The New Way C++ Does Computational Finance

The goal of Financial Instrument Pricing Using C++, Second Edition, is to apply modern C++ language and design features to the creation of efficient and robust applications. This book not only documents these developments, but also highlights the advantages for the quant developer:

• Comprehensive and detailed exposition of improved and new C++ syntax; extensive examples and application code
• Using C++11 libraries for random number generation, concurrency, STL and more
• Overhaul of object-oriented design patterns and porting them to a multiparadigm programming model
• IEEE 754 and multiprecision; interfacing C++ with .NET and C#
• Modern PDE/FDM: ADE; Soviet Splitting and Method of Lines, (Parallel) Monte Carlo and lattice methods
• Support for numerical libraries
• Machine-readable code

Daniel Duffy used a spiral model approach in writing each chapter of this book: analyse a little, design a little, and code a little. Each cycle ends with a working prototype in C++ and shows how a given algorithm or numerical method works. Additionally, each chapter contains non-trivial exercises and projects that discuss improvements and extensions to the material. This book is for designers and application developers in computational finance, and assumes the reader has some fundamental experience of C++ and derivatives pricing.