Financial Instrument Pricing Using C++

Daniel J. Duffy - Collection Wiley Finance

432 pages, parution le 01/06/2004

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Résumé

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

Included with the book is a CD containing the source code in the Datasim Financial Toolkit. You can use this to get up to speed with your C++ applications by reusing existing classes and libraries.

L'auteur - Daniel J. Duffy

Daniel J. Duffy has been involved in software development projects using C++ and object-oriented design techniques since 1988. He organized the first C++ course in the Netherlands in 1989 and has worked on a variety of C++ projects in areas such as computer graphics, optical technology, process control and quantitative finance systems. In 1993 he worked on an early version of a large object-oriented system for derivatives' pricing and hedging models. He is designer/trainer and has trained mote than 2000 C++ developers in recent years.

A companion book to the current one is "Financial instrument pricing using C++" (Wiley 2004). Since 1996 he has written seven books on object-oriented design and programming. Daniel Duffy has a Phd in Numerical Analysis from Trinity College Dublin. He lives in the Netherlands with his wife Ilona and son Brendan.

Sommaire

Executive overview of this book
Template programming in C++
Building block classes
Ordinary and stochastic differential equations
Programming the black-scholes environment
Design patterns
Design and deployment issues
Appendices
Index

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Caractéristiques techniques

	PAPIER
Éditeur(s)	Wiley
Auteur(s)	Daniel J. Duffy
Collection	Wiley Finance
Parution	01/06/2004
Nb. de pages	432
Couverture	Relié
Intérieur	Noir et Blanc
EAN13	9780470855096
ISBN13	978-0-470-85509-6