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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