Financial Instrument Pricing Using C++
- 6h 34m
- Daniel J. Duffy
- John Wiley & Sons (UK)
- 2004
One of the best languages for the development of financial engineering and instrument pricing applications is C++. It has several features that allow developers to write robust, flexible and extensible software systems. It 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 we bring C++ to the next level by applying it to the design and implementation of classes, libraries and applications for option and derivative pricing models. We employ 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
- Cash flow and yield curves
About the Author
Daniel J. Duffy works for Datasim, an Amsterdam-based trainer and software developer. He has been working in IT since 1979 and with object-oriented technology since 1987. He received his MSc and PhD (in numerical analysis) from Trinity College, Dublin. His current interests are in the modeling of financial instruments using numerical methods (for example, finite different method) and C++.
In this Book
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Executive Overview of this Book
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A Gentle Introduction to Templates in C++
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An Introduction to the Standard Template Library
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STL for Financial Engineering Applications
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The Property Pattern in Financial Engineering
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Arrays, Vectors and Matrices
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Arrays and Matrix Properties
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Numerical Linear Algebra
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Modelling Functions in C++
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C++ Classes for Statistical Distributions
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Numerical Solution of Initial Value Problems: Fundamentals
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Stochastic Processes and Stochastic Differential Equations
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Two-Point Boundary Value Problems
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Matrix Iterative Methods
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An Overview of Computational Finance
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Finite Difference Schemes for Black – Scholes
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Implicit Finite Difference Schemes for Black – Scholes
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Special Schemes for Plain and Exotic Options
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My First Finite Difference Solver
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An Introduction to ADI and Splitting Schemes
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Numerical Approximation of Two-Factor Derivative Models
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A C++ Application for Displaying Numeric Data
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Object Creational Patterns
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Object Structural Patterns
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Object Behavioural Patterns
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An Introduction to the Extensible Markup Language
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Advanced XML and Programming Interface
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Interfacing C++ and Excel
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Advanced Excel Interfacing
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An Extended Application: Option Strategies and Portfolios
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References
