Options and Derivatives Programming in C++: Algorithms and Programming Techniques for the Financial Industry

Index

A

1. add function

2. addObserver function

3. Algorithms, STL

   1. concepts

   2. copying container data

   3. find_if function

   4. finding elements

   5. find_value function

   6. option data

      1. is_expiring

      2. StandardOption

      3. syntax

   7. sort function

      1. compute frequency

      2. date class

      3. date object

      4. frequency_test

      5. functional operator

      6. list

      7. vector count

   8. types

B

1. Basic Linear Algebra Subprograms (BLAS)

2. Bernoulli distribution

3. Bind function

   1. SimpleOption class

   2. std::bind function

   3. std::plus function

4. Binomial model

   1. algorithm

   2. American-style option

   3. binomial tree

   4. call option price

   5. expressions

   6. implementation

5. Black-Scholes-Merton equations

6. BlackScholesMethod class

   1. header file

   2. implementation file

7. Black-Scholes model

   1. BlackScholesMethod class

   2. forward method

   3. parameters

   4. PDE

8. buildAdjacencyMatrix function

C

1. Call_greater_than_100 function

2. CDSSolver ...