|
 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
Included with
the book is a CD containing the source code in the Datasim Financial
Toolkit that you can use directly. This will get you 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
If you are
owing this book, please visit the site of
Egor Kraev, who did a great
job in collecting and documenting
issues, comments and
corrections to the book.
Financial Instrument Pricing
using C++
by Daniel J. Duffy
Wiley
ISBN: 0-470-85509-6
|
