To become a proficient software developer, it is essential that you understand the basic algorithms used in your application area. This is especially applicable to financial derivatives, where some basic problems and algorithms are recurring. In this chapter, I examine some common algorithms encountered in C++ applications for analyzing and processing options and derivatives.
Some of the basic algorithms in this area involve recurring tasks such as time series processing, date and time handling, and data access and storage. While these algorithms are useful in most ...
