Using carefully-chosen examples, this book explains how to create well-designed, structured, reusable code, particularly for financial applications. New chapters explain interfacing C++ with EXCEL, designing a generic factory, and improving code design with decoupling. Complete ANSI/ISO compatible C++ source code is hosted on an accompanying web site.
Using carefully-chosen examples, this book explains how to create well-designed, structured, reusable code, particularly for financial applications. New chapters explain interfacing C++ with EXCEL, designing a generic factory, and improving code design with decoupling. Complete ANSI/ISO compatible C++ source code is hosted on an accompanying web site.
Mark S. Joshi is an Associate Professor in the Centre for Actuarial Studies at the University of Melbourne.
Inhaltsangabe
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.
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.
Rezensionen
'This is a short book, but an elegant one. It would serve as an excellent course text for a course on the practical aspects of mathematical finance.' International Statistical Institute
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