Duffy Financial Instrument Pricing Using C++

1. Auflage 2013
ISBN: 978-1-118-85647-5
Verlag: John Wiley & Sons
Format: EPUB
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

E-Book, Englisch, 432 Seiten, E-Book

Reihe: Wiley Finance Series

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

Autoren/Hrsg.

Duffy, Daniel J.

Über Autor(innen)

Daniel Duffy works for Datasim, an Amsterdam-based trainer and software developer (www.datasim-component.com, www.datasim.nl). He has been working in IT since 1979 and with object-oriented technology since 1987. He received his MSc and PhD theses (in numerical analysis) from Trinity College, Dublin. His current interests are in the modelling of financial instruments using numerical methods (for example, finite difference method) and C++. He can be contacted at [e-mail]