DANIEL J. DUFFY has been working with numerical methods in finance, industry and engineering since 1979. He has written four books on financial models and numerical methods and C++ for computational finance and he has also developed a number of new schemes for this field. He is the founder of Datasim Education and has a PhD in Numerical Analysis from Trinity College, Dublin.

ANDREA GERMANI was born in Lodi, Italy in 1975, where he currently lives. After graduating from Bocconi University in Milano, he obtained the Certificate in Quantitative Finance in London under the supervision of Paul Wilmott. Since then he has been working as a trader in some of the major Italian banks, where he gained a deep knowledge of financial markets. He also worked on valuation and pricing of equity and interest-derivatives, with a focus on the practical use of models on the trading floor. His teaching experience includes finance training courses for university students and practitioners. He is the Head of Interest Rate Derivatives Trading and Treasury in a bank.

List of Figures xxi

List of Tables xxv

Introduction 1

1 Global Overview of the Book 5

2 C# Fundamentals 9

3 Classes in C# 25

4 Classes and C# Advanced Features 53

5 Data Structures and Collections 97

6 Creating User-defined Data Structures 125

7 An Introduction to Bonds and Bond Pricing 159

8 Data Management and Data Lifecycle 185

9 Binomial Method, Design Patterns and Excel Output 215

10 Advanced Lattices and Finite Difference Methods 241

11 Interoperability: Namespaces, Assemblies and C++/CLI 271

12 Bond Pricing: Design, Implementation and Excel Interfacing 311

13 Interpolation Methods in Interest Rate Applications 335

14 Short Term Interest Rate (STIR) Futures and Options 369

15 Single-curve Building 393

16 Multi-curve Building 431

17 Swaption, Cap and Floor 459

18 Software Architectures and Patterns for Pricing Applications 493

19 LINQ (Language Integrated Query) and Fixed Income Applications 523

20 Introduction to C# and Excel Integration 561

21 Excel Automation Add-ins 581

22 C# and Excel Integration COM Add-ins 595

23 Real-time Data (RTD) Server 625

24 Introduction to Multi-threading in C# 635

25 Advanced Multi-threading in C# 665

26 Creating Multi-threaded and Parallel Applications for Computational Finance 707

A1 Object-oriented Fundamentals 735

A2 Nonlinear Least-squares Minimisation 751

A3 The Mathematical Background to the Alternating Direction Explicit (ADE) Method 765

A4 Cap, Floor and Swaption Using Excel-DNA 789

Bibliography 805

Web References 812

Index 815