Introduction to C++ for Financial Engineers: An Object-oriented Approach
- 6h 20m
- Daniel J. Duffy
- John Wiley & Sons (UK)
- 2006
This book introduces the reader to the C++ programming language and how to use it to write applications in quantitative finance (QF) and related areas. No previous knowledge of C or C++ is required - experience with VBA, Matlab or other programming language is sufficient. The book adopts an incremental approach; starting from basic principles then moving on to advanced complex techniques and then to real-life applications in financial engineering. There are five major parts in the book:
- C++ fundamentals and object-oriented thinking in QF
- Advanced object-oriented features such as inheritance and polymorphism
- Template programming and the Standard Template Library (STL)
- An introduction to GOF design patterns and their applications in QF Applications
The kinds of applications include binomial and trinomial methods, Monte Carlo simulation, advanced trees, partial differential equations and finite difference methods.
In this Book
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Introduction to C++ for Financial Engineers—An Object-oriented Approach
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Goals of this Book and Global Overview
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Introduction to C++ and Quantitative Finance
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The Mechanics of C++: from Source Code to a Running Program
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C++ Fundamentals and My First Option Class
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Creating Robust Classes
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Operator Overloading in C++
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Memory Management in C++
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Functions, Namespaces and Introduction to Inheritance
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Advanced Inheritance and Payoff Class Hierarchies
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Run-Time Behaviour in C++
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An Introduction to C++ Templates
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Introduction to Generic Data Structures and Standard Template Library (STL)
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Creating Simpler Interfaces to STL for QF Applications
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Data Structures for Financial Engineering Applications
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An Introduction to Design Patterns
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Programming the Binomial Method in C++
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Implementing One-Factor Black Scholes in C++
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Two-Factor Option Pricing: Basket and Other Multi-Asset Options
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Useful C++ Classes for Numerical Analysis Applications in Finance
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Other Numerical Methods in Quantitative Finance
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The Monte Carlo Method Theory and C++ Frameworks
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Skills Development—from White Belt to Black Belt
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Basic C Survival Guide
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Advanced C Syntax
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Datasim Visualisation Package in Excel: Drivers and Mechanisms
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Motivating COM and Emulation in C++
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COM Fundamentals
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References
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