Modern Computational Finance

CHAPTER 2Modern C++

C++ was thoroughly modernized in 2011 with the addition of a plethora of features and constructs borrowed from more recent programming languages. As a result, C++ kept its identity as the language of choice for programming close to the metal, high-performance software in demanding contexts, and at the same time, adapted to the demands of modern hardware, adopted modern programming idioms borrowed from the field of functional programming, and incorporated useful constructs into its syntax and standard library that were previously available only from third party libraries.

The major innovation is the new Standard Threading Library, which is explored in the next chapter. Since we are using new C++11 constructs in the rest of the text, this chapter selectively introduces some particularly useful innovations. A more complete picture can be found online or in up-to-date C++ textbooks. Readers familiar with C++11 may easily skip this chapter.

2.1 LAMBDA EXPRESSIONS

One of the most useful features in C++11, borrowed from the field of functional programming, is the ability to define anonymous function objects on the fly with the lambda syntax like in:

The new auto keyword provides automatic type deduction, which is particularly useful with lambdas that produce a different compiler-generated type for every lambda declaration. A lambda declaration starts with a capture ...