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Financial Instrument Pricing Using C++ by Daniel J. Duffy
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    • Product code: 17081
    • ISBN: 0470855096, ISBN13: 9780470855096, 432 pages, hardback
      Published by John Wiley & Sons on 2004 , 1st
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    Description of Financial Instrument Pricing Using C++

    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; and, 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.

    Contents of Financial Instrument Pricing Using C++

    PART I: TEMPLATE PROGRAMMING IN C++

    1. Executive Overview of this Book
    2. A Gentle Introduction to Templates in C++
    3. An Introduction to the Standard Template Library (STL)
    4. STL for Financial Engineering Applications
    5. The Property Pattern in Financial Engineering


    PART II: BUILDING BLOCK CLASSES

    6. Array, Vectors and Matrices
    7. Arrays and Matrix Properties
    8. Numerical Linear Algebra
    9. Modelling Functions in C++
    10. C++ Classes for Statistical Distribution


    PART III: ORDINARY AND STOCHASTIC DIFFERENTIAL EQUATIONS

    11. Numerical Solution of Initial Value Problems: Fundamentals
    12. Stochastic Processes and Stochastic Differential Equations (SDE)
    13. Two-point Boundary Value Problems
    14. Matrix Iterative Methods


    PART IV: PROGRAMMING THE BLACK SCHOLES ENVIRONMENT

    15. An Overview of Computational Finance
    16. Introducing Finite Difference Schemes for Black Scholes: A Gentle Introduction
    17. Implicit Finite Difference Schemes for Black Scholes
    18. Special Schemes for Plain and Exotic Options
    19. My First Finite Difference Solver
    20. An Introduction to ADI and Splitting Schemes
    21. Numerical Approximation of Two-Factor Derivative Models


    PART V: DESIGN PATTERNS

    23. Object Creational Patterns
    24. Object Structural Patterns
    25. Object Behavioural Patterns


    PART VI: DESIGN AND DEPLOYMENT ISSUES

    26. An Introduction to Extensible Markup Language (XML)
    27. Advanced XML and Programming Interface
    28. Interfacing C++ and Excel
    29. Advanced Excel Interfacing
    30. An Extended Application: Option Strategies and Portfolios

    Appendices
    References

    About Daniel J. Duffy

    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
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