Introduction to C++ – ebook

Description

Introduction to C++ for Financial Engineers, An object-oriented approach by Daniel J. Duffy

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).

This book is a thorough introduction to C++ and how to use it to write non-trivial and
robust applications in Quantitative Finance. Some special features of the book are:
A full discussion of C++ syntax (as described in Stroustrup, 1997) Advanced topics in C++: memory management, exceptions, templates and RTTI An introduction to data structures and Complexity Analysis
The Standard Template Library (STL) and its applications to Quantitative Finance
Introduction to Design Patterns and integration into Quantitative Finance applications
Creating real applications for derivative pricing.

Working source code for all chapters and applications Exercises for every chapter
After having read this book, studied the code and done the exercises you will be in a position
to appreciate how to use C++ for Quantitative Finance.