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Advanced C++ for Computational Finance

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Objetivos

In this course we introduce state-of-the-art design and programming techniques in C++ and their application to Computational Finance. In particular, the following topics are discussed in detail:

•Advanced C++ syntax and its application

•Template classes and the Standard Template Library (STL)

•Combining the object-oriented and generic programming paradigms

•The famous Gamma (GOF) design patterns applied to QF

•Interfacing to Excel: COM Add-ins

•Creating applications: Monte Carlo, Finite Difference and lattice methods

Metodología

The goal of this four-day intensive hands-on course is to learn those advanced features in C++ that are of direct relevance to writing and extending applications for quantitative and computational finance. The course uses the object-oriented and generic (templates) programming models (OOP, GP) in combination with design patterns and the STL and boost libraries to allow you to create robust and flexible applications. We develop the contents of the course by discussing important the C++ language features and using OOP and GP models to write clean and effective code. We also discuss how to improve the performance of your application. In all cases, the examples and test cases are based on finance experience.

This is one of the few courses (in our opinion) that focuses on the application of C++ to quantitative and computational finance. It is a practical course for practitioners.

The percentage theory/practice is 70/30.

Dirección académica

Dr. Daniel J. Duffy