Items related to Introduction to C++ for Financial Engineers (The Wiley...
Synopsis
Apply modern C++ to applications in computational finance
Introduction to C++ for Financial Engineers, Second Edition uses the new and improved language features and multi–paradigm programming styles to create robust and flexible code for a number of important areas in finance. Each chapter has been written to be as self–contained as possible, while taking account of the most recent developments in software design, programming styles and advances in desktop hardware.
This resource is written for Quant developers versed in creating applications using C++98. It shows how to define, design and implement flexible applications using modern software design methods in C++. Developers will learn how to:
- Adopt a standardised design methodology (based on domain architectures) for applications
- Write clear and maintainable code in the gold standard′ C++ language
- Move from C++98 to next–generation C++11, C++ 14 and later
- Use C++ and Boost libraries instead of home–grown code
- Create multi–threaded and parallel applications
- Utilise applications to lattices, PDE and Monte Carlo models
The chapters in this book begin with simple examples, transitioning to more extensive models and finance–related applications. Each chapter concludes with exercises and projects, allowing the reader to monitor progress by reviewing what has been discussed and writing code based on those concepts.
- New C++ syntax, language features and libraries
- Building flexible lattice models using the domain architecture approach
- Detailed discussion of PDE/Finite Difference Method for European and American option pricing
- C++ Concurrency, multithreading and parallel libraries for multi–core CPUs and GPUs
- Numerical solution of stochastic differential equations and Monte Carlo option pricing
- Optimal use of the combined object–oriented, template and functional programming styles
Introduction to C++ for Financial Engineers, Second Edition assembles many of the design and language features to help you create flexible and maintainable applications.
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From the Back Cover
The object–oriented programming language C++ is the de facto standard for developing real–life applications for Quantitative Finance and Financial Engineering. This language was designed by Dr. Bjarne Stroustup in the early 1990 s and it has become one of the most popular and robust languages for many important areas such as medical systems, computer graphics, telecommunications and in application areas where performance, accuracy and interoperability issues play a key role. The general expectation is that its importance will grow in the coming years.
C++ has also become the de facto standard for quant development and analysis. Knowledge of C++ is mandatory for many openings and job positions in Quantitative Finance. This book is the first book that discusses many of the issues that you need to know in order to be able to design and implement real–world applications. We focus on a number of critical topics:
- Learning the essential syntax of C++ (′getting the fundamentals right′)
- Designing and implementing generic data structures using STL
- Numerous applications (lattices, finite difference, Monte Carlo, etc)
- Libraries, design patterns (GOF, POSA) and reusable software frameworks
- Introduction to COM and C++ to Excel interoperability
Each chapter deals with one major topic. Furthermore, each chapter builds only on the results of the chapters preceding it, so that we keep the amount of forward referencing to a minimum. We discuss all the syntax that is discussed in the IT books and we apply it to QF applications. This book is self–contained and we advise its use in combination with the well–known standard reference work by Dr. Stroustrup.
Last, but not least, each chapter concludes with exercises and projects to test what you learned in that chapter. The exercises are based on the tactic: ′get it working, then get it right, then get it optimised′. Furthermore, these exercises will also hopefully prepare you for your job interviews!
Included with the book is a companion website with all source code, including working code for lattice, finite difference and Monte Carlo methods for one–factor and two–factor pricing models as well as an easy–to–use C++ visualization package to help you examine the output from these numerical methods.
About the Author
DANIEL J. DUFFY has been involved in software development projects using C++ and object–oriented design techniques since 1988. He organized the first C++ course in the Netherlands in 1989 and has worked on a variety of C++ projects in areas such as computer graphics, optical technology, process control and quantitative finance systems. In 1993 he worked on an early version of a large object–oriented system for derivatives pricing and hedging models. He is designer/trainer and has trained mote than 2000 C++ developers in recent years.
A companion book to the current one is "Financial instrument pricing using C++" (Wiley 2004). Since 1996 he has written seven books on object–oriented design and programming. Daniel Duffy has a Phd in Numerical Analysis from Trinity College Dublin. He lives in the Netherlands with his wife Ilona and son Brendan.
He can be contacted at dduffy@datasim.nl
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