The usage of Microsoft F# in conjunction with QuantLib provides extensive possibilities for developers to build quantitative financial applications and this news report examines the steps required to create a simple F# application with QuantLib.
In their presentation posted at InfoQ systems and data architects Ben Stopford, Farzad Pezeshkpour and Mark Atwell show how RBS leveraged new technologies in their architectures while facing difficult challenges such as regulation, competition and tighter budgets. They also need to cope with stringent technical challenges, for instance with efficiency and scalability.
The SEC is proposing that most Asset Backed Securities include a downloadable “program that gives effect to the flow of funds, or “waterfall,” provisions of the transaction”. If the proposal is passed, this program would have to be written in Python and posted EDGAR.
Luca Bolognese has reimplemented Excel’s collection of financial functions in F#. Released under an open source license, it should prove useful for both learning F# and for porting applications from Excel to .NET.