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Financial Instrument Pricing Using C++

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One of the best languages for the development of financial engineering and instrument pricing applications is C++. This book has s... Weiterlesen
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Beschreibung

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

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

Autorentext
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

Inhalt

1 Executive Overview of this Book 1

1.1 What is this book? 1

1.2 What's special about this book? 1

1.3 Who is this book for? 2

1.4 Software requirements 3

1.5 The structure of this book 4

1.6 Pedagogical approach 5

1.7 What this book is not 6

1.8 Source code on the CD 6

PART I TEMPLATE PROGRAMMING IN C++

2 A Gentle Introduction to Templates in C++ 9

2.1 Introduction and objectives 9

2.2 Motivation and background 10

2.3 Defining a template 11

2.3.1 An example 13

2.4 Template instantiation 15

2.5 Function templates 16

2.5.1 An example 17

2.6 Default values and typedefs 18

2.7 Guidelines when implementing templates 18

2.8 Conclusions and summary 19

3 An Introduction to the Standard Template Library 20

3.1 Introduction and objectives 20

3.2 A Bird's-eye view of STL 20

3.3 Sequence containers 23

3.4 Associative containers 27

3.5 Iterators in STL 30

3.6 Algorithms 33

3.7 Using STL for financial instruments 35

3.8 Conclusions and summary 35

4 STL for Financial Engineering Applications 36

4.1 Introduction and objectives 36

4.2 Clever data structures 36

4.3 Set theory and STL 40

4.4 Useful algorithms 43

4.5 STL adaptor containers 45

4.6 Conclusions and summary 46

5 The Property Pattern in Financial Engineering 47

5.1 Introduction and objectives 47

5.2 The Property pattern 47

5.3 An example 51

5.4 Extending the Property pattern: property sets and property lists 52

5.5 Properties and exotic options 57

5.6 Conclusions and summary 59

PART II BUILDING BLOCK CLASSES

6 Arrays, Vectors and Matrices 63

6.1 Introduction and objectives 63

6.2 Motivation and background 64

6.3 A layered approach 66

6.4 The Array and Matrix classes in detail 66

6.5 The Vector and NumericMatrix classes in detail 72

6.6 Associative arrays and matrices 74

6.7 Conclusions and summary 77

7 Arrays and Matrix Properties 78

7.1 Introduction and objectives 78

7.2 An overview of the functionality 78

7.3 Software requirements 79

7.4 The core processes 80

7.5 Other function categories 85

7.6 Using the functions 87

7.7 An introduction to exception handling 88

7.8 Conclusions and summary 90

8 Numerical Linear Algebra 91

8.1 Introduction and objectives 91

8.2 An introduction to numerical linear algebra 91

8.3 Tridiagonal systems 94

8.4 Block tridiagonal systems 99

8.5 What requirements should our matrix satisfy? 101

8.6 Conclusions and summary 102

9 Modelling Functions in C++ 103

9.1 Introduction and objectives 103

9.2 Function pointers in C++ 103

9.3 Function objects in STL 106

9.4 Some function types 109

9.5 Creating your own function classes 111

9.6 Arrays of functions 114

9.7 Vector functions 115

9.8 Real-valued functions 115

9.9 Vector-valued functions 116

9.10 Conclusions and summary 116

10 C++ Classes for Statistical Distributions 117

10.1 Introduction and objectives 117

10.2 Discrete and continuous probability distribution functions 117

10.3 Continuous distributions 119

10.4 Discrete distributions 124

10.5 Tests 127

10.6 Conclusions and summary 128

PART III ORDINARY AND STOCHASTIC DIFFERENTIAL EQUATIONS

11 Numerical Solution of Initial Value Problems: Fundamentals 131

11.1 Introduction and objectives 131

11.2 A model problem 132

11.3 Discretisation 133

11.4 Common schemes 134

11.5 Some theoretical issues 136

11.6 Fitting: Special schemes for difficult problems 137

11.7 Non-linear scalar problems and predictorcorrector methods 138

11.8 Extrapolation techniques 139

11.9 C++ design and implementation 140

11.10 Generalisations 143

11.11 Conclusions and summary 144

12 Stochastic Processes and Stochastic Differential Equations 145

12.1 Introduction and objectives 145

12.2 Random variables and random processes 145

12.3 An introduction to stochastic differential equations 151

12.4 Some finite difference schemes 152

12.5 Which scheme to use? 153

12.6 Systems of SDEs 154

12.7 Conclusions and summary 154

13 Two-Point Boundary Value Problems 155

13.1 Introduction and objectives 155

13.2 Description of problem 155

13.3 (Traditional) centred-difference schemes 157

13.4 Approximation of the boundary conditions 158

13.5 Exponentially fitted schemes and convectiondiffusion 160...

Produktinformationen

Titel: Financial Instrument Pricing Using C++
Autor:
EAN: 9781118856475
ISBN: 978-1-118-85647-5
Digitaler Kopierschutz: Adobe-DRM
Format: E-Book (epub)
Herausgeber: Wiley
Genre: Betriebswirtschaft
Anzahl Seiten: 432
Veröffentlichung: 23.10.2013
Jahr: 2013
Untertitel: Englisch
Dateigrösse: 4.3 MB