C++ Design Patterns and Derivatives Pricing

by M. S. Joshi

• ISBN13: 9780521721622
• ISBN10: 0521721628
• Edition: 2nd
• Format: Paperback
• Copyright: 2008-06-09
• Publisher: Cambridge University Press
• More Book Details

Summary

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++.

Table of Contents

Preface

A simple Monte Carlo model

Encapsulation

Inheritance and virtual functions

Bridging with a virtual constructor

Strategies, decoration and statistics

A random numbers class

An exotics engine and the template pattern

Trees

Solvers, templates and implied volatilities

The factory

Design patterns revisited

The situation in 2007

Exceptions

Templatizing the factory

Interfacing with EXCEL

Decoupling

Black-Scholes formulas

Distribution functions

A simple array class

The code

Bibliography

Index

Table of Contents provided by Publisher. All Rights Reserved.