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If you attend the London event you also get the take the online course later in the year as part of the package! 


Outline:

The goal of this hands-on course is to introduce the language features in C# and apply them to computational finance. We discuss advanced topics to help the quant developer to create flexible code, frameworks and applications.

The course style and contents have the same level of detail as in Daniel J.  Duffy’s courses on www.datasimfinancial.com and  www.datasim.nl.


Topics Covered

  • New and advanced language features in C# 5.0.
  • Libraries and features to create flexible and robust software systems.
  • Applying C# in computational finance.
  • Functional programming and multi-paradigm design.

Benefits of Course

  • New language features in C#.
  • Being effective with C#; what to use now and what to use later.
  • Incremental build-up of topics; learn step-by-step.
  • Practical exercises and end-of-course project.

Prerequisites

We assume that the student has a good working knowledge of C#. If you have queries on this course please do not hesitate to contact me dduffy AT datasim.nl.

This course is suitable for quant developers and model validators.

Lectures

Lecture 1. Quick Review of C#

The goal of this lecture is to review some essential C# syntax that we assume to be known and that will be used in later lectures. Key topics are: value and reference typesboxing and unboxingstructs versus classespropertiesobject initializers, and .NET arrays.

Example: Black Scholes exact solution in C#; IR options and futures examples.


Lecture 2. Interfaces, Delegates and Software Contracts

This lecture discusses advanced issues that promote the interoperability of C# applications and that are used as the building blocks for design patterns. We introduce the interface concept, how to use it and how it differs from abstract classes. We also discuss delegates in detail and its applications to plug-in methods, event notification patterns and multicasting.

The mechanisms and features in this lecture form the basis for the design and implementation of component-based software systems using interface connection architectures.


Lecture 3. C# Generics A-Z

Generics tend to receive little attention and the goal of this lecture is to show how to use generics to produce reusable and reliable code. In general, we create a generic class or function once and then use it many times by specialising the underlying generic type. We discuss generic collections, tuples, interfaces and properties in .NET as well as generic constraints. Finally, we give some examples of how to create your own generic types.

Example: One-factor PDE software framework in C#.


Lecture 4. Disposal and Garbage Collection

We discuss both explicit resource management and automatic memory management (garbage collection) in this lecture. In particular, we show how to release resources such as open files, unmanaged objects, locks and operating system handles by implementing the IDispose interface.  We also give an overview of the garbage collector in .NET and its internals. We also discuss avoiding and resolving memory leaks in .NET. 


Lecture 5. Diagnostics and Code Contracts

n this lecture we discuss how to improve the robustness and reliability of C# applications. On the one hand we wish to diagnose problems that arise during development while on the other hand we wish to gather and record diagnostic information once an application has shipped. To this end, we discuss conditional compilationdebug and trace classesWindows event logs and debugger integration.

C# also supports the Design by Contract principle as pioneered in the Eiffel language. This allows us to define powerful contract-based assertions directly in code, for example, preconditionspostconditionsassertions and object invariants. To this, we discuss the contracts runtime class Contract in detail.


Lecture 6. Reflection and Assemblies

In this lecture we introduce two related topics. First, we discuss the Reflection API that has functionality that allows us to dynamically query metadata in the Common Language Runtime (CLR). It can be used in various situations, for example code generation and examining the contents of assemblies. Second, we introduce assemblies as a mechanism for encapsulating components in secondary storage. We discuss both private and shared assemblies.

We conclude this lecture with several remarks (good practices) on designing component-based systems using a combination of interfaces, classes, reflection and assemblies.

Example: bootstrapping/interpolation assemblies.


Lecture 7. LINQ (Language Integrated Query) Fundamentals

LINQ allows developers to query any collection that implements IEnumerable , including arrays, lists, XML DOM as well as remote data sources, for example SQL Server tables. LINQ offers both compile-time checking and dynamic query composition.

This lecture discusses LINQ architecture and fundamental queries and query composition, query expressions, deferred execution and subqueries.

Example: LINQ for fixed-income applications, for example discount factors, cash flows aggregation and scenarios.


Lecture 8.  Advanced LINQ

We describe LINQ query operators in this lecture. They allow us to create complex queries and reports. In particular, we discuss standard query operators, filtering, joins and projections.  We also introduce set and aggregation methods.


Lecture 9.  Native C++ and C# Interoperability

In this lecture we give an introduction to C++/CLI (a .NET language) that allows us to integrate C# and ISO C++. This can be a useful feature when we wish to integrate legacy C++ code into .NET-based applications or when we wish to call C# code from ISO C++ code. Topics discussed are: how C++/CLI syntax is close to C# syntax, generics and templates, interoperability scenarios.


Lecture 10. Project Discussion

The main focus of the projects is to take a well-defined problem and implement the schemes using C# language features and related design patterns. Some suggestions:

  • Monte Carlo simulation software framework.

  • Curve building.

  • Risk management scenarios with LINQ.

The final project will be marked with feedback and a pass or fail will be given when you take the online course. One retake is allowed if you fail.

Originator and Trainer

Daniel J. Duffy is founder of Datasim Financial. He has been using C++ since 1989 and has a PhD in Numerical Analysis from Trinity College (Dublin University).

Quants Hub Subscription Service

Quants Hub Subscription Service

Fee Structure:


Montly Subscription Service

1 Month Service: £899 (Workshops only, no programming school courses)
3 Months Service: £1499 (Workshop access all areas & 1 Programming School course)
6 Months Service: £1999 (Workshop access all areas & 2 Programming School courses)

Programming School Only Annual Subscription Service

This subscription option allows you to access 4 programming school start date courses per annum, plus all self paced courses: £2499

Workshop Only Annual Subscription Service

This subscription option allows you to access all Quants Hub workshops: £2499

Full Annual Subscription Service

1 Full Annual Subscription/Login account: £3799 per annum for access to all areas
2 Full Annual Subscription/Login accounts: £4799 per annum for access to all areas
3 Full Annual Subscription/Login accounts: £5799 per annum for access to all areas

PRMIA Certification

PRMIA Certification


The Professional Risk Managers' International Association (PRMIA) is a non-profit professional association, governed by a Board of Directors directly elected by its global membership, of nearly 90,000 members worldwide. PRMIA is represented globally by over 65 chapters in major cities around the world, led by Regional Directors appointed by PRMIA's Board.

The Programming School will be fully certified by PRMIA

Details

Location:

London Chamber of Commerce and Industry
33 Queen Street
London EC4R 1AP
Website

Flight details:

All delegates flying into London on the morning of the event are reminded that they should arrive 30 minutes before the workshop starts for registration. The hotels West End location is approximately 1 hour from all 3 main London airports, Heathrow, Gatwick and City. Returning flights should equally allow for the events finishing time.

Sponsorship:

World Business Strategies offer sponsorship opportunities for all events, E-mail headers and the web site. Contact Sponsorship: +44 (0) 1273 201352

Disclaimer:

World Business Strategies command the rights to cancel or alter any part of this programme.

Cancellation:

By completing of this form the client hereby enters into a agreement stating that if a cancellation is made by fax or writing within two weeks of the event date no refund shall be given. However in certain circumstances a credit note maybe issued for future events.

Prior to the two week deadline, cancellations are subject to a fee of 25% of the overall course cost.