Introduction To C++ For Financial Engineers

The goal of this book is to introduce the reader to the C++ programming language and its applications to the field of Quantitative Finance. It is a self-contained introduction to the syntax of C++ in combination with its applications to current topics of interest. In particular, we develop libraries, frameworks and applications for a variety of derivatives models using numerical methods such as binomial and trinomial trees, finite difference methods (FDM) and the Monte Carlo (MC) method.

The book consists of three major parts. The first part concentrates on essential C++ syntax that must be learned before proceeding. The second part introduces generic programming and design pattern techniques and we show how to create libraries and data structures that we use in part three that deals with full applications. We also have written a number of chapters on topics related to the current book, for example a review of the C language, interfacing with Excel and an introduction to the Component Object Model (COM).

We have written this book for quantitative analysts, designers and other professionals who are involved in developing front office and trading systems. The book is structured in such a way that both novice and experienced developers can use it to write applications in Quantitative Finance. The book is also suitable for university students in finance, mathematics and other disciplines where C++ is used as the language for computation.

TABLE OF CONTENT:
Chapter 01 - Introduction to C++ and Quantitative Finance
Chapter 02 - The Mechanics of C++
Chapter 03 - C++ Fundamentals and My First Option Class
Chapter 04 - Creating Robust Classes
Chapter 05 - Operator Overloading in C++
Chapter 06 - Memory Management in C++
Chapter 07 - Functions, Namespaces and Introduction to Inheritance
Chapter 08 - Advanced Inheritance and Payoff Class Hierarchies
Chapter 09 - Run-Time Behaviour in C++
Chapter 10 - An Introduction to C++ Templates
Chapter 11 - Introduction to Generic Data Structures and Standard Template Library (STL)
Chapter 12 - Creating Simpler Interfaces to STL for QF Applications
Chapter 13 - Data Structures for Financial Engineering Applications
Chapter 14 - An Introduction to Design Patterns
Chapter 15 - Programming the Binomial Method in C++
Chapter 16 - Implementing One-Factor Black Scholes in C++
Chapter 17 - Two-Factor Option Pricing
Chapter 18 - Useful C++ Classes for Numerical Analysis Applications in Finance
Chapter 19 - Other Numerical Methods in Quantitative Finance
Chapter 20 - The Monte Carlo Method Theory and C++ Frameworks
Chapter 21 - Skills Development
Chapter 22 - Basic C Survival Guide
Chapter 23 - Advanced C Syntax
Chapter 24 - Datasim Visualisation Package in Excel
Chapter 25 - Motivating COM and Emulation in C++
Chapter 26 - COM Fundamentals

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