Financial Instrument Pricing Using C++

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