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