introduction to c++ for financial engineers an object-oriented approach

1 Introduction to C++ and Quantitative Finance
In this chapter we give an overview of the C++ programming language, its relationship with Quantitative Finance (QF) and why C++ is suitable for complex applications in this domain.
2 The Mechanics of C++: from Source Code to a Running Program
In this chapter we introduce the C++ language by defining just enough syntax to allow us to create and run simple programs.
3 C++ Fundamentals and My First Option Class
In this chapter we design and implement our first real working C++ code. Our goal is to model a European option by a C++ class.
4 Creating Robust Classes
In chapter three we coded a simple class in C++ using the syntax that we had introduced in that chapter.
5 Operator Overloading in C++
In this chapter we introduce a useful mechanism called operator overloading.
6 Memory Management in C++
In this chapter we introduce the important and thorny issue of memory management in C++.
7 Functions, Namespaces and Introduction to Inheritance
We introduce three newC++concepts in this chapter.
8 Advanced Inheritance and Payoff Class Hierarchies
In this chapter we introduce some advanced features of the inheritance mechanism in C++.
9 Run-Time Behaviour in C++
In this chapter we introduce C++ functionality that allows us to query objects at run-time.
10 An Introduction to C++ Templates
C++ was the first mainstream object-oriented language to support the generic programming paradigm.
11 Introduction to Generic Data Structures and Standard Template Library (STL)
In this chapter we give an overview of the Standard Template Library (STL).
12 Creating Simpler Interfaces to STL for QF Applications
In the previous chapterwegave an introduction to the theory of data structures andwegave some examples of sequential (or linear) data containers, such as list and vector.
13 Data Structures for Financial Engineering Applications
In this chapter we introduce a number of data structures and data containers that we use in applications.
14 An Introduction to Design Patterns
In this chapter we give an introduction to the famous Design Patterns of the ‘Gang of Four’and their applications to QF.
15 Programming the Binomial Method in C++
In this chapter we design and implement a set of C++ classes for pricing options and other derivative products with the help of the binomial method.
16 Implementing One-Factor Black Scholes in C++
In this chapter we design and implement the one-factor Black Scholes equation using finite difference methods.
17 Two-Factor Option Pricing: Basket and Other Multi-Asset Options
In this chapter we apply the finite difference method to the class of so-called correlation options.
18 Useful C++ Classes for Numerical Analysis Applications in Finance
In this chapter we give an introduction to some techniques in numerical analysis because they are needed in quantitative finance applications.
19 Other Numerical Methods in Quantitative Finance
In this chapter we discuss a number of important issues that are related to the pricing of derivatives, notably options and interest rates using the trinomial method.
20 The Monte Carlo Method Theory and C++ Frameworks
In this chapter we introduce the Monte Carlo simulation method and its application to the pricing of financial derivatives.
21 Skills Development: from White Belt to Black Belt
In this chapter we summarise a number of issues pertaining to the design and implementation of libraries, algorithms and applications for use in Quantitative Finance.
22 Basic C Survival Guide
This chapter concentrates on the basics of C and it may be skipped if you are a proficient C programmer.
23 Advanced C Syntax
In this chapter we continue from Chapter 22 with a more in-depth discussion of C syntax.
24 Datasim Visualisation Package in Excel: Drivers and Mechanisms
In this chapter we describe and document a small library of C++ classes and functions that present the results of a numerical scheme in a form that is easily understood and comprehended.
25 Motivating COM and Emulation in C++
In this chapter we discuss a number of techniques in C++ that are useful to know if we are to understand interface programming in general and COM in particular.
26 COM Fundamentals
In this chapter we introduce COM. In particular, we discuss interfaces in COM, how to define them and how to use them in simple applications.

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