One of the best languages for the development of financialengineering and instrument pricing applications is C++. This bookhas several features that allow developers to write robust,flexible and extensible software systems. The book is an ANSI/ISOstandard, fully object-oriented and interfaces with manythird-party applications. It has support for templates and genericprogramming, massive reusability using templates (?write once?) andsupport for legacy C applications.
In this book, author Daniel J. Duffy brings C++ to the nextlevel by applying it to the design and implementation of classes,libraries and applications for option and derivative pricingmodels. He employs modern software engineering techniques toproduce 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 approximatesolutions
* 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 theDatasim Financial Toolkit. You can use this to get up to speed withyour C++ applications by reusing existing classes andlibraries.
'Unique... Let's all give a warm welcome to modern pricingtools.'
-- Paul Wilmott, mathematician, author and fund manager