Learning Modern C++ for Finance

Chapter 9. The Boost Libraries

The Boost libraries, as noted on the official website, are “free peer-reviewed portable C++ source libraries…​that work well with the C++ Standard Library.” They are open source libraries released under the Boost Software License, which allows their use in other libraries, systems, and applications—including commercial use—“with minimal restrictions.” This chapter covers Boost libraries (such as the Boost Math Toolkit) that can be useful in financial and other quantitative applications. Other Boost libraries—​not necessarily mathematical—​that lend themselves well to these disciplines are also covered.

A fair amount of the content in Boost libraries has found its way into C++ Standard Library implementations. As stated in the documentation, Boost authors “aim to establish existing practice and provide reference implementations so that Boost libraries are suitable for eventual standardization.” This is not to say everything in Boost is destined for inclusion in the Standard Library, and it should be noted there can be differences in content and implementation, as well as authorship, with respect to the Boost features that have been incorporated into modern C++.

Table 9-1 provides a list of C++ libraries and language features discussed in previous chapters that can be traced to earlier implementations in Boost.

We will first look at two features in the Boost Math Toolkit library: mathematical constants and statistical distributions. Although mathematical ...