Practical C++ Financial Programming is a hands-on book for programmers wanting to apply C++ to programming problems in the financial industry. The book explains those aspects of the language that are more frequently used in writing financial software, including the STL, templates, and various numerical libraries. The book also describes many of the important problems in financial engineering that are part of the day-to-day work of financial programmers in large investment banks and hedge funds. The author has extensive experience in the New York City financial industry that is now distilled into this handy guide.
Focus is on providing working solutions for common programming problems. Examples are plentiful and provide value in the form of ready-to-use solutions that you can immediately apply in your day-to-day work. You'll learn to design efficient, numerical classes for use in finance, as well as to use those classes provided by Boost and other libraries. You'll see examples ofmatrix manipulations, curve fitting, histogram generation, numerical integration, and differential equation analysis, and you'll learn how all these techniques can be applied to some of the most common areas of financial software development. These areas include performance price forecasting, optimizing investment portfolios, and more. The book style is quick and to-the-point, delivering a refreshing view of what one needs to master in order to thrive as a C++ programmer in the financial industry.
Covers aspects of C++ especially relevant to financial programming.
Provides working solutions to commonly-encountered problems in finance.
Delivers in a refreshing and easy style with a strong focus on the practical.
Problems in Fixed-Income Markets
Problems in Equity Markets
Programming Techniques in Finance
Common Libraries for Financial Code
Designing Numerical Classes
Plotting Financial Data
Calculating Roots of Equations
Solving Partial Differential Equations
Monte Carlo Methods for Equity markets
Extending Financial Libraries
C++ with R and Octave
Appendix A: C++14 Features