Open AccessSoftware Interoperability in Computational Finance, Part II: Applications to Derivatives Pricing in QuantLib, C++11, and C#
Author(s) -
Katajamäki Mikael,
Duffy Daniel J.
Publication year - 2018
Publication title -
wilmott
Language(s) - English
Resource type - Journals
eISSN - 1541-8286
pISSN - 1540-6962
DOI - 10.1002/wilm.10708
Subject(s) - computer science , interoperability , code (set theory) , software , front and back ends , reflection (computer programming) , computational finance , database transaction , database , source code , software engineering , product (mathematics) , transaction data , operating system , programming language , finance , geometry , mathematics , set (abstract data type) , economics
This paper is the second in a series of two on the design of software systems in computational finance. We create a multilanguage application to value an equity‐linked product. The actual pricing of this product will be performed by the QuantLib Monte Carlo framework. We use C++/CLI code as a wrapper class for native C++ code. Then, we use C# as a front end to the C++/CLI wrapper, after having constructed transaction‐related parameters and market data. For flexible input data construction, a specific factory mechanism will be implemented using Assembly, Reflection API, and dynamic data types. Finally, we interface C++ code to Excel. The source code for the application in this paper can be requested by contacting the authors. Since this paper discusses how we implemented the application, we fell that compiling and running the corresponding code will be an aid in understanding the design rationale.