Financial instrument pricing Using C++. (2015)

• Record Type: Book
• Further Information: Note: Daniel J. Duffy.
• Authors: Duffy, Daniel J
• Contents: CHAPTER 1 A Tour of C++ and Environs 1 1.1 Introduction and Objectives 1 1.2 What is C++? 1 1.3 C++ as a Multiparadigm Programming Language 2 1.4 The Structure and Contents of this Book: Overview 4 1.5 A Tour of C++11: Black–Scholes and Environs 6 1.6 Parallel Programming in C++ and Parallel C++ Libraries 12 1.7 Writing C++ Applications; Where and How to Start? 14 1.8 For whom is this Book Intended? 16 1.9 Next-Generation Design and Design Patterns in C++ 16 1.10 Some Useful Guidelines and Developer Folklore 17 1.11 About the Author 18 1.12 The Source Code and Getting the Source Code 19 CHAPTER 2 New and Improved C++ Fundamentals 21 2.1 Introduction and Objectives 21 2.2 The C++ Smart Pointers 21 2.3 Using Smart Pointers in Code 23 2.4 Extended Examples of Smart Pointers Usage 30 2.5 Move Semantics and Rvalue References 34 2.6 Other Bits and Pieces: Usability Enhancements 39 2.7 Summary and Conclusions 52 2.8 Exercises and Projects 52 CHAPTER 3 Modelling Functions in C++ 59 3.1 Introduction and Objectives 59 3.2 Analysing and Classifying Functions 60 3.3 New Functionality in C++: std::function<> 64 3.4 New Functionality in C++: Lambda Functions and Lambda Expressions 65 3.5 Callable Objects 69 3.6 Function Adapters and Binders 70 3.7 Application Areas 75 3.8 An Example: Strategy Pattern New Style 75 3.9 Migrating from Traditional Object-Oriented Solutions: Numerical Quadrature 78 3.10 Summary and Conclusions 81 3.11 Exercises and Projects 82 CHAPTER 4 Advanced C++ Template Programming 89 4.1 Introduction and Objectives 89 4.2 Preliminaries 91 4.3 decltype Specifier 94 4.4 Life Before and After decltype 101 4.5 std::result_of and SFINAE 106 4.6 std::enable_if 108 4.7 Boost enable_if 112 4.8 std::decay()Trait 114 4.9 A Small Application: Quantities and Units 115 4.10 Conclusions and Summary 118 4.11 Exercises and Projects 118 CHAPTER 5 Tuples in C++ and their Applications 123 5.1 Introduction and Objectives 123 5.2 An std:pair Refresher and New Extensions 123 5.3 Mathematical and Computer Science Background 128 5.4 Tuple Fundamentals and Simple Examples 130 5.5 Advanced Tuples 130 5.6 Using Tuples in Code 133 5.7 Other Related Libraries 138 5.8 Tuples and Run-Time Efficiency 140 5.9 Advantages and Applications of Tuples 142 5.10 Summary and Conclusions 143 5.11 Exercises and Projects 143 CHAPTER 6 Type Traits, Advanced Lambdas and Multiparadigm Design in C++ 147 6.1 Introduction and Objectives 147 6.2 Some Building Blocks 149 6.3 C++ Type Traits 150 6.4 Initial Examples of Type Traits 158 6.5 Generic Lambdas 161 6.6 How Useful will Generic Lambda Functions be in the Future? 164 6.7 Generalised Lambda Capture 171 6.7.1 Living Without Generalised Lambda Capture 173 6.8 Application to Stochastic Differential Equations 174 6.9 Emerging Multiparadigm Design Patterns: Summary 178 6.10 Summary and Conclusions 179 6.11 Exercises and Projects 179 CHAPTER 7 Multiparadigm Design in C++ 185 7.1 Introduction and Objectives 185 7.2 Modelling and Design 185 7.3 Low-Level C++ Design of Classes 190 7.4 Shades of Polymorphism 199 7.5 Is there More to Life than Inheritance? 206 7.6 An Introduction to Object-Oriented Software Metrics 207 7.7 Summary and Conclusions 210 7.8 Exercises and Projects 210 CHAPTER 8 C++ Numerics, IEEE 754 and Boost C++ Multiprecision 215 8.1 Introduction and Objectives 215 8.2 Floating-Point Decomposition Functions in C++ 219 8.3 A Tour of std::numeric_limits 221 8.4 An Introduction to Error Analysis 223 8.5 Example: Numerical Quadrature 224 8.6 Other Useful Mathematical Functions in C++ 228 8.7 Creating C++ Libraries 231 8.8 Summary and Conclusions 239 8.9 Exercises and Projects 239 CHAPTER 9 An Introduction to Unified Software Design 245 9.1 Introduction and Objectives 245 9.1.1 Future Predictions and Expectations 246 9.2 Background 247 9.3 System Scoping and Initial Decomposition 251 9.4 Checklist and Looking Back 259 9.5 Variants of the Software Process: Policy-Based Design 260 9.6 Using Policy-Based Design for the DVM Problem 268 9.7 Advantages of Uniform Design Approach 273 9.8 Summary and Conclusions 274 9.9 Exercises and Projects 275 CHAPTER 10 New Data Types, Containers and Algorithms in C++ and Boost C++ Libraries 283 10.1 Introduction and Objectives 283 10.2 Overview of New Features 283 10.3 C++ std::bitset and Boost Dynamic Bitset Library 284 10.4 Chrono Library 288 10.5 Boost Date and Time 301 10.6 Forwards Lists and Compile-Time Arrays 306 10.7 Applications of Boost.Array 311 10.8 Boost uBLAS (Matrix Library) 313 10.9 Vectors 316 10.10 Matrices 318 10.11 Applying uBLAS: Solving Linear Systems of Equations 322 10.12 Summary and Conclusions 330 10.13 Exercises and Projects 331 CHAPTER 11 Lattice Models Fundamental Data Structures and Algorithms 333 11.1 Introduction and Objectives 333 11.2 Background and Current Approaches to Lattice Modelling 334 11.3 New Requirements and Use Cases 335 11.4 A New Design Approach: A Layered Approach 335 11.5 Initial ‘101’ Examples of Option Pricing 347 11.6 Advantages of Software Layering 349 11.7 Improving Efficiency and Reliability 352 11.8 Merging Lattices 355 11.9 Summary and Conclusions 357 11.10 Exercises and Projects 357 CHAPTER 12 Lattice Models Applications to Computational Finance 367 12.1 Introduction and Objectives 367 12.2 Stress Testing the Lattice Data Structures 368 12.3 Option Pricing Using Bernoulli Paths 372 12.4 Binomial Model for Assets with Dividends 374 12.5 Computing Option Sensitivities 377 12.6 (Quick) Numerical Analysis of the Binomial Method 379 12.7 Richardson Extrapolation with Binomial Lattices 382 12.8 Two-Dimensional Binomial Method 382 12.9 Trinomial Model of the Asset Price 384 12.10 Stability and Convergence of the Trinomial Method 385 12.11 Explicit Finite Difference Method 386 12.12 Summary and Conclusions 389 12.13 Exercises and Projects 389 CHAPTER 13 Numerical Linear Algebra: Tridiagonal Systems and Applications 395 13.1 Introduction and Objectives 395 13.2 Solving Tridiagonal Matrix Systems 395 13.3 The Crank-Nicolson and Theta Methods 406 13.4 The ADE Method for the Impatient 411 13.5 Cubic Spline Interpolation 415 13.6 Some Handy Utilities 427 13.7 Summary and Conclusions 428 13.8 Exercises and Projects 429 CHAPTER 14 Data Visualisation in Excel 433 14.1 Introduction and Objectives 433 14.2 The Structure of Excel-Related Objects 433 14.3 Sanity Check: Is the Excel Infrastructure Up and Running? 435 14.4 ExcelDriver and Matrices 437 14.5 ExcelDriver and Vectors 444 14.6 Path Generation for Stochastic Differential Equations 448 14.7 Summary and Conclusions 459 14.8 Exercises and Projects 459 14.9 Appendix: COM Architecture Overview 463 14.10 An Example 468 <p&gt
• Edition: Second edition
• Publisher Details: Hoboken, New Jersey : John Wiley & Sons, Inc
• Publication Date: 2015
• Extent: 1 online resource
• Subjects: 332.602855133; C++ (Computer program language); Financial instruments -- Costs -- Data processing; Financial engineering
• Languages: English
• ISBNs: 9781119170488
• Related ISBNs: 9781119170495
• Notes: Note: Description based on CIP data; resource not viewed.
• Access Rights: Legal Deposit; Only available on premises controlled by the deposit library and to one user at any one time; The Legal Deposit Libraries (Non-Print Works) Regulations (UK).
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