Financial Instrument Pricing Using C++ (Hardcover)

Daniel J. Duffy

ISBN 10: 0470855096 / ISBN 13: 9780470855096

Published by John Wiley & Sons Inc, New York, 2004

About this Item

Hardcover. 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 financeCreating your own template classes and functionsReusable data structures for vectors, matrices and tensorsClasses for numerical analysis (numerical linear algebra ?)Solving the Black Scholes equations, exact and approximate solutionsImplementing the Finite Difference Method in C++Integration with the ?Gang of Four? Design PatternsInterfacing with Excel (output and Add-Ins)Financial engineering and XMLCash 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 One of the best languages for the development of financial engineering and instrument pricing applications is C++. This book offers several features that allow developers to write software systems. It employs modern software engineering techniques to produce industrial-strength applications. Shipping may be from multiple locations in the US or from the UK, depending on stock availability.

Seller Inventory # 9780470855096

Bibliographic Details

• Title: Financial Instrument Pricing Using C++ (Hardcover)
• Publisher: John Wiley & Sons Inc, New York
• Publication Date: 2004
• Language: English
• ISBN 10: 0470855096
• ISBN 13: 9780470855096
• Binding: Hardcover
• Edition: 1st Edition
• Condition: new

About this title

Synopsis

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
• 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

About the Author

Daniel Duffy works for Datasim, an Amsterdam-based trainer and software developer (www.datasim-component.com, www.datasim.nl). He has been working in IT since 1979 and with object-oriented technology since 1987. He received his MSc and PhD theses (in numerical analysis) from Trinity College, Dublin. His current interests are in the modelling of financial instruments using numerical methods (for example, finite difference method) and C++. He can be contacted at dduffy@datasim.nl