Nice collection of tutorials here. PDF crib sheet here. Nice collection of suggestions in StackOverflow here. Some code for GDB which displays STL containers in a more friendly way, halfway down here. Nice tutorial which gives a bit more depth on tui here.
TDD and your solution domain
What does TDD achieve? If you are pair programming, TDD is excellent because it keeps the pair communicating on the same level. If you have an idea then you have to represent it as a test and the other person can follow your idea more easily. Should you always write a test first? I think … Continue reading TDD and your solution domain
Improving the Jarrow-Yildirim inflation model
A few years ago I came up with a useful improvement to the Jarrow-Yilidirm inflation model: let's diffuse the inflation curve rather than the real-yield curve. It turns out that this gives the modern inflation derivatives trader a much better risk management tool. In the attached paper I give the details. I wrote it up … Continue reading Improving the Jarrow-Yildirim inflation model
Over the years I have written quite a few posts on finance and financial mathematics, based on the work I was doing at the time as a derivatives quant within various investment banks. Some of my post popular posts have been: How to calculate option prices in your head How to understand fixed-income trader jargon … Continue reading Introduction