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Object Oriented Modelling Develop cognitive models to help

discover and design OO software Focus is on finance applications High-level Concept Mapping

techniques Map CMs to UML, patterns and code

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What is a Concept? A regularity in entities, objects,

activities or events Designate a concept by a label We use concepts as recognition

devices Concepts can be abstract/high-level

or concrete/low-level

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Examples of Concepts Instrument, option, IBM stock Pricing model, PDE, FDM MC pricing engine Risk System

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Links We ‘glue’ concepts together to form

propositions Meaningful relationships between

concepts A link is typically a verb or verb

phrase Source: text, word-of-mouth,

experience

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Examples of Links FDM uses a PDE An Asian option has various kinds of

payoff A Cheyette model is a kind of Asian

option Crank Nicolson is a FD scheme A portfolio consists of instruments

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Relationships with OO Concepts correspond to classes and

(sub)systems Links correspond to ISA, aggregation

and association relationships We create a concept maps, evaluate

it and then map to C++ classes and patterns

We recommend it!

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Concept Map A set of concepts with links

connecting them Concepts correspond to nouns, links

to verbs and verb phrases Originally used in Education Duffy used it for Object Modeling

Technique (OMT, 1995)

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Example: AustraliaContinent

Canberra

Cities

States

KangarooCows

AnimalsFarms

Australia

such as

such as

such as

has has has

has has

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Finite Difference Method

PDE

Excel

Display

Mesher

Crank NicolsonImplementation

Euler

Matrix Solver

FDM

such as

needs

is a

has

uses

present in

has

CEVBlack Scholes

Data

Properties

Functions

such as

is ais a

is ais a

uses functions

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Why Concept Maps? Forces us to think about the problem Easier to understand and to discuss

than ‘flat’ text Front-end to UML and Design

Patterns (Gamma et al) Many stakeholders can understand

them

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Concept Mapping Process We wish to develop techniques for

creating concept maps Cleat input and output (defined

process) Input: text, discussion, domain

knowledge Output: One or more (hierarchical)

concept maps

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Categories of Concept Maps Describing the structure of

(complex) objects Describing dependencies in a

dependency graph Data flow in a ‘data graph’ Any combination of the above

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The Filtering Process Texts tend to be ambiguous People tend not to ask question Get a common frame of reference

ASAP Apply standard questions

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Questions What is What kinds of How to When, why Relationship questions Follow-on questions

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Sources of Confusion Noise (redundancy) Silence Overspecification Contradiction Ambiguity Role (a ‘view’ of the ‘real’ thing,

what is the latter?)

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The Process 1. Make a list of words/concepts in

current problem 2. Apply filtering process (modify

list in 1.) 3. Find the links between the words 4. Construct sentences/propositions

between the words in steps 2 and 3

5. Construct the concept map

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The Map 1. List key concept 2. List supporting concepts at next

level of generality 3. Create links between main and

supporting concepts 4. Create cross-links between

supporting concepts 5. Goto step and execute for each

supporting concept

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Example: Instruments

Instrument

Call

Payoff

FunctionsBond Data

Heterogeneous

Properties

such as

such as

can be

has

initialises

implies

Homogeneoes

Option

Monitoring

Date Dependent

Factory

can be

is ais a

has

such as

can be

may contain

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Example: Monte Carlo

MC Engine

RiskSystem

FDM

needs

produces

needs

SDE

Pay off

based on uses

uses

Price

RNG

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Example: Asian Options

Asian Pde

Numeric Solver

Monitoring

Cheyette

Payoff

Discrete

Asian Option

has

such as

uses

Average Strike Call

Bridge

Etc. Continuous

is ais a

solved by

has

models

such as such as such as

Bridge

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Example: Pricing Models

Instrument System

Instrument has

by

uses

Pricing Mode

such as

has

consists of

Asset Model

Underlying

CEV

is ais a

concernsuses

Risk System

Bridge

SDE PDE

uses

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Example: Merging Concept Maps

Model

PDE hasSDE

such as

by

FDM

Approximation

Data

is ais a

models

MesherContinuous Space

Asset

Time

uses

MC

such as

Discrete Space

such as

such as

models

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What’s next? Assuming we have a good feeling

about the map, start design UML components, classes and

corresponding diagrams Design patterns C++ code

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Example: Component Diagram

PDE FDM

CNEuler

Bridge

CEVBlack Scholes

Mesher

Matrix Solver

<<uses>>

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Tips on Text Input At most 1 A4 Describe what the system should

deliver What is the input? Describe the activities in the process

from input to output