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Practical C++20 Financial Programming

Problem Solving for Quantitative Finance, Financial Engineering, Business, and Economics

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  • © 2021

Overview

Authors:
  1. Carlos Oliveira

    1. Seattle, USA

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  • An expert-driven book on financial programming, updated for C++20

  • An examples-packed book to get you started and working faster

  • Written by an expert with ten+ years experience in quantitative programming with C++

  • 17k Accesses

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Table of contents (17 chapters)

  1. Front Matter

    Pages i-xxiii
    Download chapter PDF

  2. The Fixed Income Market

    • Carlos Oliveira
    Pages 1-34

  3. The Equities Market

    • Carlos Oliveira
    Pages 35-74

  4. C++ Programming Techniques in Finance

    • Carlos Oliveira
    Pages 75-112

  5. Common Libraries for Financial Applications

    • Carlos Oliveira
    Pages 113-151

  6. Designing Numerical Classes

    • Carlos Oliveira
    Pages 153-188

  7. Plotting Financial Data

    • Carlos Oliveira
    Pages 189-209

  8. Linear Algebra

    • Carlos Oliveira
    Pages 211-233

  9. Interpolation

    • Carlos Oliveira
    Pages 235-250

  10. Calculating Roots of Equations

    • Carlos Oliveira
    Pages 251-276

  11. Numerical Integration

    • Carlos Oliveira
    Pages 277-298

  12. Solving ODEs and PDEs

    • Carlos Oliveira
    Pages 299-321

  13. Optimization

    • Carlos Oliveira
    Pages 323-349

  14. Asset and Portfolio Optimization

    • Carlos Oliveira
    Pages 351-376

  15. Monte Carlo Methods

    • Carlos Oliveira
    Pages 377-400

  16. Extending Financial Libraries

    • Carlos Oliveira
    Pages 401-429

  17. Using C++ with R and Maxima

    • Carlos Oliveira
    Pages 431-448

  18. Multithreading

    • Carlos Oliveira
    Pages 449-474

  19. Back Matter

    Pages 475-508
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Keywords

About this book

Apply C++ to programming problems in the financial industry using this hands-on book, updated for C++20. It explains those aspects of the language that are more frequently used in writing financial software, including the Standard Template Library (STL), templates, and various numerical libraries. Practical C++20 Financial Programming also describes many of the important problems in financial engineering that are part of the day-to-day work of financial programmers in large investment banks and hedge funds. The author has extensive experience in the New York City financial industry that is now distilled into this handy guide. 

Focus is on providing working solutions for common programming problems. Examples are plentiful and provide value in the form of ready-to-use solutions that you can immediately apply in your day-to-day work. You’ll see examples of matrix manipulations, curve fitting, histogram generation, numerical integration, and differential equation analysis, and you’ll learn how all these techniques can be applied to some of the most common areas of financial software development. 

These areas include performance price forecasting, optimizing investment portfolios, and more. The book style is quick and to-the-point, delivering a refreshing view of what one needs to master in order to thrive as a C++ programmer in the financial industry. 

What You Will Learn

  • Cover aspects of C++ especially relevant to financial programming
    • Write working solutions to commonly encountered problems in finance
  • Design efficient, numerical classes for use in finance, as well as to use those classes provided by Boost and other libraries

Who This Book Is For 

Those who are new to programming for financial applications using C++, but should have some previous experience with C++.

Authors and Affiliations

  • Seattle, USA

    Carlos Oliveira

About the author

Carlos Oliveira works in the area of quantitative finance, with more than ten years of experience in creating scientific and financial models in C++. During his career, Carlos has developed several large-scale applications for financial companies such as Bloomberg L.P. and F-Squared Investments. Carlos Oliveira obtained a PhD in operations research and systems engineering from the University of Florida, an MSc in computer science from UFC (Brazil), and a BSc in computer science from UECE (Brazil). He has also performed academic research in the field of combinatorial optimization, with applications in diverse areas such as finance, telecommunications, computational biology, and logistics. Carlos has written more than 30 academic papers on optimization, and authored three books, including Options and Derivatives Programming in C++20 (Apress, 2020).

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