ICM177-Programming for Financial Engineering

Module Provider: ICMA Centre
Number of credits: 10 [5 ECTS credits]
Level:7
Terms in which taught: Spring term module
Pre-requisites:
Non-modular pre-requisites:
Co-requisites: ICM127 Stochastic Calculus and Probability
Modules excluded:
Current from: 2022/3

Module Convenor: Mr Naoufel El Bachir
Email: n.elbachir2@icmacentre.ac.uk

Type of module:

Summary module description:

This is a highly practical module. The students will be taught about building efficient programs within the scope of derivatives pricing; assessment will be based on building working code. The programming languages used in the course may vary depending on industry directions. The current focus will be on a combination of C++ and Python.

Aims:

The objective is to introduce the students to programming concepts and their usage for financial models implementation. By the end of the module, students should be able to produce a working and efficient code. Special emphasis is placed on coding style and some essential software engineering principles are introduced.

Assessable learning outcomes:

By the end of the module, it is expected that students will be able to:

• Design and construct simple pricing applications


• Use classes and objects for pricing derivative securities

Additional outcomes:

Outline content:

To achieve good productivity, the following topics are covered: development, building, debugging, testing, and optimising code. Other tools used are source control with Git. Some widely used open-source libraries are introduced and used throughout the course.

(1) Fundamentals; Pointers, Function Overloading and Operator Overloading

(2) Classes and Objects

(3) Inheritance

(4) Applications in Financial Engineering

Brief description of teaching and learning methods:

The topics are introduced in the lectures which are then followed by assignments and practical workshops.

Summative assessment- Examinations:

Summative assessment- Coursework and in-class tests:

1 group project, to be submitted in week 3 of Summer term

6 individual assignments

Formative assessment methods:

Penalties for late submission:

The below information applies to students on taught programmes except those on Postgraduate Flexible programmes. Penalties for late submission, and the associated procedures, which apply to Postgraduate Flexible programmes are specified in the policy £Penalties for late submission for Postgraduate Flexible programmes£, which can be found here: