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Quantitative Finance by Erik Schlogl

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Chapter 2

Basic building blocks

Learning the language elements is only the first step toward using C++ to implement quantitative models in finance. Many of the basic building blocks for an implementation are already available in well-tested code libraries, making it unnecessary to “reinvent the wheel,” as the saying goes. This allows us to concentrate on the task of financial model implementation at a higher level, selectively using existing solutions where re-implementation would not add value in terms of the object–oriented approach to financial modelling adopted in this book. While there are certainly useful commercial C++ libraries produced by various vendors, we will focus on those that are freely available, either as part of the C++ Standard ...

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