Friday, 24 July 2009

Going back to basics

Should you work one day on pricing (art of pricing an instrument using Gross Basis, CTD, ASW, ...), you might need to refresh your memories with respect of Graph Algorithms.
Most (all?) pricing methods use graph (Directed Acyclic Graphs), instrument nodes and dependencies.
The probably two most important ones are breadth-first search and cycle-detection.
More posts will follow on my view on how to implement them.

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