Financial Modeling Using C++ (+ CD)

A detailed look at developing real-world financial models using C++ This book, designed for self-study, reference, and classroom use, outlines a comprehensive approach to creating both simple and advanced financial models using C++. Author and modeling expert Chandan Sengupta covers programming, the C++ language, and financial modeling from the ground up-assuming no prior knowledge in these areas-and shows through numerous examples how to combine these skills with financial theory and mathematics to develop practical financial models. Since C++ is the computer language used most often to develop large-scale financial models and systems, readers will find this work-which includes a CD-ROM containing the models and codes from the book-an essential asset in their current modeling endeavors. Chandan Sengupta (White Plains, NY) teaches finance in the MBA program at the Fordham University Graduate School of Business. He is also the author of Financial Modeling Using Excel and VBA (0-471-26768-6). Contents 8 1. Introduction 12 Part One: Essential C++ 16 2. Overview of Programming and C++ 18 3. A First Look at C++ 26 4. Variables, Constants, and Arrays 42 Variables 42 Constants 50 Arrays 53 5. Operators 60 The Assignment Operator 60 Arithmetic Operators 61 Relational Operators 67 Logical Operators 68 The Reference Operator (&) 71 Operator Precedence 71 6. Inputs and Outputs 76 Outputs Using cout 77 Inputs Using cin 81 File Input and Output 85 7. Program Flow Control: Branching 94 Decision-Making Statements 95 Jump Statements 111 Programming Workshop 112 8. Program Flow Control: Looping 130 Looping 135 Programming Workshop 153 9. Functions 192 Creating and Using Simple Functions 193 Programming Workshop 221 10. Strings 236 string type Variables 236 C-style Strings 243 11. Pointers 250 12. Debugging 278 Compile Time Errors 279 Runtime Errors 281 Part Two: Modeling Using Essential C++ 286 13. The Model Development Process 288 14. Time Value of Money 294 Review of Theory and Concepts 294 Modeling Examples 312 15. Options and the Black-Scholes Model 368 Review of Theory and Concepts 368 Modeling Examples 378 16. Binomial Trees 414 Review of Theory and Concepts 414 Modeling Examples 418 17. Simulations 446 Review of Theory and Concepts 446 Modeling Examples 456 Part Three: Modeling Using Advanced C++ 480 18. Overview of Advanced C++ 482 19. Class and Encapsulation 486 Modeling Examples 511 20. Inheritance 524 21. Polymorphism 534 22. Templates and Vectors 544 Templates 545 The Standard Template Library (STL) 551 Vectors 552 Appendix A: C++ Keywords 562 Appendix B: Selected Standard Library Functions 563 Recommended Books 564 About the CD-ROM 566 Index 568 Overview Of Programming And C++ -- A First Look At C++ -- Variables, Constants, And Arrays -- Operators -- Inputs And Outputs -- Program Flow Control: Branching -- Program Flow Control : Looping -- Functions -- Strings -- Pointers -- Debugging -- The Model Development Process -- Time Value Of Money -- Options And The Black-scholes Model -- Binomial Trees -- Simulations -- Overview Of Advanced C++ -- Class And Encapsulation -- Inheritance -- Polymorphism -- Templates And Vectors. Chandan Sengupta. Includes Index. Includes Bibliographical References And Index. Master And Use Copy. Digital Master Created According To Benchmark For Faithful Digital Reproductions Of Monographs And Serials, Version 1. Digital Library Federation, December 2002. Http://purl.oclc.org/dlf/benchrepro0212 Miaahdl Mode Of Access: World Wide Web.