For those interested in financial programming with F#, there's a very nice blog series on "Discount/Zero Curve Construction in F#" over on lesscode.net.

I wanted to learn a little bit about F# by implementing something more interesting than the obligatory fractals or Fibonacci sequences, so I thought I’d see what yield curve construction would look like, and how much less code would be needed versus a standard C/C++ implementation. The simplicity with which it’s possible to tail recurse over lists in F# lends itself well to the bootstrapping techniques employed for constructing a zero-coupon rate curve.

Part 1, Part 2 (Rolling Dates), Part 3 (Bootstrapping), Part 4 (Core Math)

There code is now also available as one snippet on the F# Snippets site, where you can inspect its types, and you can even load the code into Try F# (you have to hit "Run").

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