Financial Instrument Pricing Using C++ (The Wiley Finance Series) [Hardcover]

Daniel J. Duffy (Author)

Book Description

Series: The Wiley Finance Series | Publication Date: August 30, 2004

One of the best languages for the development of financial engineering and instrument pricing applications is C++. This book has several features that allow developers to write robust, flexible and extensible software systems. The book is an ANSI/ISO standard, fully object-oriented and interfaces with many third-party applications. It has support for templates and generic programming, massive reusability using templates (?write once?) and support for legacy C applications.

In this book, author Daniel J. Duffy brings C++ to the next level by applying it to the design and implementation of classes, libraries and applications for option and derivative pricing models. He employs modern software engineering techniques to produce industrial-strength applications:

• Using the Standard Template Library (STL) in finance
• Creating your own template classes and functions
• Reusable data structures for vectors, matrices and tensors
• Classes for numerical analysis (numerical linear algebra ?)
• Solving the Black Scholes equations, exact and approximate solutions
• Implementing the Finite Difference Method in C++
• Integration with the ?Gang of Four? Design Patterns
• Interfacing with Excel (output and Add-Ins)
• Financial engineering and XML
• Cash flow and yield curves

Included with the book is a CD containing the source code in the Datasim Financial Toolkit. You can use this to get up to speed with your C++ applications by reusing existing classes and libraries.

'Unique... Let's all give a warm welcome to modern pricing tools.'
-- Paul Wilmott, mathematician, author and fund manager

Editorial Reviews

From the Back Cover

One of the best languages for the development of financial engineering and instrument pricing applications is C++. It has several features that allow developers to write robust, flexible and extensible software systems. It is an ANSI/ISO standard, fully object-oriented and interfaces with many third-party applications. It has support for templates and generic programming, massive reusability using templates (‘write once’) and support for legacy C applications.

In this book we bring C++ to the next level by applying it to the design and implementation of classes, libraries and applications for option and derivative pricing models. We employ modern software engineering techniques to produce industrial-strength applications: -

• Using the Standard Template Library (STL) in finance
• Creating your own template classes and functions
• Reusable data structures for vectors, matrices and tensors
• Classes for numerical analysis (numerical linear algebra …)
• Solving the Black Scholes equations, exact and approximate solutions
• Implementing the Finite Difference Method in C++
• Integration with the ‘Gang of Four’ Design Patterns
• Interfacing with Excel (output and Add-Ins)
• Financial engineering and XML
• Cash flow and yield curves

Included with the book is a CD containing the source code in the Datasim Financial Toolkit that you can use directly. This will get you up to speed with your C++ applications by reusing existing classes and libraries.

'Unique... Let's all give a warm welcome to modern pricing tools.' Paul Wilmott, mathematician, author and fund manager

About the Author

Daniel Duffy works for Datasim, an Amsterdam-based trainer and software developer (www.datasim-component.com, www.datasim.nl). He has been working in IT since 1979 and with object-oriented technology since 1987. He received his MSc and PhD theses (in numerical analysis) from Trinity College, Dublin. His current interests are in the modelling of financial instruments using numerical methods (for example, finite difference method) and C++. He can be contacted at [e-mail]

Product Details

• Hardcover: 432 pages
• Publisher: Wiley (August 30, 2004)
• Language: English
• ISBN-10: 0470855096
• ISBN-13: 978-0470855096
• Product Dimensions: 9.9 x 6.7 x 1.2 inches
• Shipping Weight: 2.3 pounds (View shipping rates and policies)
• Average Customer Review: 3.3 out of 5 stars  See all reviews (10 customer reviews)
• Amazon Best Sellers Rank: #1,071,298 in Books (See Top 100 in Books)

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Customer Reviews

Most Helpful Customer Reviews

28 of 28 people found the following review helpful:

1.0 out of 5 stars Utter shambles, August 16, 2007

By 

Jim Cicon "Financial Programmer" (Columbia, MO) - See all my reviews

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This review is from: Financial Instrument Pricing Using C++ (The Wiley Finance Series) (Hardcover)

The code is a real mess. Source files are missing, class member variables not defined, calls made to misspelled functions, basic syntax errors. Here are a few of the problems I have run into:
- Missing Source Files:: BVPmechanisms.hpp. So files like BVPSOlver.cpp can't compile
- Undefined members variables: AssocArray::contents. Can't build without it
- Basic syntax errors: (if ass2 == this). Should be if(ass2 == this)
- Incorrect function calls: standardDeviation(). Should be standardDeviation(x)

Aside from all the kindergarten errors, the author over uses templates to such an extent that simple routines are hopelessly obfuscated.

I think he built it on an old version of Visual C++. This is because the code fails to build on modern compilers with tighter error checking.

I have no idea why the other guys love this book so much, they must never have tried to build any of the examples in it ... which is weird because the whole reason I bought the book was to begin building a library of financial tools.

46 of 55 people found the following review helpful:

5.0 out of 5 stars The best book in c++ instrument pricing, period., September 29, 2004

By 

A Senior Programmer (New York, NY) - See all my reviews

This review is from: Financial Instrument Pricing Using C++ (The Wiley Finance Series) (Hardcover)

Let me just say that I have a few financial modelling books, from Dr. Brooks to Mr. Joshi, and this is the best book by far. It clearly explain how to price a particular instruments using this poweful language. The book uses Standard Template Language (STL), by doing so your code are more readable and much faster. If I only had this book a few years back. Now I must say this book is for C++ programmers and Quants you really need to know C++ from beginning to end, templates, pointers, references, classes or that stuff you need it. This is the only book that comes with working code, it doesn't matter what type of compiler you have the code in the CD will work. Mr. Duffy explains how to model one factor and two factor Black-Scholes equations using finite differences, options(vanilla, exotic),interest rate and much more. The CD even comes with an Excel driver to transfer your data to Excel. Quant superstar Justin London is coming with his new book in a few months, and that book might over take this one, but as of right now this is the best C++ financial pricing book around. You can't go wrong with this one.

22 of 25 people found the following review helpful:

5.0 out of 5 stars Computational Finance made efficient, September 24, 2005

By 

Gaurav Saroliya - See all my reviews
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This review is from: Financial Instrument Pricing Using C++ (The Wiley Finance Series) (Hardcover)

This book encapsulates all that is wonderful about OOP and shows how generic programming techniques (based on the STL) can be effectively applied to financial engineering and numerical analytic problems. The book requires only a first-course level knowledge of C++ (at the level of for example Ivor Horton's Beginning C++) and a first course level knowledge of Financial Mathematics (at the level of for example John Hull's masterpiece) and takes the reader on an entertaining journey through the basics of the STL and the applications of STL constructs to computational-financial and numerical-analytic problems, especially those relating to the numerical solution of partial differential equations. Also, the author makes a persuasive case for finite-difference methods and deals with a few subtleties of the Crank-Nicholson algorithm. For best results, it should be read along with a decent book on the Standard Library (for example the one by Nicolai Josuttis). Overall, it's a pleasure to read and learn from, on a par with Mark Joshi's little design-patterns volume, and more detailed!