Hedge Fund Modelling and Analysis

CHAPTER 1 Essential C++

This chapter covers the fundamental requirements necessary to allow the reader to get up and running building quantitative models using the C++ programming language. This introduction is in no way intended to be an in-depth treatment of the C++ programming language but more an overview of the basics required to build your own efficient and adaptable programs. Once the key concepts have been developed, object-oriented principles are introduced and many of the advantages of building quantitative systems using such programming approaches are outlined. It is assumed that the reader will have some prerequisite knowledge of a low-level programming language and the necessary computation skills to effectively grasp and apply the material presented here.

1.1 A Brief History of C and C++

C is a procedural¹ programming language developed at Bell Laboratories between 1969 and 1973 for the UNIX operating system. Early versions of C were known as K&R C after the publication of the book The C Programming Language written by Brian Kernighan and Dennis Ritchie in 1978. However, as the language developed and became more standardised, a version known as ANSI² C became more prominent. Although C is no longer the choice of many developers, there is still a huge amount of legacy software coded in it that is actively maintained. Indeed, C has greatly influenced other programming languages, in particular C++ which began purely as an extension of C.

Often described as a