• Financial Instrument Pricing Using C++

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One of the best languages for the development of financial engineering and instrument pricing applications is C++

Unique Let's all give a warm welcome to modern pricing tools.' Paul Wilmott, mathematician, author and fund manager

Duffy brings C to the next level by applying it to the design and implementation of classes, libraries and applications for option and derivative pricing models

He employs modern software engineering techniques to produce industrial-strength applications Using the Standard Template Library STL in finance Creating your own template classes and functions Reusable data structures for vectors, matrices and tensors Classes for numerical analysis numerical linear algebra Solving the Black Scholes equations, exact and approximate solutions Implementing the Finite Difference Method in C Integration with the Gang of Four Design Patterns Interfacing with Excel output and Add-Ins Financial engineering and XML Cash flow and yield curves Included with the book is a CD containing

In this book, author Daniel J

It has support for templates and generic programming, massive reusability using templates write once and support for legacy C applications

The book is an ANSI/ISO standard, fully object-oriented and interfaces with many third-party applications

This book has several features that allow developers to write robust, flexible and extensible software systems

You can use this to get up to speed with your C applications by reusing existing classes and libraries