Wednesday 5th December, 2012
11:20am to 12:10pm
Our group within Credit Suisse is responsible for developing quantitative models used to value financial products within the Securities Division of the bank. One aspect of this role is to deliver tools based on those models to trading and sales staff, which they can use to quickly price proposed transactions and perform other analysis of market conditions. Historically these tools have been delivered as Excel spreadsheets.
WPF (Windows Presentation Foundation) is a GUI framework which encourages architectural separation between the layout of the user interface itself (the "View") and the underlying interactions and calculations (the "ViewModel" and "Model"). We have built a framework for developing tools in WPF that makes use of a graph-based calculation engine for implementing ViewModels and Models in F#. The engine is built on F# asynchronous workflows and provides a standard set of features to our tools. In this talk I'll discuss the implementation of this calculation engine, including various steps in its evolution that led up to our use of asynchronous workflows. I'll also talk about how well F# and asynchronous workflows have worked for us, and briefly discuss some of the challenges of integrating F# and WPF.
Talk objectives: Show a practical use of Functional Programming and F# in the financial industry.
Target audience: Anyone with an interest in functional programming and WPF.
Tobias Gedell works in the Quantitative Strategies group at Credit Suisse, developing tools and infrastructure for the bank's qu
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