf 2014 Talks - Topics in Finance
Brian Rogoff
brogoff at gmail.com
Sat Mar 22 09:35:07 PDT 2014
On Friday, 21 March 2014 at 22:33:37 UTC, TJB wrote:
> On Friday, 21 March 2014 at 22:28:36 UTC, Walter Bright wrote:
>> It's a good thought, but I have zero knowledge of how C++ is
>> used for high frequency trading.
>
> I would be happy to help you with an option pricing example that
> is commonly used. Let me know if you are interested.
This is a very interesting thread that you started. Could you
flesh it out more with some example C++ that you'd like compared
to D? I'm sure quite a few people would assist with a translation.
I'm not expert in high frequency trading, but I was inspired by
your post to start poking around here
http://www.quantstart.com/articles/european-vanilla-option-pricing-with-c-via-monte-carlo-methods
and study some of the algorithms. Nothing there that I wouldn't
rather see in D than C++.
D's GC is problematic, but the hope is that you can avoid
allocating from the GC'ed heap and that eventually (soon?
please?) it will be replaced by a better precise GC.
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