Introduction to C++ for Financial Engineers

<p>0 Goals of this Book and Global Overview 1</p>
<p>PART I C++ ESSENTIAL SKILLS 5</p>
<p>1 Introduction to C++ and Quantitative Finance 7</p>
<p>2 The Mechanics of C++: from Source Code to a Running Program 15</p>
<p>3 C++ Fundamentals and My First Option Class 31</p>
<p>4 Creating Robust Classes 49</p>
<p>5 Operator Overloading in C++ 63</p>
<p>6 Memory Management in C++ 79</p>
<p>7 Functions, Namespaces and Introduction to Inheritance 93</p>
<p>8 Advanced Inheritance and Payoff Class Hierarchies 113</p>
<p>9 Run–Time Behaviour in C++ 133</p>
<p>10 An Introduction to C++ Templates 153</p>
<p>PART II DATA STRUCTURES, TEMPLATES AND PATTERNS 167</p>
<p>11 Introduction to Generic Data Structures and Standard Template Library (STL) 169</p>
<p>12 Creating Simpler Interfaces to STL for QF Applications 187</p>
<p>13 Data Structures for Financial Engineering Applications 203</p>
<p>14 An Introduction to Design Patterns 223</p>
<p>PART III QF APPLICATIONS 243</p>
<p>15 Programming the Binomial Method in C++ 245</p>
<p>16 Implementing One–Factor Black Scholes in C++ 265</p>
<p>17 Two–Factor Option Pricing: Basket and Other Multi–Asset Options 283</p>
<p>18 Useful C++ Classes for Numerical Analysis Applications in Finance 305</p>
<p>19 Other Numerical Methods in Quantitative Finance 315</p>
<p>20 The Monte Carlo Method Theory and C++ Frameworks 327<br />Dr. Joerg Kieritz and Daniel J. Duffy</p>
<p>21 Skills Development: from White Belt to Black Belt 345</p>
<p>21.1 Introduction and objectives 345</p>
<p>PART IV BACKGROUND INFORMATION 351</p>
<p>22 Basic C Survival Guide 353</p>
<p>23 Advanced C Syntax 363</p>
<p>24 Datasim Visualisation Package in Excel: Drivers and Mechanisms 373</p>
<p>25 Motivating COM and Emulation in C++ 391</p>
<p>26 COM Fundamentals 401</p>
<p>References 407</p>
<p>Index 409</p>