C++ Design Patterns and Derivatives Pricing

by Mark S. Joshi

• ISBN13: 9780521832359
• ISBN10: 0521832357
• Format: Hardcover
• Copyright: 2004-09-06
• Publisher: Cambridge University Press
• More Book Details
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Summary

Design patterns are the cutting-edge paradigm for programming in object-oriented languages. Here they are discussed, for the first time in a book, in the context of implementing financial models in C++. Assuming only a basic knowledge of C++ and mathematical finance, the reader is taught how to produce well-designed, structured, re-usable code via concrete examples. Each example is treated in depth, with the whys and wherefores of the chosen method of solution critically examined. Part of the book is devoted to designing re-usable components that are then put together to build a Monte Carlo pricer for path-dependent exotic options. Advanced topics treated include the factory pattern, the singleton pattern and the decorator pattern. Complete ANSI/ISO-compatible C++ source code is included on a CD for the reader to study and re-use and so develop the skills needed to implement financial models with object-oriented programs and become a working financial engineer. Please note the CD supplied with this book is platform-dependent and PC users will not be able to use the files without manual intervention in order to remove extraneous characters. Cambridge University Press apologises for this error. Machine readable files for all users can be obtained from www.markjoshi.com/design.

Table of Contents

Preface

1. A simple Monte Carlo model

2. Encapsulation

3. Inheritance and virtual functions

4. Bridging with a virtual constructor

5. Strategies, decoration and statistics

6. A random numbers class

7. An exotics engine and the template pattern

8. Trees

9. Solvers, templates and implied vols

10. The factory

11. Design patterns revisited

Appendix A. Black-Scholes formulas

Appendix B. Distribution functions

Appendix C. A simple array class

Appendix D. The code

Bibliography.