Practical C++ Financial Programming

by Carlos Arménio da Silva Oliveira

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. 

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.

Genres: Programming

398 pages, Kindle Edition

First published February 18, 2015

About the author

Licenciado em Relações Internacionais desde 2016 e atualmente a frequentar o Mestrado em Direito dos Negócios Europeu e Transnacional, na Universidade do Minho, desde tenra idade que Carlos Oliveira mantém um gosto especial pela literatura, em particular pela escrita de livros de fantasia/ficção.

Esse gosto revelar-se-ia ao longo da sua vida, como assíduo leitor de livros bem como na escrita de textos e composições durante o ensino escolar. Porém, devido a uma fase traumática de bullying no seu 7º ano, deixa de frequentar bibliotecas e, consequentemente, perde o gosto por ler. Só a partir do secundário é que volta a escrever, principalmente histórias curtas em fóruns e, influenciado por J.K. Rowling, inicia uma história que nunca viria a acabar, acerca de um jovem que contacta com magia durante a sua adolescência. No final do 12º ano, escreve um poema para um concurso nacional, mas sendo já tarde o prazo de candidatura, a sua professora de português decide inscrever, contra a sua vontade, o poema no concurso escolar, onde acaba por ficar em 2º lugar.

Posteriormente, entra para a universidade e passa a dedicar-se inteiramente à vida académica, colocando de parte a escrita. Com a finalização do curso, passa por um largo período de aborrecimento durante as férias de verão e uma enorme vontade de colocar em prática os conhecimentos adquiridos na licenciatura, razões pela qual decide começar a escrever "Ditocracia".

Para esse projeto, iniciado em Junho de 2016 e prolongado até Outubro de 2017, viria a dedicar mais de 500 horas de escrita nos seus textos, com cerca de 6 revisões gerais do livro (entre outras pequenas revisões) e a leitura de dezenas de livros, artigos científicos, blogues pessoais e textos informativos que o ajudaram no processo de escrita. Finaliza a obra em Outubro de 2017, e após tratar da capa e de outros elementos técnicos com Filipa Paiva, publica "Ditocracia" com a Bubok Portugal.

Reviews

[Value Investor · Rating 3 out of 5]

Pretty mediocre, you can use AI to translate the many Python implementations of these basic financial concepts to C++ if you want.

[Stefan · Rating 3 out of 5]

Rather rudimentary, but concise and to the point introduction to what you might need to know applying for an internship at a financial institution that insist that you should know some C++ (but doesn't actually test it). Strangely it covers integration with Lua or drawing graphs in Qt, but doesn't tackle Excel or even data store access. Additionally, except MC (at push), you would probably do most tasks in Python nowadays anyway. C+11/14 futures were mentioned in appendix, but I don't think you would learn from that description how to apply these in a bigger project (if you already don't know C++ quite well). The last, i.e. design of bigger systems, which is where practical knowledge is needed somehow doesn't seem to be mentioned even in passing. Overall, I guess I should have quick read it before I've committed to it :-/

[Razvan · Rating 4 out of 5]

It's a good book from C/C++ perspective, I was looking at this book as a candidate for a textbook. I'm not selecting it, since it does not cover comprehensively the language. The book provides a lot of examples of mathematical problems, also it demonstrate the connection to well known libraries (BLAS, Boost and STL) however it does not demonstrate the integration with existing financial, trading or ERP systems.