Description
John Wiley and Sons Ltd Financial Instrument Pricing Using C++ by Daniel J. Duffy
One of the best languages for the development of financial engineering and instrument pricing applications is C++. This book has several features that allow developers to write robust flexible and extensible software systems. The book 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 author Daniel J. Duffy brings C++ to the next level by applying it to the design and implementation of classes libraries and applications for option and derivative pricing models.He employs 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 linear algebra); solving the Black Scholes equations exact and approximate solutions; 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; and cash flow and yield curves.
Included with the book is a CD containing the source code in the Datasim Financial Toolkit. You can use this to get up to speed with your C++ applications by reusing existing classes and libraries. 'Unique...Let's all give a warm welcome to modern pricing tools' - Paul Wilmott mathematician author and fund manager.