Walter's DConf 2014 Talks - Topics in Finance

[Brian Rogoff]

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.