This book introduces the reader to the C++ programming language andhow to use it to write applications in quantitative finance (QF)and related areas. No previous knowledge of C or C++ is required-- experience with VBA, Matlab or other programming languageis sufficient. The book adopts an incremental approach; startingfrom basic principles then moving on to advanced complex techniquesand then to real-life applications in financial engineering. Thereare five major parts in the book:
* C++ fundamentals and object-oriented thinking in QF
* Advanced object-oriented features such as inheritance andpolymorphism
* Template programming and the Standard Template Library(STL)
* An introduction to GOF design patterns and their applicationsin QF Applications
The kinds of applications include binomial and trinomialmethods, Monte Carlo simulation, advanced trees, partialdifferential equations and finite difference methods.
This book includes a companion website with all source code andmany useful C++ classes that you can use in your own applications.Examples, test cases and applications are directly relevant toQF.
This book is the perfect companion to Daniel J. Duffy'sbook Financial Instrument Pricing using C++ (Wiley 2004,0470855096 / 9780470021620)