Derivatives Algorithms provides a unique expert overview of the
abstractions and coding methods which support real-world
derivatives trading. Written by an industry professional with
extensive experience in large-scale trading operations, it
describes the fundamentals of library code structure, and
innovative advanced solutions to thorny issues in implementation.
For the reader already familiar with C++ and arbitrage-free
pricing, the book offers an invaluable glimpse of how they combine
on an industrial scale. Topics range from interface design through
code generation to the protocols that support ever more complex
trades and models.
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