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2019 | Book

Financial Services and Markets Read chapter Read first chapter

Financial Software Engineering

Authors: Dr. Kevin Lano, Dr. Howard Haughton

Publisher: Springer International Publishing

Book Series : Undergraduate Topics in Computer Science

Part of: Springer Professional "Wirtschaft+Technik" , Springer Professional "Technik" , Springer Professional "Wirtschaft"

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About this book

In this textbook the authors introduce the important concepts of the financial software domain, and motivate the use of an agile software engineering approach for the development of financial software. They describe the role of software in defining financial models and in computing results from these models. Practical examples from bond pricing, yield curve estimation, share price analysis and valuation of derivative securities are given to illustrate the process of financial software engineering.

Financial Software Engineering also includes a number of case studies based on typical financial engineering problems:

*Internal rate of return calculation for bonds

* Macaulay duration calculation for bonds

* Bootstrapping of interest rates

* Estimation of share price volatility

* Technical analysis of share prices

* Re-engineering Matlab to C#

* Yield curve estimation

* Derivative security pricing

* Risk analysis of CDOs

The book is suitable for undergraduate and postgraduate study, and for practitioners who wish to extend their knowledge of software engineering techniques for financial applications

Table of Contents

Frontmatter
Chapter 1. Financial Services and Markets
Abstract
In this chapter we give an overview of finance concepts such as financial services, markets and the financial regulatory environment, and discuss the current state of software engineering in finance.
Kevin Lano, Howard Haughton
Chapter 2. Financial Products and Analyses
Abstract
In this chapter we describe some of the main financial products in detail (bonds, shares, derivative securities) and explain some of the analyses which can be performed to value the products and to define strategies for trading in them.
Kevin Lano, Howard Haughton
Chapter 3. Model-Based and Agile Development
Abstract
This chapter introduces the main concepts of the software development lifecycle, and describes software specification techniques and development approaches which can be used for financial applications.
Kevin Lano, Howard Haughton
Chapter 4. Financial System Specification Using UML
Abstract
In this chapter we will explain how UML models can be used to specify financial applications, using examples.
Kevin Lano, Howard Haughton
Chapter 5. Financial System Design
Abstract
This chapter will describe the design of financial software using an agile MBD process. We will consider software design quality, design patterns and software reuse, and describe the QuantLib finance library.
Kevin Lano, Howard Haughton
Chapter 6. Trading and Analytics Technologies
Abstract
In this chapter we describe technologies to support financial trading and data analysis.
Kevin Lano, Howard Haughton
Chapter 7. Software Modernisation and Re-Engineering
Abstract
In this chapter we consider the use of UML and MBD for software modernisation and re-engineering of applications. We consider two case studies:
  • Matlab to C# migration case study
  • Yield curve estimation
Kevin Lano, Howard Haughton
Chapter 8. Agile Model-Based Development Approaches
Abstract
In this chapter we describe:
  • Existing agile MBD approaches
  • Guidelines for introducing agile MBD
  • How to define and use DSLs for finance.
Kevin Lano, Howard Haughton
Chapter 9. Analysis of Financial Products: CDOs
Abstract
In this chapter we give a detailed example of mathematical analysis of a particular financial product—collateralised debt obligations (CDOs)—and show how the theoretical results obtained can be expressed as software specifications.
Kevin Lano, Howard Haughton
Chapter 10. Tool Support for Financial Application Development
Abstract
In this chapter we describe in detail how to use the UML-RSDS tools to specify and implement financial applications on a number of different platforms. We describe how the tools can be combined with the use of Excel, and how the tools can be extended to provide code-generation facilities for new target programming languages.
Kevin Lano, Howard Haughton
Backmatter
Metadata
Title
Financial Software Engineering
Authors
Dr. Kevin Lano
Dr. Howard Haughton
Copyright Year
2019
Electronic ISBN
978-3-030-14050-2
Print ISBN
978-3-030-14049-6
DOI
https://doi.org/10.1007/978-3-030-14050-2

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