Hedge Fund Modelling and Analysis

Preface

This book is a practical introduction to modelling and analysing hedge funds using the C++ programming language. The structure of the book is as follows. Chapter 1 gives an overview of the C++ syntax in enough detail to approach the material covered in the technical chapters. Chapter 1 also introduces the concept of object oriented programming which allow us to build large and complex programs that can be broken down into smaller self-contained reusable code units known as classes. We will develop a series of classes throughout the book to tackle many of the problems encountered. Please note that this book is not intended to be an exhaustive exploration of C++ to solve problems in modelling and analysing hedge fund data. In addition, C++ is used to facilitate the solution of such problems through object oriented programming methods and various details highlighted as and when necessary.

Chapters 2 and 3 give an update of the current state of the global hedge fund industry and a detailed look at the primary data sources available to hedge fund managers and analysts. With this fundamental knowledge in place, Chapters 4–7 cover the more quantitative and theoretical material needed to effectively analyse a series of hedge fund returns and extract the relevant information required in order to make critical investment decisions.

C++ Source Code

Throughout the book there are numerous C++ source boxes (e.g., Source 2.4) typically listing the AClass.h, AClass.cpp, and main.cpp ...