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Financial Instrument Pricing Using C++

Financial Instrument Pricing Using C++


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About the Book

One of the best languages for the development of financialengineering and instrument pricing applications is C++. This bookhas several features that allow developers to write robust, flexible and extensible software systems. The book is an ANSI/ISOstandard, fully object-oriented and interfaces with manythird-party applications. It has support for templates and genericprogramming, massive reusability using templates (?write once?) andsupport for legacy C applications.

In this book, author Daniel J. Duffy brings C++ to the nextlevel by applying it to the design and implementation of classes, libraries and applications for option and derivative pricingmodels. He employs modern software engineering techniques toproduce 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 approximatesolutions
  • 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 theDatasim Financial Toolkit. You can use this to get up to speed withyour C++ applications by reusing existing classes andlibraries.

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


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Product Details
  • ISBN-13: 9780470855096
  • Publisher: Wiley
  • Publisher Imprint: Wiley
  • Depth: 31
  • Height: 255 mm
  • No of Pages: 432
  • Series Title: Wiley Finance Series
  • Weight: 990 gr
  • ISBN-10: 0470855096
  • Publisher Date: 04 Oct 2018
  • Binding: BB
  • Edition: HAR/COM
  • Language: eng
  • Returnable: N
  • Spine Width: 33 mm
  • Width: 177 mm


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