alt Hacker News> E.g. If I ever see a monetary value stored in something else than integers I'm going to run away screaming (thank you Rust decimals represented as JSON floats). It's always integers unless you have a VERY good reason to do otherwise (though exported view can be in anything, even in weird bitcoded formats).
That really overstates the issue. Whole domains of finance run just fine on doubles.
If you're doing Monte Carlo options pricing over interest rate paths, and you're interested in the risk metrics, like durations, convexity, vega, and so on, no one cares what your rounding convention is. doubles are just fine, thank you. How are you going to force `exp(-rt)cashflow` to be an integer? Or the normal CDF?
Yes, there are domains where ints make sense. But it's certainly not universal, you just need to make the right engineering choice.
Replies
Basically whenever you are acting as a custodian e.g., a bank. Then you have to be super careful.
No one cares if you’re mortgage calculator is off by a penny
Quick browse over Stripe API (i.e. not a simplistic payment provider) will show exactly otherwise.
Metrics/durations/convexity/vega aren't monetary value, these are calculation values and I'm fine with them being whatever. If you're calculating averages to make decisions based on this I don't care if you're counting dolars or tomatoes.
Monetary value is $4.50 and it's representation of actual money passed through system. In practice this value is almost never undergoing any operations except for addition and subtraction. Any multiplication/divison etc. is left to specialized systems that return results wrapped in 800 pages of standarization documents, regulations and so on; systems where term "bit flip" is not a joke, but a risk.
As I wrote fintech != fintech, and I know many organizations aren't at that level of scrutiny, but a huge domain of people dealing with others' people money know that charging someone 1 cent too much is a tens of thousands of problems coming their way.
> you're interested in the risk metrics, like durations, convexity, vega, and so on, no one cares what your rounding convention is. doubles are just fine, thank you.
Doubles are not just fine, but required there. If you compute risk, as you allude to, by finite differences, then you need the precision of floats rather than rounding to integer cents prematurely.
I love how this sensible take is followed by a tornado of comments that boils down to "NEVER use floats JUST BECAUSE".
It doesn't matter for quant finance to use floats because approximate is perfectly fine. Tracking the exact amount to accounting standards is the job of the brokerage team not the quant devs. Floats are fine for modeling as long as the numerical drift is accounted for.
[flagged]
It can be really frustrating viewing threads like this sometimes. I've not once seen an interest rate swap priced in anything other than float/double, and that's relatively simple even compared to some of the crazy instruments out there.
Like, sure, probably don't use floats for everything, but what are the odds that your greeks are gonna be nicely expressable as simple rationals?