C++ design patterns and derivatives pricing
著者
書誌事項
C++ design patterns and derivatives pricing
（Mathematics, finance, and risk / editorial board, Mark Broadie ... [et al.]）
Cambridge University Press, 2008
2nd ed
- : pbk
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注記
Includes bibliographical references (p. 287-288) and index
内容説明・目次
内容説明
Design patterns are the cutting-edge paradigm for programming in C++, and they are here discussed in depth using examples from financial mathematics. Assuming only a basic knowledge of C++ and mathematical finance, the reader learns how to produce well-designed, structured, reusable code via carefully-chosen examples. This new edition includes several new chapters covering topics of increasing robustness in the presence of exceptions, designing a generic factory, interfacing C++ with EXCEL, and improving code design using the idea of decoupling. Complete ANSI/ISO compatible C++ source code is hosted on an accompanying website for the reader to study in detail, and reuse as they see fit. Whether you are a student of financial mathematics, a working quantitative analyst or financial mathematician, you need this book. Offering practical steps for implementing pricing models for complex financial products, it will transform your understanding of how to use C++.
目次
- Preface
- 1. A simple Monte Carlo model
- 2. Encapsulation
- 3. Inheritance and virtual functions
- 4. Bridging with a virtual constructor
- 5. Strategies, decoration and statistics
- 6. A random numbers class
- 7. An exotics engine and the template pattern
- 8. Trees
- 9. Solvers, templates and implied volatilities
- 10. The factory
- 11. Design patterns revisited
- 12. The situation in 2007
- 13. Exceptions
- 14. Templatizing the factory
- 15. Interfacing with EXCEL
- 16. Decoupling
- A. Black-Scholes formulas
- B. Distribution functions
- C. A simple array class
- D. The code
- Bibliography
- Index.
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