Scribd
Upload
6 views4 pages

C Vectors 1734274106

This document outlines advanced C++ techniques for quants, focusing on vector operations to improve productivity in stochastic modeling, derivative pricing, and risk management. Key techniques include efficient vector normalization, covariance matrix construction, parallelized simulations, and handling sparse data. Additional methods for rolling statistics, aggregating Greeks, and sorting by correlation are also discussed to enhance computational efficiency.

Uploaded by

sunrit24
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
6 views4 pages

C Vectors 1734274106

This document outlines advanced C++ techniques for quants, focusing on vector operations to improve productivity in stochastic modeling, derivative pricing, and risk management. Key techniques include efficient vector normalization, covariance matrix construction, parallelized simulations, and handling sparse data. Additional methods for rolling statistics, aggregating Greeks, and sorting by correlation are also discussed to enhance computational efficiency.

Uploaded by

sunrit24
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
You are on page 1/ 4

Useful C++ Techniques for Quants

Amit Kumar Jha

Introduction
This document provides useful unexplored C++ techniques related to vectors that can enhance the productivity
of quants working on stochastic models, derivative pricing, and risk management. These techniques are designed
to optimize computation and handle high-dimensional data efficiently.

1. Efficient In-Place Vector Normalization

1 // Normalize a vector in - place


2 # include < vector >
3 # include < numeric >
4 # include < cmath >
5
6 void normalizeVector ( std :: vector < double >& vec ) {
7 double norm = std :: sqrt ( std :: accumulate ( vec . begin () , vec . end () , 0.0 ,
8 []( double sum , double val ) { return sum + val * val ; }) ) ;
9 for ( double & val : vec ) val /= norm ;
10 }

This method is crucial for normalizing large vectors, often required in risk factor models or PCA.

2. On-the-Fly Covariance Matrix Construction

1 // Covariance matrix construction


2 # include < vector >
3
4 std :: vector < std :: vector < double > > covarianceMatrix (
5 const std :: vector < std :: vector < double > >& data ) {
6 size_t n = data . size () , m = data [0]. size () ;
7 std :: vector < std :: vector < double > > cov (m , std :: vector < double >( m , 0.0) ) ;
8 for ( size_t i = 0; i < m ; ++ i ) {
9 for ( size_t j = 0; j <= i ; ++ j ) {
10 double cov_ij = 0.0;
11 for ( size_t k = 0; k < n ; ++ k ) cov_ij += data [ k ][ i ] * data [ k ][ j ];
12 cov [ i ][ j ] = cov [ j ][ i ] = cov_ij / ( n - 1) ;
13 }
14 }
15 return cov ;
16 }

This is useful for creating covariance matrices for risk factor aggregation.

3. Vectorized Simulation of Stochastic Models

1
1 // Parallelized asset price simulation
2 # include < vector >
3 # include < cmath >
4 # include < execution >
5
6 void p a r a l l e l S i m u l a t e A s s e t P r i c e s ( std :: vector < double >& assetPrices ,
7 double S0 , double r , double sigma ,
8 double T , size_t N ) {
9 std :: vector < double > randomNumbers (N , 0.0) ;
10 std :: random_device rd ;
11 std :: mt19937 gen ( rd () ) ;
12 std :: normal_distribution < > dist (0.0 , 1.0) ;
13
14 for ( size_t i = 0; i < N ; ++ i ) randomNumbers [ i ] = dist ( gen ) ;
15
16 std :: transform ( std :: execution :: par , randomNumbers . begin () , randomNumbers . end ()
,
17 assetPrices . begin () ,
18 [=]( double z ) {
19 return S0 * exp (( r - 0.5 * sigma * sigma ) * T + sigma *
sqrt ( T ) * z ) ;
20 }) ;
21 }

Parallelization improves the efficiency of Monte Carlo simulations.

4. Sparse Vector Operations for Risk Management

1 // Sparse vector implementation


2 # include <map >
3
4 class SparseVector {
5 public :
6 std :: map < size_t , double > values ;
7

8 void set ( size_t index , double value ) {


9 if ( value != 0.0) values [ index ] = value ;
10 }
11
12 double get ( size_t index ) const {
13 auto it = values . find ( index ) ;
14 return it != values . end () ? it - > second : 0.0;
15 }
16
17 SparseVector add ( const SparseVector & other ) const {
18 SparseVector result ;
19 for ( const auto & [ index , value ] : values ) {
20 result . set ( index , value + other . get ( index ) ) ;
21 }
22 for ( const auto & [ index , value ] : other . values ) {
23 if ( values . find ( index ) == values . end () ) result . set ( index , value ) ;
24 }
25 return result ;
26 }
27 };

This is ideal for handling high-dimensional risk factors with sparse data.

2
5. Rolling Statistics for Volatility Estimation

1 // Rolling mean using sliding window


2 # include < vector >
3 # include < deque >
4 # include < numeric >
5

6 std :: vector < double > rollingMean ( const std :: vector < double >& data , size_t windowSize
) {
7 std :: deque < double > window ;
8 std :: vector < double > result ;
9 double sum = 0.0;
10

11 for ( size_t i = 0; i < data . size () ; ++ i ) {


12 window . push_back ( data [ i ]) ;
13 sum += data [ i ];
14
15 if ( window . size () > windowSize ) {
16 sum -= window . front () ;
17 window . pop_front () ;
18 }
19
20 if ( window . size () == windowSize ) {
21 result . push_back ( sum / windowSize ) ;
22 }
23 }
24 return result ;
25 }

Rolling statistics are crucial for estimating moving averages or rolling volatility.

6. Custom Vector for Greeks Aggregation

1 // Greeks vector implementation


2 struct Greeks {
3 double delta ;
4 double gamma ;
5 double vega ;
6 };
7

8 class GreeksVector {
9 public :
10 std :: vector < Greeks > values ;
11
12 void add ( double delta , double gamma , double vega ) {
13 values . push_back ({ delta , gamma , vega }) ;
14 }
15
16 Greeks aggregate () const {
17 double totalDelta = 0.0 , totalGamma = 0.0 , totalVega = 0.0;
18 for ( const auto & g : values ) {
19 totalDelta += g . delta ;
20 totalGamma += g . gamma ;
21 totalVega += g . vega ;
22 }
23 return { totalDelta , totalGamma , totalVega };
24 }
25 };

3
This helps in efficiently aggregating sensitivities across portfolios.

7. Vector Sorting by Correlation Values

1 // Sort vectors by correlation


2 # include < vector >
3 # include < algorithm >
4

5 std :: vector < size_t > s ortByC orrela tion ( const std :: vector < double >& correlations ) {
6 std :: vector < size_t > indices ( correlations . size () ) ;
7 iota ( indices . begin () , indices . end () , 0) ;
8
9 std :: sort ( indices . begin () , indices . end () , [&]( size_t i , size_t j ) {
10 return correlations [ i ] > correlations [ j ];
11 }) ;
12
13 return indices ;
14 }

Sorting by correlation is essential for optimizing risk factor analysis.

You might also like

pFad - Phonifier reborn

Pfad - The Proxy pFad of © 2024 Garber Painting. All rights reserved.

Note: This service is not intended for secure transactions such as banking, social media, email, or purchasing. Use at your own risk. We assume no liability whatsoever for broken pages.


Alternative Proxies:

Alternative Proxy

pFad Proxy

pFad v3 Proxy

pFad v4 Proxy