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Dedication
by Carlos Oliveira
Practical C++ Financial Programming
Cover
Title
Copyright
Dedication
Contents at a Glance
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
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Copyright
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Contents at a Glance
This book is dedicated to my wife and son,
my biggest inspirations for work.
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