C++ Design Patterns and Derivatives Pricing (Mathematics, by M. S. Joshi

By M. S. Joshi

Newly up-to-date moment variation and now in paperback! this is often the 1st booklet on enforcing monetary types utilizing object-oriented C++. Assuming just a uncomplicated wisdom of C++ and mathematical finance, the reader learns find out how to produce well-designed, based, reusable code through carefully-chosen examples. This re-creation contains a number of new chapters protecting issues of accelerating robustness within the presence of exceptions, designing a time-honored manufacturing unit, interfacing C++ with EXCEL, and bettering code layout utilizing the assumption of decoupling. entire ANSI/ISO suitable C++ resource code is hosted on an accompanying site for the reader to check intimately, and reuse as they see healthy. even if you're a scholar of monetary arithmetic, a operating quantitative analyst or monetary mathematician, you wish this e-book. providing useful steps for enforcing pricing types for complicated monetary items, it's going to remodel your figuring out of ways to exploit C++.

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Additional info for C++ Design Patterns and Derivatives Pricing (Mathematics, Finance and Risk)

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We have to pass inherited class objects by reference if we do not wish to change the virtual functions. • Virtual functions are implemented via a table of function pointers. • If a class has a pure virtual functions then it should have a virtual destructor. 1 Write an inherited class that does power options, and use it to price some. 2 Implement an interface in which the user inputs a string and this is turned into a pay-off class. 3 In the evil boss’s list of demands in Chapter 1, try to identify as many inheritance relationships as possible.

3 Virtual construction 43 VanillaOption theOption(thePayOff, Expiry); double result = SimpleMonteCarlo3(theOption, Spot, Vol, r, NumberOfPaths); cout <<"\nthe price is " << result << "\n"; double tmp; cin >> tmp; return 0; } The main change is that now we first pass a PayOff object and the expiry time into a VanillaOption object and that is then passed into the Monte Carlo. This program will compile and run but I do not like it. Why not? The VanillaOption class stores a reference to a PayOff object which was defined outside the class.

So although the function pointer gets us a long way it does not get us far enough and we need a more sophisticated approach. The issue is that we need a way of specifying an object for the pay-off which is not of a predetermined type. This object will contain all the data it needs know and no more. So for a vanilla call or put the object would contain the strike, but for a double digital it would contain both of the two barrier levels. Fortunately, C++ was designed with just this sort of problem in mind, and in the next chapter we shall study how to use inheritance and virtual functions to overcome these problems.

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