Although this book follows the layout of a programming book, the underlying theme is financial modeling and quantitative trading system development. In a sense, this book really marries four disciplines—computer science, quantitative finance, trading strategy, and quality development—into one, financial engineering. The following chapter, Chapter 2, outlines the Kumiega–Van Vliet Trading System Development Methodology, which as you will see provides the underlying structure for the rest of the book. As the chapters progress, we present gradually more complex programming ideas along with mathematics and trading applications to illustrate the steps along the Kumiega–Van Vliet paradigm. So this book is not just about Visual Basic.NET (VB.NET) and databases. It is about modeling financial instruments in code and putting the pieces, or models, together to create an automated trading or risk management system using a programming language, which in this case is VB.NET. Let’s get started.

Financial markets are in a constant state of evolution, from buttonwood trees to trading floors to computer screens. Over the last 40 years, owing to the invention of computers and the development of quantitative tools for market analysis, the pace of this change has increased dramatically. The revolution in derivatives market analysis really got into full swing in the early 1970s when, soon after the Chicago Board Options Exchange (CBOE) began listing options on equities, Texas Instruments developed a calculator to price options using the Black-Scholes formula (Berstein, 1996, pp. 310–316). Over the coming years, one major outcome of this revolution may very well be a complete automation of the trading process (Norman, 2001, p. 236). In the future, computerized investment models and trading algorithms and instantaneous trade execution could render human traders completely obsolete (Van Vliet and Kumiega, 2000).