1. WHAT IS THIS BOOK?
The goal of this book is to introduce the reader to the C++ programming language and its applications to the ?eld of Quantitative Finance. It is a self-contained introduction to the syntax of C++ in combination with its applications to current topics of interest. In particular, we develop libraries, frameworks and applications for a variety of derivatives models using numerical methods such as binomial and trinomial trees, ?nite difference methods (FDM) and the Monte Carlo (MC) method.
The book consists of three major parts. The ?rst part concentrates on essential C++ syntax that must be learned before proceeding. The second part introduces generic programming and design pattern techniques and we show how to create libraries and data structures that we use in part three that deals with full applications. We also have written a number of chapters on topics related to the current book, for example a review of the C language, interfacing with Excel and an introduction to the Component Object Model (COM).
This book is a thorough introduction to C++ and how to use it to write non-trivial and robust applications in Quantitative Finance. Some special features of the book are: A full discussion of C++ syntax (as described in Stroustrup, 1997) Advanced topics in C++: memory management, exceptions, templates and RTTI An introduction to data structures and Complexity Analysis The Standard Template Library (STL) and its applications to Quantitative Finance Introduction to Design Patterns and integration into Quantitative Finance applications Creating real applications for derivative pricing Working source code for all chapters and applications Exercises for every chapter After having read this book, studied the code and done the exercises you will be in a position to appreciate how to use C++ for Quantitative Finance.
2 WHY HAS THIS BOOK BEENWRITTEN?
We have written this book for a number of reasons. First, in our opinion there are very few books on C++ that teach the language and apply it to interesting and non-trivial problems in Quantitative Finance. This book assumes no knowledge of C++ nor do we assume that the reader is conversant with the C programming language. The ?rst ten chapters of the book introduce the major syntax elements that you will need in order to write C++ applications. The second reasonwas to showhowto apply C++towriting ?exible and robust applications using an appropriate combination of the object, generic and functional programming models.Furthermore, we apply design patterns and established frameworks to help create extendible applications.
1JWBK114-00 JWBK114-Duffy August 29, 2006 10:49 Char Count= 02 Introduction to C++ for financial Engineers Finally, seeing that C++ is an important language in the financial world we have included exercises, questions and projects at the end of each chapter. We advise the reader to answerthese questions and implement the exercises and projects because the best way to learn C++ is by doing it. It is our feeling (and hope) that you will then be able to face job interviews with confidence.
The goal of this book is to introduce the reader to the C++ programming language and its applications to the ?eld of Quantitative Finance. It is a self-contained introduction to the syntax of C++ in combination with its applications to current topics of interest. In particular, we develop libraries, frameworks and applications for a variety of derivatives models using numerical methods such as binomial and trinomial trees, ?nite difference methods (FDM) and the Monte Carlo (MC) method.
The book consists of three major parts. The ?rst part concentrates on essential C++ syntax that must be learned before proceeding. The second part introduces generic programming and design pattern techniques and we show how to create libraries and data structures that we use in part three that deals with full applications. We also have written a number of chapters on topics related to the current book, for example a review of the C language, interfacing with Excel and an introduction to the Component Object Model (COM).
This book is a thorough introduction to C++ and how to use it to write non-trivial and robust applications in Quantitative Finance. Some special features of the book are: A full discussion of C++ syntax (as described in Stroustrup, 1997) Advanced topics in C++: memory management, exceptions, templates and RTTI An introduction to data structures and Complexity Analysis The Standard Template Library (STL) and its applications to Quantitative Finance Introduction to Design Patterns and integration into Quantitative Finance applications Creating real applications for derivative pricing Working source code for all chapters and applications Exercises for every chapter After having read this book, studied the code and done the exercises you will be in a position to appreciate how to use C++ for Quantitative Finance.
2 WHY HAS THIS BOOK BEENWRITTEN?
We have written this book for a number of reasons. First, in our opinion there are very few books on C++ that teach the language and apply it to interesting and non-trivial problems in Quantitative Finance. This book assumes no knowledge of C++ nor do we assume that the reader is conversant with the C programming language. The ?rst ten chapters of the book introduce the major syntax elements that you will need in order to write C++ applications. The second reasonwas to showhowto apply C++towriting ?exible and robust applications using an appropriate combination of the object, generic and functional programming models.Furthermore, we apply design patterns and established frameworks to help create extendible applications.
1JWBK114-00 JWBK114-Duffy August 29, 2006 10:49 Char Count= 02 Introduction to C++ for financial Engineers Finally, seeing that C++ is an important language in the financial world we have included exercises, questions and projects at the end of each chapter. We advise the reader to answerthese questions and implement the exercises and projects because the best way to learn C++ is by doing it. It is our feeling (and hope) that you will then be able to face job interviews with confidence.
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