Book description
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 of matrix 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.
Table of contents
- Cover
- Title
- Copyright
- Dedication
- Contents at a Glance
- Contents
- About the Author
- About the Technical Reviewer
- Acknowledgments
- Introduction
- Chapter 1: The Fixed Income Market
- Chapter 2: The Equities Market
- Chapter 3: C++ Programming Techniques in Finance
- Chapter 4: Common Libraries for Financial Applications
- Chapter 5: Designing Numerical Classes
- Chapter 6: Plotting Financial Data
- Chapter 7: Linear Algebra
- Chapter 8: Interpolation
- Chapter 9: Calculating Roots of Equations
- Chapter 10: Numerical Integration
- Chapter 11: Solving ODEs and PDEs
- Chapter 12: Optimization
- Chapter 13: Asset and Portfolio Optimization
- Chapter 14: Monte Carlo Methods
- Chapter 15: Extending Financial Libraries
- Chapter 16: Using C++ with R and Maxima
- Chapter 17: Multithreading
-
Appendix A: C++11/14 Features
- Automatic Type Detection
- Lambdas
- User-Defined Literals
- Range-based for
- Rvalue References
- New Function Declarator Syntax and Decltype
- Delegating Constructors
- Inheriting Constructors
- Generalized Attributes
- Generalized Constant Expressions
- Null Pointer Constant
- Defaulted and Deleted Member Functions
- Right-Angle Brackets
- Initializer Lists
- Index
Product information
- Title: Practical C++ Financial Programming
- Author(s):
- Release date: March 2015
- Publisher(s): Apress
- ISBN: 9781430267164
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