Practical C++20 Financial Programming : Problem Solving for Quantitative Finance, Financial Engineering, Business, and Economics, Second Edition

IntroductionApply C++ to programming problems in the financial industry using this hands-on book, updated for C++20. It explains those aspects of the language that are more frequently used in writing financial software, including the Standard Template Library (STL), templates, and various numerical libraries. Practical C++20 Financial Programming also describes many of the important problems in financial engineering that are part of the day-to-day work of financial programmers in large investment banks and hedge funds. The author has extensive experience in the New York City financial industry that is now distilled into this handy guide.Focus is on providing working solutions for common programming problems. Examples are plentiful and provide value in the form of ready-to-use solutions that you can immediately apply in your day-to-day work. You’ll see examples of matrix manipulations, curve fitting, histogram generation, numerical integration, and differential equation analysis, and you’ll learn how all these techniques can be applied to some of the most common areas of financial software development.These areas include performance price forecasting, optimizing investment portfolios, and more. The book style is quick and to-the-point, delivering a refreshing view of what one needs to master in order to thrive as a C++ programmer in the financial industry.You will:• Cover aspects of C++ especially relevant to financial programming• Write working solutions to commonly encountered problems in finance• Design efficient, numerical classes for use in finance, as well as to use those classes provided by Boost and other libraries Table of Contents About the Author Introduction Chapter 1: The Fixed Income Market Fixed Income Overview Why Use C++ Calculating Simple Interest Rates Problem Solution How It Works Complete Code Sample Use Compound Interest Problem Solution How It Works Complete Code Sample Use Modeling Cash Flows Problem Solution Calculating Present Value Calculating Present Value in C++ Using STL Containers Complete Code Running the Code Modeling Bonds Problem Solution Complete Code Running the Code Further Reference Conclusion Chapter 2: The Equities Market Equities Market Concepts Market Participants Moving Average Calculation Problem Solution Complete Code Running the Code Calculating Volatility Problem Solution Complete Code Running the Code Computing Instrument Correlation Problem Solution Complete Code Running the Code Calculating Fundamental Indicators Problem Solution Complete Code Running the Code Conclusion Chapter 3: C++ Programming Techniques in Finance Calculating Interest Rates for Investment Instruments Solution Complete Code Running the Code Creating Financial Statement Objects Solution Smart Pointers Using Unique Pointers Complete Code Transferring Ownership Pitfalls of Unique Pointers Determining Credit Ratings Solution Using Shared Pointers Complete Code Using the auto Keyword Collecting Transaction Data Solution Exception Handling Complete Code Implementing Vector Operations Solution Operator Overloading Complete Code Conclusion Chapter 4: Common Libraries for Financial Applications Handling Analyst Recommendations Solution More About STL Vectors and Maps Complete Code Performing Time-Series Transformations Solution Using STL Algorithms Complete Code Running the Code Copying Transaction Files Solution Boost Libraries Complete Code Running the Code Handling Dates Solution Complete Code Running the Code Conclusion Chapter 5: Designing Numerical Classes Representing Matrices in C++ Solution Complete Code Using Templates to Calculate Factorials Solution Complete Code Running the Code Using C++20 Features to Compute Factorial Representing Calmar Ratios at Compile Time Solution Representing Calmar Ratios Complete Code Running the Code Generating Statistical Data Solution Probability Distributions Complete Code Running the Code Conclusion Chapter 6: Plotting Financial Data Plotting with Gnuplot Solution Complete Code Running the Code Plotting Data from a GUI Solution Complete Code Running the Code Conclusion Chapter 7: Linear Algebra Using Basic Linear Algebra Operations Solution Complete Code Using Matrix-Oriented Operations Solution Complete Code Running the Application Calculating the Determinant of a Matrix Solution Complete Code Conclusion Chapter 8: Interpolation Linear Interpolation Solution Complete Code Running the Code Polynomial Interpolation Solution Complete Code Running the Code Conclusion Chapter 9: Calculating Roots of Equations Bisection Method Solution Complete Code Running the Code The Secant Method Solution Complete Code Running the Code Newton’s Method Solution Complete Code Running the Code Conclusion Chapter 10: Numerical Integration The Midpoint Method Solution Complete Code Running the Code Trapezoid Method Solution Complete Code Running the Code Using Simpson’s Method Solution Complete Code Running the Code Conclusion Chapter 11: Solving ODEs and PDEs Solving Ordinary Differential Equations Solution Euler’s Method Complete Code Running the Code Runge-Kutta Method for Solving ODEs Solution Complete Code Running the Code Solving the Black-Scholes Equation Solution Complete Code Running the Code Conclusion Chapter 12: Optimization Interfacing with a Linear Programming Solver Solution Linear Programming Concepts Using LP Solver Libraries Complete Code Running the Code Solving Two-Dimensional Investment Problems Solution Complete Code Running the Code Creating Mixed-Integer Programming Models Solution Complete Code Running the Code Conclusion Chapter 13: Asset and Portfolio Optimization Financial Resource Allocation Solution Implementation Complete Code Running the Code Portfolio Optimization Solution Complete Code Running the Code Extensions to Modified CAP Solution Complete Code Running the Code Conclusion Chapter 14: Monte Carlo Methods Monte Carlo-Based Integral Computation Solution Complete Code Running the Code Simulating Asset Prices Solution Complete Code Running the Code Calculating Option Probabilities Solution Determining Profit Probabilities Complete Code Running the Code Conclusion Chapter 15: Extending Financial Libraries Exporting C++ Stock Handling Code to Python Solution Complete Code Running the Code Exporting C++ Classes Directly to Python Solution Complete Code Running the Code Using Lua as an Extension Language Solution Complete Code Running the Code Conclusion Chapter 16: Using C++ with R and Maxima Integrating C++ with R Solution Complete Code Running the Code Integrating with the Maxima CAS Solution Complete Code Running the Code Conclusion Chapter 17: Multithreading Creating Threads with the Pthreads Library Solution Complete Code Running the Code Calculating Options Probabilities in Parallel Solution Complete Code Running the Code Using Mutexes to Prevent Unsynchronized Access Solution Complete Code Running the Code Creating Threads Using the Standard Library Conclusion Appendix A: Features of C++20 Automatic Type Detection Lambdas User-Defined Literals Range-Based for Rvalue References New Function Declarator Syntax and decltype Delegating Constructors Inheriting Constructors Generalized Attributes Generalized Constant Expressions Null Pointer Constant Defaulted and Deleted Member Functions Initializer Lists Index Apply C++ to programming problems in the financial industry using this hands-on book, updated for C++20. It explains those aspects of the language that are more frequently used in writing financial software, including the Standard Template Library (STL), templates, and various numerical libraries. Practical C++20 Financial Programming also describes many of the important problems in financial engineering that are part of the day-to-day work of financial programmers in large investment banks and hedge funds. The author has extensive experience in the New York City financial industry that is now distilled into this handy guide. Focus is on providing working solutions for common programming problems. Examples are plentiful and provide value in the form of ready-to-use solutions that you can immediately apply in your day-to-day work. You'll see examples of matrix manipulations, curve fitting, histogram generation, numerical integration, and differential equation analysis, and you'll learn how all these techniques can be applied to some of the most common areas of financial software development. These areas include performance price forecasting, optimizing investment portfolios, and more. The book style is quick and to-the-point, delivering a refreshing view of what one needs to master in order to thrive as a C++ programmer in the financial industry. What You Will Learn Cover aspects of C++ especially relevant to financial programming Write working solutions to commonly encountered problems in finance Design efficient, numerical classes for use in finance, as well as to use those classes provided by Boost and other libraries Who This Book Is For Those who are new to programming for financial applications using C++, but should have some previous experience with C++. Apply C to programming problems in the financial industry using this hands-on book, updated for C 20. It explains those aspects of the language that are more frequently used in writing financial software, including the Standard Template Library (STL), templates, and various numerical libraries. Practical C 20 Financial Programming also describes many of the important problems in financial engineering that are part of the day-to-day work of financial programmers in large investment banks and hedge funds. The author has extensive experience in the New York City financial industry that is now distilled into this handy guide. Focus is on providing working solutions for common programming problems. Examples are plentiful and provide value in the form of ready-to-use solutions that you can immediately apply in your day-to-day work. You’ll see examples of matrix manipulations, curve fitting, histogram generation, numerical integration, and differential equation analysis, and you’ll learn how all these techniques can be applied to some of the most common areas of financial software development. These areas include performance price forecasting, optimizing investment portfolios, and more. The book style is quick and to-the-point, delivering a refreshing view of what one needs to master in order to thrive as a C programmer in the financial industry. What You Will Learn Cover aspects of C especially relevant to financial programming Write working solutions to commonly encountered problems in finance Design efficient, numerical classes for use in finance, as well as to use those classes provided by Boost and other libraries Who This Book Is For Those who are new to programming for financial applications using C , but should have some previous experience with C . Apply C++ to programming problems in the financial industry using this hands-on book, updated for C++20. It explains those aspects of the language that are more frequently used in writing financial software, including the Standard Template Library (STL), templates, and various numerical libraries. Practical C++20 Financial Programming also describes many of the important problems in financial engineering that are part of the day-to-day work of financial programmers in large investment banks and hedge funds. The author has extensive experience in the New York City financial industry that is now distilled into this handy guide. Focus is on providing working solutions for common programming problems. Examples are plentiful and provide value in the form of ready-to-use solutions that you can immediately apply in your day-to-day work. You'll see examples of matrix manipulations, curve fitting, histogram generation, numerical integration, and differential equation analysis, and you'll learn how all these techniques can be applied to some of the most common areas of financial software development. These areas include performance price forecasting, optimizing investment portfolios, and more. The book style is quick and to-the-point, delivering a refreshing view of what one needs to master in order to thrive as a C++ programmer in the financial industry. -- Provided by publisher