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One of the best languages for the development of financial engineering and instrument pricing applications is C++. This book has several features that allow developers to write robust, flexible and extensible software systems. The book is an ANSI/ISO standard, fully object-oriented and interfaces with many third-party applications. It has support for templates and generic programming, massive reusability using templates (write once) and support for legacy C applications. In this book, author Daniel J. Duffy brings C++ to the next level by applying it to the design and implementation of classes, libraries and applications for option and derivative pricing models. He employs modern software engineering techniques to produce industrial-strength applications: Using the Standard Template Library (STL) in finance Creating your own template classes and functions Reusable data structures for vectors, matrices and tensors Classes for numerical analysis (numerical linear algebra ) Solving the Black Scholes equations, exact and approximate solutions Implementing the Finite Difference Method in C++ Integration with the Gang of Four Design Patterns Interfacing with Excel (output and Add-Ins) Financial engineering and XML Cash flow and yield curves Included with the book is a CD containing the source code in the Datasim Financial Toolkit. You can use this to get up to speed with your C++ applications by reusing existing classes and libraries. 'Unique... Let's all give a warm welcome to modern pricing tools.' -- Paul Wilmott, mathematician, author and fund manager

C++, although a marvelous language, isn't perfect. Matthew Wilson has been working with it for over a decade, and during that time he has found inherent limitations that require skillful workarounds. In this book, he doesn't just tell you what's wrong with C++, but offers practical techniques and tools for writing code that's more robust, flexible, efficient, and maintainable. He shows you how to tame C++'s complexity, cut through its vast array of paradigms, take back control over your code¡ªand get far better results.

If you're a long-time C++ developer, this book will help you see your programming challenges in new ways¡ªand illuminate powerful techniques you may never have tried. If you're newer to C++, you'll learn principles that will make you more effective in all of your projects.

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