Practical C++ Financial Programming

51SuC8CKLLL._UY250_My new book, Practical C++ Financial Programming, has just been released by Apress: http://amzn.to/1C8ekwg.
Practical C++ Financial Programming is a hands-on book for programmers wanting to apply C++ to programming problems in the financial industry. The book explains those aspects of the language that are more frequently used in writing financial software, including the STL, templates, and various numerical libraries. The book 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.

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 learn to design efficient, numerical classes for use in finance, as well as to use those classes provided by Boost and other libraries. 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.

  • Covers aspects of C++ especially relevant to financial programming.
  • Provides working solutions to commonly-encountered problems in finance.
  • Delivers in a refreshing and easy style with a strong focus on the practical.

What you’ll learn

  • Understand the fundamental problem types in the financial market.
  • Design algorithms to solve financial programming problems.
  • Extend C++ through Python extensions and LUA modules.
  • Employ third-party numeric libraries such as those from Boost.
  • Properly engage key C++ features such as templates and exception handling.
  • Benefit from new features in C++14, such as auto variables and closures.

Who this book is for

Practical C++ Financial Programming is for professionals or advanced students who have interest in learning C++ financial programming, especially in preparation for a professional career. Readers should have a working-knowledge of programming in C, C++, or some other C-like language. The book is also useful to current practitioners at financial institutions as a ready-reference to common development problems and techniques.

Table of Contents

  1. The Fixed-Income Market
  2. The Equities Market
  3. C++ Programming Techniques in Finance
  4. Common Libraries for Financial Code
  5. Designing Numerical Classes
  6. Plotting Financial Data
  7. Linear Algebra
  8. Interpolation
  9. Calculating Roots of Equations
  10. Numerical Integration
  11. Solving Partial Differential Equations
  12. Algorithm Optimization
  13. Portfolio Optimization
  14. Monte Carlo Methods for Equity markets
  15. Extending Financial Libraries
  16. C++ with R and Octave
  17. Multithreading
  18. Appendix A: C++14 Features

Source Code

You can also access source code for the book using its git repository.

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About the Author

Carlos Oliveira holds a PhD in Systems Engineering and Optimization from University of Florida. He works as a software engineer, with more than 10 years of experience in developing high performance, commercial and scientific applications in C++, Java, and Objective-C. His most Recent Book is Practical C++ Financial Programming.

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