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Financial Instrument Pricing Using C++ - Wiley Finance Series (Hardback)
  • Financial Instrument Pricing Using C++ - Wiley Finance Series (Hardback)
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Financial Instrument Pricing Using C++ - Wiley Finance Series (Hardback)

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£95.00
Hardback 432 Pages / Published: 29/06/2004
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One of the best languages for the development of financial engineering and instrument pricing applications is C++. This book has several features that allow developers to write robust, flexible and extensible software systems. The book is an ANSI/ISO standard, fully object-oriented and interfaces with many third-party applications. It has support for templates and generic programming, massive reusability using templates ('write once') and support for legacy C applications. In this book, author Daniel J. Duffy brings C++ to the next level by applying it to the design and implementation of classes, libraries and applications for option and derivative pricing models.He employs modern software engineering techniques to produce 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 approximate solutions; 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; and, cash flow and yield curves. Included with the book is a CD containing the source code in the Datasim Financial Toolkit. You can use this to get up to speed with your C++ applications by reusing existing classes and libraries. 'Unique...Let's all give a warm welcome to modern pricing tools' - Paul Wilmott, mathematician, author and fund manager.

Publisher: John Wiley and Sons Ltd
ISBN: 9780470855096
Number of pages: 432
Weight: 992 g
Dimensions: 253 x 179 x 31 mm

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