DESCRIPTION

The goal of this distance learning course is to apply the C# object-oriented language and the libraries in the .NET framework to the design and implementation of flexible and robust applications. The focus of the course is on using object-oriented and generic programming models in combination with useful libraries to help the quant developer produce running code for a range of pricing applications for equities and interest rate products. We also discuss how to implement the Gamma (GOF) design patterns in C# and we have seen a many-fold productivity improvement because the .NET libraries support them or can be easily adapted to support them.

Why C#? In our experience we have seen that C# and the .NET libraries are suitable for high-performance desktop applications. First, developer productivity levels are higher in C# when compared with C++, second code performance is excellent and finally the features in the language and the libraries in the .NET framework allow us to develop customizable finance applications.

Overview of Course

This distance learning course discusses the object-oriented and generic programming techniques in C#, using the .NET libraries and integrating them with design patterns to create finance applications. Major topics are:

• Using the .NET framework for finance applications
• Derivatives modelling for equities and fixed income products
• Classes, composition and inheritance
• Interfaces and component programming in C#
• Design patterns and customizable applications
• Creating Excel-based C# applications
• Interfacing with legacy systems
• Finite difference, PDE and Monte Carlo models in C#
• Networking and Interoperability

 

Benefits 

• Advanced object-oriented, generic and functional programming
• Functionality to support application development A-Z
• Applications to computational finance
• Increased developer productivity
• Next generation design patterns in .NET
• Monte Carlo, PDE and fixed-income applications

                                                                               

 Prerequisites

This is not a beginners course and we assume that the student has a working knowledge of C++ or Java, for example. No prior knowledge of C# is needed. We also assume that you are involved in derivative pricing application development or plan to move into this area.

If you have any queries, please do not hesitate to contact Daniel J. Duffy

 

Who should attend?

We have created this course for those working with applications for a range of derivatives pricing models, for example quant analysts, developers and model validators. The course is also of interest to VBA, Java and C++ developers who wish to learn C# and apply it in their daily work. 
 

Course Form

The books provided with this course:

• C# for Financial Markets by Daniel J. Duffy and Andrea Germani

 

Click here for course contents

 

We give a student discount. The student price is Euro 1500  (no VAT if you are outside EU). The courses remain accessible forever and you can plan your own schedule but in general it should be possible to complete a course (including exercises and mini-project) in 2-4 months.  See also our Frequently Asked Questions (FAQ) on the Datasim site. Please contact dduffy@datasim.nl