Learning Modern C++ for Finance

Chapter 1. An Overview of C++

This chapter presents an overview of C++, beginning with a brief history—including its early popularity in quantitative finance—and the start of its modern era marked by major enhancements in 2011, released as C++11. Prior to C++11, the last release was in 2003 (C++03), which was an update mainly addressing bug fixes following the first C++ release that was compliant with the International Organization of Standardization (ISO) in 1998 (C++98). The modernization that began with C++11 has continued with further innovations added to the core language, and its companion, the C++ Standard Library, every three years, bringing us to the current C++23 version.

You will also be introduced to useful new language features that will be used in subsequent chapters, as well as convenient math-related updates to the Standard Library. Finally, we will look at common class, function, and variable naming conventions, and point out those that will be used throughout this book.

C++ and Quantitative Finance

C++ started its rapid growth in the financial sector around the mid-1990s. Many of us who were in the industry around this time had been raised on Fortran, which was used for writing numerical routines and scientific applications. While Fortran and its supporting libraries (BLAS, LAPACK, IMSL) were well-developed in terms of mathematical and linear algebra support, the language lacked support for object-oriented programming, the inclusion of which was considered C++’s ...