Financial Instrument Pricing Using C++ - Hardcover

Duffy, Daniel J.

Hardcover

ISBN 10: 0470855096 ISBN 13: 9780470855096

Publisher: Wiley, 2004

Synopsis

One of the best languages for the development of financial engineering and instrument pricing applications is C++. This book has several features that allow developers to write robust, flexible and extensible software systems. The book is an ANSI/ISO standard, fully object-oriented and interfaces with many third-party applications. It has support for templates and generic programming, massive reusability using templates ('write once') and support for legacy C applications. In this book, author Daniel J. Duffy brings C++ to the next level by applying it to the design and implementation of classes, libraries and applications for option and derivative pricing models.He employs modern software engineering techniques to produce industrial-strength applications: using the Standard Template Library (STL) in finance; creating your own template classes and functions; reusable data structures for vectors, matrices and tensors; classes for numerical analysis (numerical linear algebra); solving the Black Scholes equations, exact and approximate solutions; implementing the Finite Difference Method in C++; integration with the 'Gang of Four' Design Patterns; interfacing with Excel (output and Add-Ins); financial engineering and XML; and, cash flow and yield curves. Included with the book is a CD containing the source code in the Datasim Financial Toolkit. You can use this to get up to speed with your C++ applications by reusing existing classes and libraries. 'Unique...Let's all give a warm welcome to modern pricing tools' - Paul Wilmott, mathematician, author and fund manager.

About this title

From the Back Cover:

One of the best languages for the development of financialengineering and instrument pricing applications is C++. It hasseveral features that allow developers to write robust, flexibleand extensible software systems. It is an ANSI/ISO standard, fullyobject-oriented and interfaces with many third-party applications.It has support for templates and generic programming, massivereusability using templates ('write once') and supportfor legacy C applications.

In this book we bring C++ to the next level by applying it tothe design and implementation of classes, libraries andapplications for option and derivative pricing models. We employmodern software engineering techniques to produceindustrial-strength applications: -

• Using the Standard Template Library (STL) in finance
• Creating your own template classes and functions
• Reusable data structures for vectors, matrices and tensors
• Classes for numerical analysis (numerical linear algebra...)
• Solving the Black Scholes equations, exact and approximatesolutions
• Implementing the Finite Difference Method in C++
• Integration with the 'Gang of Four' DesignPatterns
• Interfacing with Excel (output and Add-Ins)
• Financial engineering and XML
• Cash flow and yield curves

Included with the book is a CD containing the source code in theDatasim Financial Toolkit that you can use directly. This will getyou up to speed with your C++ applications by reusing existingclasses and libraries.

'Unique... Let's all give a warm welcome to modern pricingtools.' Paul Wilmott, mathematician, author and fundmanager

About the Author:

Daniel Duffy works for Datasim, an Amsterdam-based trainer and software developer (www.datasim-component.com, www.datasim.nl). He has been working in IT since 1979 and with object-oriented technology since 1987. He received his MSc and PhD theses (in numerical analysis) from Trinity College, Dublin. His current interests are in the modelling of financial instruments using numerical methods (for example, finite difference method) and C++. He can be contacted at dduffy@datasim.nl

About this edition

• Publisher: Wiley
• Publication date: 2004
• ISBN 10: 0470855096
• ISBN 13: 9780470855096
• Binding: Hardcover
• Edition number: 1
• Number of pages: 432