Contents

About the Author

About the Technical Reviewer

Acknowledgments

Introduction

 Chapter 1: The Fixed Income Market

Fixed Income Overview

Why Using 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

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

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 Auto Pointers

Complete Code

Transferring Ownership

Pitfalls of Auto 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

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

Calculate 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

Conclusion

 Appendix A: C++11/14 Features

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

Right-Angle Brackets

Initializer Lists

Index