Browse Hierarchy MTH789U: Trading and Risk Systems Development

A preliminary outline of the course contents is as follows: Part I: Programming skills - Lesson 1 (2h) Introduction. Trading and risk management system requirements. Typical layout of technology components. Low level/high level coding. - Lesson 2 (2h) Excel fundamentals. Layout of a sheet. Overview of in-built functions. How to build a basic pricing sheet in Excel. - Lesson 3 (2h) Source Code repositories. What is a source code repository and why do we need it ? How to use TortoiseSVN. Implications for controls and regulatory processes. The Excel XML format. - Lesson 4 (2h) Industry strength Excel. Named cells, data validation, maintainability considerations in a production environment, error codes. - Lesson 5 (2h) VBA (Visual Basic for Applications) Functions. Recording macros. Data types and data scope. ByRef/ByVal. Setting breakpoints and using the debug window. - Lesson 6 (2h) VBA Subroutines Controls to trigger and manage code execution. Excel as a pure front end for a financial system. Handling error conditions. - Lesson 7 (2h) VBA Object Oriented Code. Introduction to OOP, the Excel object model, types, classes, property get and set, data validation. - Lesson 8 (2h) Practical session Building a risk management sheet using Excel/VBA. - Lesson 9 (2h) Basics of C/C++. Introductory to the basic language features, emphasizing plain C functions, data types etc. Building a basic console EXE application - Lesson 10 (2h) Basics of C/C++ DLLs. Connecting Excel/VBA to a C/C++ calculator DLL (Dynamically Linked Library). - Lesson 11 (2h) Practical Session Building a derivatives pricing tool based on an Excel thin front end, VBA middleware and a core calculator in a DLL developed in C/C++. Part II: The development framework - Lesson 12 (2h) Low level items Compiled code, C/C++/Assembly language. Binary representation of data. Using Windows kernel C/C++ DLLs. - Lesson 13 (2h) Impact of bugs. Testing protocols. Static tests, nightly regressions. Peer review. Coding policies. - Lesson 14 (2h) High performance programming. FPGAs, GPUs, grid computing, multithreading, low level optimizations - Lesson 15 (2h) Overview of other technologies: Java, COM, Python, .NET, C#, F# (note that there are some overlaps with other modules, e.g. C++,designed to offer additional support with some more difficult key topics)