C++ Design Patterns and Derivatives Pricing

by Mark S. Joshi

Newly updated second edition and now in paperback! This is the first book on implementing financial models using object-oriented C++. 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++.

Genres: Finance, Programming, Computer Science

310 pages, Kindle Edition

First published September 6, 2004

Reviews

[Jack · Rating 1 out of 5]

The "design patterns" were only used for trivial examples. The book spends a good bit of time explaining basic C++ (things anyone who has read and understood Stroustrup's "The C++ Programming Language" will be very familiar with), but defers nearly all explanation of the pricing models described to other texts. This didn't seem like it was writen by someone who had actually built a real derivatives trading system in C++.

[Daniel · Rating 4 out of 5]

Not bad; goes through MC pricer, whilst progressively introducing more advanced C++ concepts.

[Draganka · Rating 5 out of 5]

One of the best books on practical programming for finance.