Daniel Duffy – Financial Instruments Pri{{c}}ing Using {{C}}++
ISBN: 978-0-470-85509-6
432 pages
June 2004
One of the best languages for the development of financial engineering and instrument pri{{c}}ing appli{{c}}ations 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 obje{{c}}t-oriented and interfa{{c}}es with many third-party appli{{c}}ations. It has support for templates and generi{{c}} programming, massive reusability using templates (?write on{{c}}e?) and support for lega{{c}}y {{C}} appli{{c}}ations.
In this book, author Daniel J. Duffy brings {{C}}++ to the next level by applying it to the design and implementation of {{c}}lasses, libraries and appli{{c}}ations for option and derivative pri{{c}}ing models. He employs modern software engineering te{{c}}hniques to produ{{c}}e industrial-strength appli{{c}}ations:
- Using the Standard Template Library (STL) in finan{{c}}e
- {{C}}reating your own template {{c}}lasses and fun{{c}}tions
- Reusable data stru{{c}}tures for ve{{c}}tors, matri{{c}}es and tensors
- {{C}}lasses for numeri{{c}}al analysis (numeri{{c}}al linear algebra ?)
- Solving the Bla{{c}}k S{{c}}holes equations, exa{{c}}t and approximate solutions
- Implementing the Finite Differen{{c}}e Method in {{C}}++
- Integration with the ?Gang of Four? Design Patterns
- Interfa{{c}}ing with Ex{{c}}el (output and Add-Ins)
- Financial engineering and XML
- {{C}}ash flow and yield {{c}}urves
In{{c}}luded with the book is a {{C}}D {{c}}ontaining the sour{{c}}e {{c}}ode in the Datasim Financial Toolkit. You {{c}}an use this to get up to speed with your {{C}}++ appli{{c}}ations by reusing existing {{c}}lasses and libraries.
‘Unique… Let’s all give a warm wel{{c}}ome to modern pri{{c}}ing tools.’ — Paul Wilmott, mathemati{{c}}ian, author and fund manager
Author Information
Daniel Duffy works for Datasim, an Amsterdam-based trainer and software developer (www.datasim-{{c}}omponent.{{c}}om, www.datasim.nl). He has been working in IT sin{{c}}e 1979 and with obje{{c}}t-oriented te{{c}}hnology sin{{c}}e 1987. He re{{c}}eived his MS{{c}} and PhD theses (in numeri{{c}}al analysis) from Trinity {{C}}ollege, Dublin. His {{c}}urrent interests are in the modelling of financial instruments using numeri{{c}}al methods (for example, finite differen{{c}}e method) and {{C}}++. He {{c}}an be {{c}}onta{{c}}ted at [email prote{{c}}ted]
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