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Practical C++ Financial Programming by Carlos Oliveira

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CHAPTER 16

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Using C++ with R and Maxima

One of the advantages of code implemented in C++ is that it can be used as part of native libraries or stand-alone applications and also integrated as a component of other development and modeling environments. In the financial industry, for instance, it is common to have lower-level modules implemented in C++, with high-level analysis being performed in more user-oriented environments such as Excel, Mathematica, Matlab, Maxima, R, and Octave.

When using a high-level data analysis environments, it is crucial to have numeric results that are identical to the ones achieved in native code and to access the ...

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