Financial Instrument Pricing Using C++ 2e
(Sprache: Englisch)
C++ is one of the best languages for the development of financial engineering and instrument pricing applications. It has several features that allow developers to write robust, flexible and extensible software systems. It is an ANSI/ISO standard, fully...
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C++ is one of the best languages for the development of financial engineering and instrument pricing applications. 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. This book applies C++ to the design and implementation of classes, libraries and latest applications for option and derivative pricing models. The new edition follows the same structure as used in the first edition but is completely updated to reflect current practice and the numerous new developments that have taken place in computational finance over the past 5 years. It features over 50% new material including brand new code libraries supplied by Boost C++ (a repository for free peer-reviewed portable C++ source libraries), more extensive examples than used in the first edition, as well as calibration techniques that will bring readers right up to date with the latest programming technology. It supports the latest pricing and numerical techniques quants use as well as parallel and multithreading applications. Using the most up to date models and code it 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 With the forthcoming launch of C++0x there has never been a better time for a revised edition to this C++ classic. The book is accompanied by a CD ROM which includes the most up to date source code so readers can implement all models immediately.
Klappentext zu „Financial Instrument Pricing Using C++ 2e “
An integrated guide to C++ and computational financeThis complete guide to C++ and computational finance is a follow-up and major extension to Daniel J. Duffy's 2004 edition of Financial Instrument Pricing Using C++. Both C++ and computational finance have evolved and changed dramatically in the last ten years and this book documents these improvements. Duffy focuses on these developments and the advantages for the quant developer by:
* Delving into a detailed account of the new C++11 standard and its applicability to computational finance.
* Using de-facto standard libraries, such as Boost and Eigen to improve developer productivity.
* Developing multiparadigm software using the object-oriented, generic, and functional programming styles.
* Designing flexible numerical algorithms: modern numerical methods and multiparadigm design patterns.
* Providing a detailed explanation of the Finite Difference Methods through six chapters, including new developments such as ADE, Method of Lines (MOL), and Uncertain Volatility Models.
* Developing applications, from financial model to algorithmic design and code, through a coherent approach.
* Generating interoperability with Excel add-ins, C#, and C++/CLI.
* Using random number generation in C++11 and Monte Carlo simulation.
Duffy adopted a spiral model approach while writing each chapter of Financial Instrument Pricing Using C++ 2e: analyse a little, design a little, and code a little. Each cycle ends with a working prototype in C++ and shows how a given algorithm or numerical method works. Additionally, each chapter contains non-trivial exercises and projects that discuss improvements and extensions to the material.
This book is for designers and application developers in computational finance, and assumes the reader has some fundamental experience of C++ and derivatives pricing.
HOW TO RECEIVE THE SOURCE CODE
Once you have purchased a copy of the book please send an
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email to the author dduffyATdatasim.nl requesting your personal and non-transferable copy of the source code. Proof of purchase is needed. The subject of the mail should be "C++ Book Source Code Request". You will receive a reply with a zip file attachment.
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Inhaltsverzeichnis zu „Financial Instrument Pricing Using C++ 2e “
CHAPTER 1 A Tour of C++ and Environs 11.1 Introduction and Objectives 1
1.2 What is C++? 1
1.3 C++ as a Multiparadigm Programming Language 2
1.4 The Structure and Contents of this Book: Overview 4
1.5 A Tour of C++11: Black-Scholes and Environs 6
1.6 Parallel Programming in C++ and Parallel C++ Libraries 12
1.7 Writing C++ Applications; Where and How to Start? 14
1.8 For whom is this Book Intended? 16
1.9 Next-Generation Design and Design Patterns in C++ 16
1.10 Some Useful Guidelines and Developer Folklore 17
1.11 About the Author 18
1.12 The Source Code and Getting the Source Code 19
CHAPTER 2 New and Improved C++ Fundamentals 21
2.1 Introduction and Objectives 21
2.2 The C++ Smart Pointers 21
2.3 Using Smart Pointers in Code 23
2.4 Extended Examples of Smart Pointers Usage 30
2.5 Move Semantics and Rvalue References 34
2.6 Other Bits and Pieces: Usability Enhancements 39
2.7 Summary and Conclusions 52
2.8 Exercises and Projects 52
CHAPTER 3 Modelling Functions in C++ 59
3.1 Introduction and Objectives 59
3.2 Analysing and Classifying Functions 60
3.3 New Functionality in C++: std::function 64
3.4 New Functionality in C++: Lambda Functions and Lambda Expressions 65
3.5 Callable Objects 69
3.6 Function Adapters and Binders 70
3.7 Application Areas 75
3.8 An Example: Strategy Pattern New Style 75
3.9 Migrating from Traditional Object-Oriented Solutions: Numerical Quadrature 78
3.10 Summary and Conclusions 81
3.11 Exercises and Projects 82
CHAPTER 4 Advanced C++ Template Programming 89
4.1 Introduction and Objectives 89
4.2 Preliminaries 91
4.3 decltype Specifier 94
4.4 Life Before and After decltype 101
4.5
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std::result_of and SFINAE 106
4.6 std::enable_if 108
4.7 Boost enable_if 112
4.8 std::decay()Trait 114
4.9 A Small Application: Quantities and Units 115
4.10 Conclusions and Summary 118
4.11 Exercises and Projects 118
CHAPTER 5 Tuples in C++ and their Applications 123
5.1 Introduction and Objectives 123
5.2 An std:pair Refresher and New Extensions 123
5.3 Mathematical and Computer Science Background 128
5.4 Tuple Fundamentals and Simple Examples 130
5.5 Advanced Tuples 130
5.6 Using Tuples in Code 133
5.7 Other Related Libraries 138
5.8 Tuples and Run-Time Efficiency 140
5.9 Advantages and Applications of Tuples 142
5.10 Summary and Conclusions 143
5.11 Exercises and Projects 143
CHAPTER 6 Type Traits, Advanced Lambdas and Multiparadigm Design in C++ 147
6.1 Introduction and Objectives 147
6.2 Some Building Blocks 149
6.3 C++ Type Traits 150
6.4 Initial Examples of Type Traits 158
6.5 Generic Lambdas 161
6.6 How Useful will Generic Lambda Functions be in the Future? 164
6.7 Generalised Lambda Capture 171
6.7.1 Living Without Generalised Lambda Capture 173
6.8 Application to Stochastic Differential Equations 174
6.9 Emerging Multiparadigm Design Patterns: Summary 178
6.10 Summary and Conclusions 179
6.11 Exercises and Projects 179
CHAPTER 7 Multiparadigm Design in C++ 185
7.1 Introduction and Objectives 185
7.2 Modelling and Design 185
7.3 Low-Level C++ Design of Classes 190
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4.6 std::enable_if 108
4.7 Boost enable_if 112
4.8 std::decay()Trait 114
4.9 A Small Application: Quantities and Units 115
4.10 Conclusions and Summary 118
4.11 Exercises and Projects 118
CHAPTER 5 Tuples in C++ and their Applications 123
5.1 Introduction and Objectives 123
5.2 An std:pair Refresher and New Extensions 123
5.3 Mathematical and Computer Science Background 128
5.4 Tuple Fundamentals and Simple Examples 130
5.5 Advanced Tuples 130
5.6 Using Tuples in Code 133
5.7 Other Related Libraries 138
5.8 Tuples and Run-Time Efficiency 140
5.9 Advantages and Applications of Tuples 142
5.10 Summary and Conclusions 143
5.11 Exercises and Projects 143
CHAPTER 6 Type Traits, Advanced Lambdas and Multiparadigm Design in C++ 147
6.1 Introduction and Objectives 147
6.2 Some Building Blocks 149
6.3 C++ Type Traits 150
6.4 Initial Examples of Type Traits 158
6.5 Generic Lambdas 161
6.6 How Useful will Generic Lambda Functions be in the Future? 164
6.7 Generalised Lambda Capture 171
6.7.1 Living Without Generalised Lambda Capture 173
6.8 Application to Stochastic Differential Equations 174
6.9 Emerging Multiparadigm Design Patterns: Summary 178
6.10 Summary and Conclusions 179
6.11 Exercises and Projects 179
CHAPTER 7 Multiparadigm Design in C++ 185
7.1 Introduction and Objectives 185
7.2 Modelling and Design 185
7.3 Low-Level C++ Design of Classes 190
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Autoren-Porträt von Daniel J. Duffy
DANIEL J. DUFFY started the company Datasim in 1987 to promote C++ as a new object-oriented language for developing applications in the roles of developer, architect and requirements analyst to help clients design and analyse software systems for Computer Aided Design (CAD), process control and hardware- software systems, logistics, holography (optical technology) and computational finance. He used a combination of top-down functional decomposition and bottom-up object-oriented programming techniques to create stable and extendible applications. Prior to Datasim, he worked on engineering and financial applications in oil and gas and semiconductor industries using a range of numerical methods (for example, the finite element method [FEM]) on mainframe and mini-computers.Duffy has BA (Mod), MSc and PhD degrees in pure, numerical and applied mathematics and has been active in promoting partial differential equation (PDE) and finite difference methods (FDM) to applications in computational finance. He was responsible for the introduction of the Fractional Step ("Soviet Splitting") method and the Alternating Direction Explicit (ADE) method in computational finance.
He is the originator of two very popular and leading C++ online courses (both C++98 and C++11/14/17) on www.quantnet.com in cooperation with Quantnet LLC and Baruch College (CUNY), NYC. He also trains quants, developers and designers around the world. Duffy can be contacted at dduffy@datasim.nl. In his spare time, he tries to keep in shape by workouts in the dojo.
Bibliographische Angaben
- Autor: Daniel J. Duffy
- 2nd Ed., 1168 Seiten, Maße: 17,4 x 25,1 cm, Gebunden, Englisch
- Verlag: Wiley & Sons
- ISBN-10: 0470971193
- ISBN-13: 9780470971192
- Erscheinungsdatum: 12.04.2013
Sprache:
Englisch
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