Numerical Financial Recipes in Objective Caml
I wanted to work on a project using either Erlang or OCaml to get me back into the functional mindset. I also wanted the project to be finance related, and preferably related to the strengths of the languages. I tossed around the ideas of a order-matching system in Erlang, or a Monte-Carlo engine in OCaml, but ultimately time restraints have prevented me from tackling such (potentially) large scale projects.
Instead, I decided to translate Financial Numerical Recipes in C++ to Objective Caml. My goal is to work through the examples in each chapter, and translate them to OCaml. Hopefully, by the last chapter, I will have a better grasp of the ‘OCaml way.’
Without further adieu, here are the two chapters I have translated:
Value of Time: Discrete Cash Flows
Value of Time: Pricing Bonds with Discrete Cash Flows
Coding style comments are always welcome.
