Introduction to C++ for Financial Engineers with CD: An Object-Oriented Approach / Edition 1

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"Duffy has successfully plugged a huge gap in the market by producing a wonderfully written introductory book, in a pedagogic – making mathematical modelling in C++ accessible to a large audience. As a teacher of C++, I will be strongly recommending this book to anyone interested in applying C++ to Quantitative Finance."
Riaz Ahmad, 7city Learning Ltd

"Finally, the book I wish I had had when I first started studying the C++ programming language. This witty, clean and comprehensive guide is a must-have for the would-be quant and a precious reference for the practitioner in quantitative finance. After completing the reading, you will earn a ‘black belt’ in C++ for financial engineering."
Michele L. Baldini, Global Equity Linked Products | Quantitative Analytics, Merrill Lynch & Co

"It seems that C++ is here to stay – but not as the easiest language to master. Daniel Duffy has been there and done that for a few decades, and now he shares his expertise. In this book, he takes the reader to the black belt level – i.e., the level at which one can start learning advanced C++ techniques and best practices."
Luigi Ballabio (co-creator of QuantLib)

"Among the vast C++ and quantitative finance literature there is a surprising dearth of material on their intersection – on quantfin-specific numerical methods using C++ and design patterns. Daniel Duffy’s new book Introduction to C++ for Financial Engineers nicely fills this vacuum and should prove to be a valuable resource for students and professionals looking to learn or enhance their C++ skills."
Christopher Merrill, University of Chicago Program on Financial Mathematics

"Out of the plethora of books introducing C++ this book simply stands out by the clear exposure of the language and the practicality of its examples. For any student or practitioner that learns or wants to improve his knowledge of this powerful programming language widely used in the business world of finance Dr. Duffy's book is highly recommended."
Valentin D. Ghita, MSc Student, Baruch College, CUNY

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Product Details

  • ISBN-13: 9780470015384
  • Publisher: Wiley
  • Publication date: 12/5/2006
  • Series: Wiley Finance Series, #404
  • Edition description: BK&CD-ROM
  • Edition number: 1
  • Pages: 438
  • Product dimensions: 6.97 (w) x 9.98 (h) x 1.23 (d)

Meet the Author

DANIEL J. DUFFY has been involved in software development projects using C++ and object-oriented design techniques since 1988. He organized the first C++ course in the Netherlands in 1989 and has worked on a variety of C++ projects in areas such as computer graphics, optical technology, process control and quantitative finance systems. In 1993 he worked on an early version of a large object-oriented system for derivatives’ pricing and hedging models. He is designer/trainer and has trained mote than 2000 C++ developers in recent years.
A companion book to the current one is "Financial instrument pricing using C++" (Wiley 2004). Since 1996 he has written seven books on object-oriented design and programming. Daniel Duffy has a Phd in Numerical Analysis from Trinity College Dublin. He lives in the Netherlands with his wife Ilona and son Brendan.
He can be contacted at

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Table of Contents

0 Goals of this Book and Global Overview 1


1 Introduction to C++ and Quantitative Finance 7

2 The Mechanics of C++: from Source Code to a Running Program 15

3 C++ Fundamentals and My First Option Class 31

4 Creating Robust Classes 49

5 Operator Overloading in C++ 63

6 Memory Management in C++ 79

7 Functions, Namespaces and Introduction to Inheritance 93

8 Advanced Inheritance and Payoff Class Hierarchies 113

9 Run-Time Behaviour in C++ 133

10 An Introduction to C++ Templates 153


11 Introduction to Generic Data Structures and Standard Template Library (STL) 169

12 Creating Simpler Interfaces to STL for QF Applications 187

13 Data Structures for Financial Engineering Applications 203

14 An Introduction to Design Patterns 223


15 Programming the Binomial Method in C++ 245

16 Implementing One-Factor Black Scholes in C++ 265

17 Two-Factor Option Pricing: Basket and Other Multi-Asset Options 283

18 Useful C++ Classes for Numerical Analysis Applications in Finance 305

19 Other Numerical Methods in Quantitative Finance 315

20 The Monte Carlo Method Theory and C++ Frameworks 327
Dr. Joerg Kieritz and Daniel J. Duffy

21 Skills Development: from White Belt to Black Belt 345

21.1 Introduction and objectives 345


22 Basic C Survival Guide 353

23 Advanced C Syntax 363

24 Datasim Visualisation Package in Excel: Drivers and Mechanisms 373

25 Motivating COM and Emulation in C++ 391

26 COM Fundamentals 401

References 407

Index 409

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