Introduction to C++ for Financial Engineers: An Object-Oriented Approach

0 Goals of this Book and Global Overview 1

PART I C++ ESSENTIAL SKILLS 5

1 Introduction to C++ and Quantitative Finance 7

2 The Mechanics of C++: from Source Code to a Running Program 15

3 C++ Fundamentals and My First Option Class 31

4 Creating Robust Classes 49

5 Operator Overloading in C++ 63

6 Memory Management in C++ 79

7 Functions, Namespaces and Introduction to Inheritance 93

8 Advanced Inheritance and Payoff Class Hierarchies 113

9 Run-Time Behaviour in C++ 133

10 An Introduction to C++ Templates 153

PART II DATA STRUCTURES, TEMPLATES AND PATTERNS 167

11 Introduction to Generic Data Structures and Standard Template Library (STL) 169

12 Creating Simpler Interfaces to STL for QF Applications 187

13 Data Structures for Financial Engineering Applications 203

14 An Introduction to Design Patterns 223

PART III QF APPLICATIONS 243

15 Programming the Binomial Method in C++ 245

16 Implementing One-Factor Black Scholes in C++ 265

17 Two-Factor Option Pricing: Basket and Other Multi-Asset Options 283

18 Useful C++ Classes for Numerical Analysis Applications in Finance 305

19 Other Numerical Methods in Quantitative Finance 315

20 The Monte Carlo Method Theory and C++ Frameworks 327
Dr. Joerg Kieritz and Daniel J. Duffy

21 Skills Development: from White Belt to Black Belt 345

21.1 Introduction and objectives 345

PART IV BACKGROUND INFORMATION 351

22 Basic C Survival Guide 353

23 Advanced C Syntax 363

24 Datasim Visualisation Package in Excel: Drivers and Mechanisms 373

25 Motivating COM and Emulation in C++ 391

26 COM Fundamentals 401

References 407

Index 409