SHOW ME THE CODE !

[Daniel Duffy]

What are the applications in finance for fixed-size matrices?

 

[Quasar Chunawala]

What are the applications in finance for fixed-size matrices?

I can't think of something off the top of my head. Overly-simplistic examples I could think of.

Market data of instruments always observed for a fixed set of maturities typically using to build discount curves, default probability vector for a reference name for a fixed number of tenor points, volatility grid of a vanilla FX option, sensitivities(risks) for a derivative product for a fixed set of maturities.

By the way, I wrote some unit tests. Hope to study and implement some basic numerics in my personal time.

Documentation
Unit tests
Source Code

 

[Daniel Duffy]

Always good to think of problems up front. Otherwise it's a solution looking for a problem.

Tiny Vector Matrix library using Expression Templates

This Tiny Vector and Matrix C++ template libary uses Meta Templates and Expression Templates to evaluate results at compile time - to make it fast for low order (tiny) systems.

tvmet.sourceforge.net

 

[Quasar Chunawala]

Always good to think of problems up front. Otherwise it's a solution looking for a problem.

Tiny Vector Matrix library using Expression Templates

This Tiny Vector and Matrix C++ template libary uses Meta Templates and Expression Templates to evaluate results at compile time - to make it fast for low order (tiny) systems.

tvmet.sourceforge.net

I didn't know of expression templates, pretty cool - so essentially you create an expression tree using these proxy objects and when the template is repetitively instantiated, it becomes like a single operation instead of multiple computations with temporary objects.

Original paper by Todd Voldhuizen : Expression Templates (Page 24)

 

[Daniel Duffy]

How to?
BitMatrix, ByteMatrix

std::{bitset, byte}

Advantages?

 

[ExSan]

Today's Code

 

[Daniel Duffy]

some feedback, just an idea

1. for (std::size_t i = 0; i < nPointers; ++i) etc.
2. std::cout
3, new ??? where da delete? What's wrong with smart pointers in this code?
4. C++11 etc. initialisers for aryStock maybe

Initialization - cppreference.com

en.cppreference.com

 

[ExSan]

Thanks Doctor Duffy for your insightful observations. Kindest Regards!

 

[ExSan]

soon

 

[ExSan]

Today's code
View attachment 43076

 

[ExSan]

 

[Daniel Duffy]

View attachment 43077

??
wazzup

 

[ExSan]

??
wazzup

it looks alike to the previous post, but it does something completely different

 

[Daniel Duffy]

Can you remove ++index and put it into function call ... toFile(.... index++)?
Of course, I'm guessing.

 

[ExSan]

Can you remove ++index and put it into function call ... toFile(.... index++)?
Of course, I'm guessing.

This traversal visits several trees, INDEX carries on its value throughout a chain of trees ; idem min, max.
Every tree is a different scenario, in fact it is a cluster itself
All my code is part of a whole, this is another function/library of ExSan
ExSan is already plugged into Interactive Brokers C++ API.

 

[ExSan]

    1 int main(void){
    2    //Ack & Ref: jLOSPINOSO
    3    auto i{ 0x01B99644 };
    4    std::string xst{ " DFaeeillnor" };   
    5    while (i--) std::next_permutation(xst.begin(), xst.end());
    6    std::cout << x;   
    7    return 0;   
    8 }

 

[Daniel Duffy]

what's the real type of i?

 

[ExSan]

[CODE lang="cpp" title="from long string to substrings"]
//split a long string into substrings
// use of break and continue
unsigned short nSubStrings {8};
string* ayrFx = new string[nSubStrings + 1];
string line;
line = " USD PEN MXN BRL ARS CLP COP EUR";
unsigned short j {0}, i{0};
for (; i < line.length(); i++) {
//cout << line << " ";
if (line == ' ') continue;
while(line) {
ayrFx[j] += line;
i++;
if (line == ' ') break;
}
j++;
}

for (j = 1; j <= nSubStrings; j++) {
cout << "\n\tj:" << j << " " << ayrFx[j];
}

OUTPUT:
j:1 USD
j:2 PEN
j:3 MXN
j:4 BRL
j:5 ARS
j:6 CLP
j:7 COP
j:8 EU
[/CODE]

REF:

Systematic Forex Trading​

 

[Daniel Duffy]

why += (more appropriate for numeric types) instead of append()
++i is better than i++

 

[ExSan]

https://twitter.com/x/status/1542457682623401991