F# financial programming books for quant development?
Just curious, are there any F# books which deal with financial mathematics? I have plenty of C++ books but I really want to see creative uses of functional paradigms w.r.t. things like technical analysis and financial stream processing.
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personally I don’t know any book on F# that deals exclusively with finance, but there is
Quantifa (the port of quantlib in F#)
Math.Net (mathematics library with an F# front-end) http://mathnetnumerics.codeplex.com/
F# for scientists (author: Jon Harrop / isbn: 0470242117)
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The book I’d recommend is F# for Scientist (ISBN: 9780470242117) because it is terse for the basics, but goes into detail for the higher-level concepts (curried functions, pattern matching, tail-recursion, parsing…) and skims over the stuff you probably wouldn’t use F# for anyway (e.g. GUI building).
For F# in finance, I’d recommend http://ql.codeplex.com/ which is a complete (including experimental) C++/CLI wrapper around the latest version of QuantLib, with sensible Functional changes:
• void functions wrappers return “this”
• non-const functions boost::spinlock parameters
• F# option (some none) for default parameters
• F# module library for factory functions
I’ll add some examples when I have time this month.
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