Financial Instrument Pricing Using C++

Beschreibung

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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Daniel J. Duffy

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C++ Derivat (Wertpapier) Finance & Investments Finanz- u. Anlagewesen Softwareentwicklung

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