C++ Design Patterns and Derivatives Pricing

Name: C++ Design Patterns and Derivatives Pricing
Price: 38.25 USD
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ISBN: 9780521721622

ISBN-10: 0521721628

ISBN-13: 9780521721622

Edition: 2nd 2008

Authors: M. S. Joshi

List price: $80.99

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Description:

Design patterns are the cutting-edge paradigm for programming in C++, and they are here discussed in depth using examples from financial mathematics. Assuming only a basic knowledge of C++ and mathematical finance, the reader learns how to produce well-designed, structured, reusable code via carefully-chosen examples. This new edition includes several new chapters covering topics of increasing robustness in the presence of exceptions, designing a generic factory, interfacing C++ with EXCEL, and improving code design using the idea of decoupling. Complete ANSI/ISO compatible C++ source code is hosted on an accompanying website for the reader to study in detail, and reuse as they see fit.…

Book details

List price: $80.99
Edition: 2nd
Copyright year: 2008
Publisher: Cambridge University Press
Publication date: 5/22/2008
Binding: Paperback
Pages: 306
Size: 6.85" wide x 9.72" long x 0.63" tall
Weight: 1.430
Language: English

Mark S. Joshi is an Associate Professor in the Centre for Actuarial Studies at the University of Melbourne.



Preface



A simple Monte Carlo model



Encapsulation



Inheritance and virtual functions



Bridging with a virtual constructor



Strategies, decoration and statistics



A random numbers class



An exotics engine and the template pattern



Trees



Solvers, templates and implied volatilities



The factory



Design patterns revisited



The situation in 2007



Exceptions



Templatizing the factory



Interfacing with EXCEL



Decoupling



Black-Scholes formulas



Distribution functions



A simple array class



The code


Bibliography


Index