Contents -- 1. Introduction -- 2. Principles -- 2.1 Our Code -- 2.1.1 auto -- 2.2 Functional Programming -- 2.3 Type and State -- 2.4 Physical Code Structure -- 2.4.1 Facts -- 2.5 Platform -- 2.6 Some Design Patterns -- 2.6.1 Factory Method -- 2.6.2 Decorator -- 2.6.3 Singleton -- 2.7 Optimization -- 2.7.1 Calibration -- 2.7.2 map -- 2.8 Threads -- 3. Types and Interfaces -- 3.1 The User Base -- 3.2 A Public Example -- 3.3 Interface Generation -- 3.4 Interface Types -- 3.4.1 Tables and Cells -- 3.5 Interface Code -- 3.5.1 Customization Directives -- 3.6 Other Containers -- 3.7 Environment -- 3.7.1 Exception Messaging -- 3.7.2 Fast-Path Optimization -- 3.7.3 Macro Hackery -- 3.7.4 Repository Access -- 3.8 Enumerated Types -- 4. Vector and Matrix Computations -- 4.1 Customizing Vectors -- 4.2 Algorithms -- 4.2.1 Join -- 4.3 Matrices and Square Matrices -- 4.3.1 Internal Layout -- 4.3.2 Pasting and Formatting -- 4.4 Matrix Multiplication -- 4.4.1 Inheritance and Substitutability -- 4.5 Decompositions (Square) -- 4.6 Decompositions (Symmetric) -- 4.7 Decompositions (Sparse) -- 4.7.1 Tridiagonal Matrices -- 4.7.2 Band Diagonal Matrices -- 4.7.3 SLAP Format -- 4.7.4 The Symmetric Case -- 4.8 Decompositions (Other) -- 5. Persistence and Memory -- 5.1 Storage -- 5.2 Extraction -- 5.2.1 Public Types -- 5.2.2 Example: Linear Interpolant -- 5.2.3 Reader Registry -- 5.3 Rebuilding -- 5.3.1 Some Syntactic Sugar -- 5.4 Code Generation -- 5.5 A Display Interface -- 5.5.1 Storage -- 5.5.2 Extraction -- 5.5.3 Refinements -- 5.6 Auditing -- 5.6.1 Bag -- 5.6.2 Filling Up -- 5.6.3 Audit Types -- 5.7 More on Repositories -- 5.7.1 Unique Objects -- 5.7.2 Naming -- 5.7.3 Matching -- 6. Testing Framework -- 6.1 Component Tests -- 6.1.1 Physical Structure -- 6.1.2 Reuse -- 6.2 Regression Tests -- 6.2.1 Repository Instrumentation -- 6.3 No Silver Bullet.

7. Further Maths -- 7.1 Interpolation -- 7.2 Special Functions -- 7.2.1 The Normal Distribution -- 7.3 Root Solvers -- 7.4 Underdetermined Search -- 7.4.1 Function and Jacobian -- 7.4.2 Weights and Smoothing -- 7.4.3 Monitoring Progress -- 7.5 Quadrature -- 7.5.1 Gaussian Quadrature -- 7.5.2 Adaptive Quadrature -- 7.6 Distributions -- 7.6.1 Implied Vol -- 7.7 Baskets -- 7.7.1 Whole-Basket Moment Matching -- 7.7.2 Taylor Expansion of Projected Vols -- 7.7.3 Midpoint Variance -- 7.8 Random and Quasi-Random Numbers -- 7.8.1 Random Deviate Streams -- 7.8.2 Generator Implementation -- 7.8.3 Transforms -- 7.8.4 Low-Discrepancy Sequences -- 7.8.5 Spectral and Spining Methods -- 7.9 PDE Solvers -- 7.9.1 Cube -- 7.9.2 Coordinate Mapping -- 7.9.3 Coefficient Calculators -- 7.9.4 Forward Induction -- 7.10 American Monte Carlo -- 7.10.1 Recursive Partitioning -- 7.10.2 Biases -- 8. Schedules -- 8.1 Enumerated Switches -- 8.1.1 Groundwork for Extensibility -- 8.1.2 30E/360 ISDA, ACT/ACT ISMA -- 8.1.3 BUS/252 -- 8.1.4 Other Enumerations -- 8.2 Holidays -- 8.2.1 Cities -- 8.2.2 Holiday Sets -- 8.3 Currencies -- 8.3.1 Internals -- 8.4 Increments -- 8.5 Legs -- 8.5.1 Stubs -- 8.5.2 Build from Parameters -- 8.5.3 CDS -- 8.5.4 Inflation Instruments -- 9. Indices -- 9.1 Naming and Parsing -- 9.1.1 Short Names -- 9.1.2 Nonstandard Indices -- 9.2 Fixings -- 9.2.1 Composites -- 9.3 Sorting and Hashing -- 9.4 Implied Vol -- 10. Pricing Protocols -- 10.0.1 Which is a Model? -- 10.1 Past and Future -- 10.2 Underlyings -- 10.3 Payments and Streams -- 10.3.1 Payment Reporting -- 10.3.2 Commitment to Streams -- 10.3.3 Destinations -- 10.4 Index Paths -- 10.4.1 Historical Paths -- 10.5 Defaults and Contingent Payments -- 10.5.1 Immediate Payments -- 10.5.2 Viewing Indices -- 10.6 Requests and Promises -- 10.6.1 Help for Models -- 10.6.2 Destinations -- 10.7 Bermudans and Barriers.

10.8 Payouts -- 10.8.1 Trade State -- 10.8.2 Values Store -- 10.9 Steps -- 10.9.1 Valuation and Reevaluation -- 10.10 Use Case Review: PDE -- 10.11 Use Case Review: Monte Carlo and Hedge -- 10.11.1 Causality -- 10.12 Costs and Benefits -- 10.13 Assembling the Class Hierarchy -- 10.13.1 Stepper -- 10.13.2 Asset Values and Tokens -- 10.13.3 SDE -- 10.13.4 Model -- 10.13.5 Trade -- 10.13.6 Historical Data Access -- 10.13.7 Assets -- 10.13.8 Solvers -- 11. Standardized Trades -- 11.1 Trade Classes -- 11.2 Cash -- 11.3 Equity and FX -- 11.3.1 Equity Forward Payout -- 11.3.2 Equity Index -- 11.3.3 Equity Forward Data -- 11.3.4 FX Option -- 11.3.5 Forcing Backward Induction -- 11.4 Legs and Swaps -- 11.4.1 Putting it Together -- 11.5 Caps -- 11.6 Swaps and Swaptions -- 11.7 Bermudans -- 11.7.1 Two Views -- 11.8 Composites -- 11.8.1 Rescaled Trades -- 11.8.2 Sums and Collections -- 12. Curves -- 12.1 Risk -- 12.2 Libor and Funding -- 12.3 Build Instruments -- 12.3.1 Tenor -- 12.4 Dividend -- 12.5 Hazard -- 13. Models -- 13.1 Vasicek-Hull-White -- 13.1.1 Parametrization -- 13.1.2 Model Contents -- 13.2 Interface to Numerical Pricing -- 13.3 Interface to Valuation Requests -- 13.3.1 Index Paths -- 13.3.2 Efficiency -- 13.3.3 Back to Libor -- 13.4 Cox-Ingersoll-Ross -- 13.5 Black-Karasinski -- 13.5.1 Forward Induction PDE Sweep -- 13.6 Single Equity with Local Vol -- 13.6.1 Interpolated Vol -- 13.6.2 Derivation from Implied Vol -- 13.6.3 Model and SDE -- 13.7 A Simple Hybrid Model -- 13.7.1 The Case for Components -- 13.7.2 State Bounds Checks -- 14. Semianalytic Pricers -- 14.1 A Moment-Matching Pricer -- 14.2 Multimethod Objects -- 14.3 Method Registry -- 14.4 Interaction with Re-evaluator -- 14.5 Interaction with Composites -- 14.6 Pure Pricers -- 14.7 Trade-Dependent Calibration -- 14.7.1 Stabilization -- 15. Risk -- 15.1 Slides and Bumps -- 15.2 Mutants.

15.3 Reports -- 15.3.1 Barewords -- 15.4 Portfolios -- 15.5 Tasks -- 15.6 Slide Utilities -- 15.7 Conclusions -- 16. Additional Code -- 16.1 Add Multiple -- 16.2 ArrayFunctor -- 16.3 Boolean -- 16.4 Composite -- 16.5 Cube -- 16.6 Handle -- 16.7 Matrix -- 16.8 Maybe -- 16.9 PWC (Piecewise Constant) -- 16.10 Vector -- 16. Acknowledgements and Further Reading -- Index.