C++ Design Patterns and Derivatives Pricing

Front Cover
Cambridge University Press, May 22, 2008 - Business & Economics - 292 pages
Newly updated second edition and now in paperback! This is the first book on implementing financial models using object-oriented C++. Assuming only a basic knowledge of C++ and mathematical finance, the reader learns how to produce well-designed, structured, reusable code via carefully-chosen examples. This new edition includes several new chapters covering topics of increasing robustness in the presence of exceptions, designing a generic factory, interfacing C++ with EXCEL, and improving code design using the idea of decoupling. Complete ANSI/ISO compatible C++ source code is hosted on an accompanying website for the reader to study in detail, and reuse as they see fit. Whether you are a student of financial mathematics, a working quantitative analyst or financial mathematician, you need this book. Offering practical steps for implementing pricing models for complex financial products, it will transform your understanding of how to use C++.
 

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User Review  - sthitha_pragjna - LibraryThing

I wish there had been more books like this, a good medium between practical problem solving and design patterns for the derivative professional. Most other design books take watered down examples to solve. Read full review

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A very good introduction for an advanced level self-learners. Some basics of design and principles. Why not? Great!

Contents

1 A simple Monte Carlo model
1
2 Encapsulation
13
3 Inheritance and virtual functions
23
4 Bridging with a virtual constructor
38
5 Strategies decoration and statistics
66
6 A random numbers class
83
7 An exotics engine and the template pattern
103
8 Trees
121
13 Exceptions
179
14 Templatizing the factory
197
15 Interfacing with EXCEL
244
16 Decoupling
256
Appendix A BlackScholes formulas
266
Appendix B Distribution functions
270
Appendix C A simple array class
274
Appendix D The code
285

9 Solvers templates and implied volatilities
141
10 The factory
157
11 Design patterns revisited
168
12 The situation in 2007
174
Appendix E Glossary
286
Bibliography
287
Index
289
Copyright

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Popular passages

Page 287 - J. Vlissides, Design Patterns: Elements of Reusable Object-Oriented Software, Addison-Wesley, 1995.
Page 288 - BP Flannery, Numerical Recipes in C. Second Edition, Cambridge University Press, 1992.
Page 287 - Press, 1999. [3] T. Bjork, Arbitrage Theory in Continuous Time, Oxford University Press, 1998. [4] S.

About the author (2008)

Mark S. Joshi is an Associate Professor in the Centre for Actuarial Studies at the University of Melbourne.

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