Financial Instrument Pricing Using C++.

1 online resource (434 pages)

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Financial Instrument Pricing Using C++; Contents; 1 Executive Overview of this Book; 1.1 What is this book?; 1.2 What's special about this book?; 1.3 Who is this book for?; 1.4 Software requirements; 1.5 The structure of this book; 1.6 Pedagogical approach; 1.7 What this book is not; 1.8 Source code on the CD; PART I TEMPLATE PROGRAMMING IN C++; 2 A Gentle Introduction to Templates in C++; 2.1 Introduction and objectives; 2.2 Motivation and background; 2.3 Defining a template; 2.3.1 An example; 2.4 Template instantiation; 2.5 Function templates; 2.5.1 An example

2.6 Default values and typedefs2.7 Guidelines when implementing templates; 2.8 Conclusions and summary; 3 An Introduction to the Standard Template Library; 3.1 Introduction and objectives; 3.1.1 Why use STL?; 3.2 A Bird's-eye view of STL; 3.3 Sequence containers; 3.3.1 Programming lists; 3.3.2 Vectors and arrays in STL; 3.4 Associative containers; 3.4.1 Sets in STL; 3.4.2 Maps in STL; 3.5 Iterators in STL; 3.5.1 What kinds of iterators?; 3.6 Algorithms; 3.7 Using STL for financial instruments; 3.8 Conclusions and summary; 4 STL for Financial Engineering Applications

4.1 Introduction and objectives4.2 Clever data structures; 4.2.1 A simple output mechanism; 4.3 Set theory and STL; 4.4 Useful algorithms; 4.5 STL adaptor containers; 4.6 Conclusions and summary; 5 The Property Pattern in Financial Engineering; 5.1 Introduction and objectives; 5.2 The Property pattern; 5.2.1 Requirements for a Property pattern; 5.3 An example; 5.4 Extending the Property pattern: property sets and property lists; 5.4.1 An example; 5.5 Properties and exotic options; 5.5.1 Example: Executive options; 5.6 Conclusions and summary; PART II BUILDING BLOCK CLASSES

6 Arrays, Vectors and Matrices6.1 Introduction and objectives; 6.2 Motivation and background; 6.3 A layered approach; 6.4 The Array and Matrix classes in detail; 6.4.1 Simple print functions; 6.4.2 Array example; 6.4.3 Matrix example; 6.5 The Vector and NumericMatrix classes in detail; 6.5.1 Vector example; 6.5.2 NumericMatrix example; 6.6 Associative arrays and matrices; 6.7 Conclusions and summary; 7 Arrays and Matrix Properties; 7.1 Introduction and objectives; 7.2 An overview of the functionality; 7.3 Software requirements; 7.3.1 Accuracy; 7.3.2 Efficiency; 7.3.3 Reliability

7.3.4 Understandability7.4 The core processes; 7.4.1 Interactions between matrices and vectors; 7.4.2 Some examples; 7.5 Other function categories; 7.5.1 Measures of central tendency; 7.5.2 Measures of dispersion; 7.5.3 Moments, skewness, kurtosis; 7.5.4 Inequalities; 7.6 Using the functions; 7.6.1 Calculating historical volatility; 7.6.2 Variance of return of a portfolio; 7.7 An introduction to exception handling; 7.7.1 Try, throw and catch: A bit like tennis; 7.8 Conclusions and summary; 8 Numerical Linear Algebra; 8.1 Introduction and objectives

8.2 An introduction to numerical linear algebra

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