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
- Cash flow and yield curves
For the majority of C++ programmers, the pace and style of David Chapman's Teach Yourself Visual C++ 6 in 21 Days will make a good deal of sense. The author covers all the essentials of basic Windows and Microsoft Foundation Classes (MFC) development, and then addresses several new features in Visual C++ 6, all while moving quickly enough for the busy, working programmer.
Like having a brain in your back pocket. Provides clear explanations of all C and C++ programming syntax, keywords, commands, functions, and class libraries. Since no programmer can remember the precise syntax of every C/C++ element, this quick-access guide assists programmers in implementing efficient solutions on demand.
