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
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