Book description
Practical C++ Financial Programming is a handson book for programmers wanting to apply C++ to programming problems in the financial industry. The book explains those aspects of the language that are more frequently used in writing financial software, including the STL, templates, and various numerical libraries. The book also describes many of the important problems in financial engineering that are part of the daytoday work of financial programmers in large investment banks and hedge funds. The author has extensive experience in the New York City financial industry that is now distilled into this handy guide.
Focus is on providing working solutions for common programming problems. Examples are plentiful and provide value in the form of readytouse solutions that you can immediately apply in your daytoday work. You’ll learn to design efficient, numerical classes for use in finance, as well as to use those classes provided by Boost and other libraries. You’ll see examples of matrix manipulations, curve fitting, histogram generation, numerical integration, and differential equation analysis, and you’ll learn how all these techniques can be applied to some of the most common areas of financial software development. These areas include performance price forecasting, optimizing investment portfolios, and more. The book style is quick and tothepoint, delivering a refreshing view of what one needs to master in order to thrive as a C++ programmer in the financial industry.
Table of contents
 Cover
 Title
 Copyright
 Dedication
 Contents at a Glance
 Contents
 About the Author
 About the Technical Reviewer
 Acknowledgments
 Introduction
 Chapter 1: The Fixed Income Market
 Chapter 2: The Equities Market
 Chapter 3: C++ Programming Techniques in Finance
 Chapter 4: Common Libraries for Financial Applications
 Chapter 5: Designing Numerical Classes
 Chapter 6: Plotting Financial Data
 Chapter 7: Linear Algebra
 Chapter 8: Interpolation
 Chapter 9: Calculating Roots of Equations
 Chapter 10: Numerical Integration
 Chapter 11: Solving ODEs and PDEs
 Chapter 12: Optimization
 Chapter 13: Asset and Portfolio Optimization
 Chapter 14: Monte Carlo Methods
 Chapter 15: Extending Financial Libraries
 Chapter 16: Using C++ with R and Maxima
 Chapter 17: Multithreading

Appendix A: C++11/14 Features
 Automatic Type Detection
 Lambdas
 UserDefined Literals
 Rangebased for
 Rvalue References
 New Function Declarator Syntax and Decltype
 Delegating Constructors
 Inheriting Constructors
 Generalized Attributes
 Generalized Constant Expressions
 Null Pointer Constant
 Defaulted and Deleted Member Functions
 RightAngle Brackets
 Initializer Lists
 Index
Product information
 Title: Practical C++ Financial Programming
 Author(s):
 Release date: March 2015
 Publisher(s): Apress
 ISBN: 9781430267164
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