Introduction to C++ for Financial Engineers (The Wiley Finance Series)

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9781118446089: Introduction to C++ for Financial Engineers (The Wiley Finance Series)

Apply modern C++ to applications in computational finance

Introduction to C++ for Financial Engineers, Second Edition uses the new and improved language features and multi-paradigm programming styles to create robust and flexible code for a number of important areas in finance. Each chapter has been written to be as self-contained as possible, while taking account of the most recent developments in software design, programming styles and advances in desktop hardware.

This resource is written for Quant developers versed in creating applications using C++98. It shows how to define, design and implement flexible applications using modern software design methods in C++. Developers will learn how to:

  • Adopt a standardised design methodology (based on domain architectures) for applications
  • Write clear and maintainable code in the ‘gold standard' C++ language
  • Move from C++98 to next-generation C++11, C++ 14 and later
  • Use C++ and Boost libraries instead of home-grown code
  • Create multi-threaded and parallel applications
  • Utilise applications to lattices, PDE and Monte Carlo models

The chapters in this book begin with simple examples, transitioning to more extensive models and finance-related applications. Each chapter concludes with exercises and projects, allowing the reader to monitor progress by reviewing what has been discussed and writing code based on those concepts.

  • New C++ syntax, language features and libraries
  • Building flexible lattice models using the domain architecture approach
  • Detailed discussion of PDE/Finite Difference Method for European and American option pricing
  • C++ Concurrency, multithreading and parallel libraries for multi-core CPUs and GPUs
  • Numerical solution of stochastic differential equations and Monte Carlo option pricing
  • Optimal use of the combined object-oriented, template and functional programming styles

Introduction to C++ for Financial Engineers, Second Edition assembles many of the design and language features to help you create flexible and maintainable applications.

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From the Back Cover:

The object-oriented programming language C++ is the de facto standard for developing real-life applications for Quantitative Finance and Financial Engineering. This language was designed by Dr. Bjarne Stroustup in the early 1990’s and it has become one of the most popular and robust languages for many important areas such as medical systems, computer graphics, telecommunications and in application areas where performance, accuracy and interoperability issues play a key role. The general expectation is that its importance will grow in the coming years.

C++ has also become the de facto standard for quant development and analysis. Knowledge of C++ is mandatory for many openings and job positions in Quantitative Finance. This book is the first book that discusses many of the issues that you need to know in order to be able to design and implement real-world applications. We focus on a number of critical topics:

  • Learning the essential syntax of C++ ('getting the fundamentals right')
  • Designing and implementing generic data structures using STL
  • Numerous applications (lattices, finite difference, Monte Carlo, etc)
  • Libraries, design patterns (GOF, POSA) and reusable software frameworks
  • Introduction to COM and C++ to Excel interoperability

Each chapter deals with one major topic. Furthermore, each chapter builds only on the results of the chapters preceding it, so that we keep the amount of forward referencing to a minimum. We discuss all the syntax that is discussed in the IT books and we apply it to QF applications. This book is self-contained and we advise its use in combination with the well-known standard reference work by Dr. Stroustrup.

Last, but not least, each chapter concludes with exercises and projects to test what you learned in that chapter. The exercises are based on the tactic: 'get it working, then get it right, then get it optimised'. Furthermore, these exercises will also hopefully prepare you for your job interviews!

Included with the book is a companion website with all source code, including working code for lattice, finite difference and Monte Carlo methods for one-factor and two-factor pricing models as well as an easy-to-use C++ visualization package to help you examine the output from these numerical methods.

From the Inside Flap:

"Duffy has successfully plugged a huge gap in the market by producing a wonderfully written introductory book, in a pedagogic – making mathematical modelling in C++ accessible to a large audience. As a teacher of C++, I will be strongly recommending this book to anyone interested in applying C++ to Quantitative Finance."
Riaz Ahmad, 7city Learning Ltd

"Finally, the book I wish I had had when I first started studying the C++ programming language. This witty, clean and comprehensive guide is a must-have for the would-be quant and a precious reference for the practitioner in quantitative finance. After completing the reading, you will earn a ‘black belt’ in C++ for financial engineering."
Michele L. Baldini, Global Equity Linked Products | Quantitative Analytics, Merrill Lynch & Co

"It seems that C++ is here to stay – but not as the easiest language to master. Daniel Duffy has been there and done that for a few decades, and now he shares his expertise. In this book, he takes the reader to the black belt level – i.e., the level at which one can start learning advanced C++ techniques and best practices."
Luigi Ballabio (co-creator of QuantLib)

"Among the vast C++ and quantitative finance literature there is a surprising dearth of material on their intersection – on quantfin-specific numerical methods using C++ and design patterns. Daniel Duffy’s new book Introduction to C++ for Financial Engineers nicely fills this vacuum and should prove to be a valuable resource for students and professionals looking to learn or enhance their C++ skills."
Christopher Merrill, University of Chicago Program on Financial Mathematics

"Out of the plethora of books introducing C++ this book simply stands out by the clear exposure of the language and the practicality of its examples. For any student or practitioner that learns or wants to improve his knowledge of this powerful programming language widely used in the business world of finance Dr. Duffy's book is highly recommended."
Valentin D. Ghita, MSc Student, Baruch College, CUNY

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