Summary |
One of the best languages for the development of financial engineering and instrument pricing application is C++. It has several features that allow developers to write robust, flexible and extensible software systems. It 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 we bring C++ to the next level by applying it to the design and implementation of classes, libraries and applications for option and derivative pricing models. We employ 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 liner algebra)
• Solving the Black-Scholes equations, exact and approximate solutions
• Implementing and Finite Difference Method in C++
• Integration with the “Gang of Four’ Design Patterns
• Interfacing with Excel (output and add-ins)
• Finance engineering and XML
• Cash flow and yield curves
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