On Friday, 21 March 2014 at 22:33:37 UTC, TJB wrote:
On Friday, 21 March 2014 at 22:28:36 UTC, Walter Bright wrote:
It's a good thought, but I have zero knowledge of how C++ is
used for high frequency trading.
I would be happy to help you with an option pricing example that
is commonly used. Let me know if you are interested.
This is a very interesting thread that you started. Could you
flesh it out more with some example C++ that you'd like compared
to D? I'm sure quite a few people would assist with a translation.
I'm not expert in high frequency trading, but I was inspired by
your post to start poking around here
http://www.quantstart.com/articles/european-vanilla-option-pricing-with-c-via-monte-carlo-methods
and study some of the algorithms. Nothing there that I wouldn't
rather see in D than C++.
D's GC is problematic, but the hope is that you can avoid
allocating from the GC'ed heap and that eventually (soon?
please?) it will be replaced by a better precise GC.
