C++ for Financial Mathematics (Chapman and Hall/CRC Financial Mathematics Series)

If you know a little bit about financial mathematics but don’t yet know a lot about programming, then C++ for Financial Mathematics is for you. C++ is an essential skill for many jobs in quantitative finance, but learning it can be a daunting prospect. This book gathers together everything you need to know to price derivatives in C++ without unnecessary complexities or technicalities. It leads the reader step-by-step from programming novice to writing a sophisticated and flexible financial mathematics library. At every step, each new idea is motivated and illustrated with concrete financial examples. As employers understand, there is more to programming than knowing a computer language. As well as covering the core language features of C++, this book teaches the skills needed to write truly high quality software. These include topics such as unit tests, debugging, design patterns and data structures. The book teaches everything you need to know to solve realistic financial problems in C++. It can be used for self-study or as a textbook for an advanced undergraduate or master’s level course. Cover -- Half Title -- Title Page -- Copyright Page -- Contents -- Introduction -- 1 Getting Started -- 1.1 Installing your development environment -- 1.1.1 For Windows -- 1.1.2 For Unix -- 1.1.3 For MacOS X -- 1.2 Running an example program -- 1.3 Compiling and running the code -- 1.3.1 Compiling on Windows -- 1.3.2 Compiling on Unix -- 1.4 Understanding the example code -- 1.5 Configuring the compiler -- 1.6 Making decisions -- 1.7 Exercises -- 1.8 Summary -- 2 Basic Data Types and Operators -- 2.1 Memory terminology -- 2.2 Basic data types -- 2.2.1 Integers -- 2.2.2 Floating point numbers -- 2.2.3 Booleans -- 2.2.4 Characters -- 2.3 Casting -- 2.4 Memory addresses -- 2.5 Operators -- 2.5.1 The sizeof operator -- 2.5.2 Mathematical operations -- 2.5.3 Comparison operators -- 2.5.4 Logical operators -- 2.5.5 Bitwise operators -- 2.5.6 Combining operators -- 2.5.7 Assignment operators -- 2.5.8 If statements revisited -- 2.6 Summary -- 3 Functions -- 3.1 The C++ function syntax -- 3.2 Recursion -- 3.3 Libraries -- 3.4 Declaring and defining functions -- 3.5 Functions that don't return a value -- 3.6 Specifying default values -- 3.7 Overloading functions -- 3.8 Global and local variables -- 3.9 Namespaces -- 3.10 Summary -- 4 Flow of Control -- 4.1 while loops -- 4.2 do-while loops -- 4.3 for loops -- 4.4 break, continue, return -- 4.5 throw statements -- 4.6 switch statements -- 4.7 Scope -- 4.8 Flow of control in operators -- 4.8.1 Short circuit evaluation -- 4.8.2 The ternary operator -- 4.8.3 The comma operator -- 4.9 Summary -- 5 Working with Multiple Files -- 5.1 The project FMLib -- 5.2 Header files -- 5.3 Creating our project -- 5.3.1 Creating the first header file -- 5.3.2 Some code that uses the functions -- 5.3.3 Write the definitions -- 5.4 How header files work -- 5.4.1 The meaning of include -- 5.4.2 Pragma once