C++ 与金融计算.pdf

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Contents

Preface

Acknowledgements

1 A simple Monte Carlo model

2 Encapsulation

3 Inheritance and virtual functions

4 Bridging with a virtual constructor

5 Strategies, decoration, and statistics

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C++ DESIGN PATTERNS AND DERIVATIVES PRICING 2nd edition Design patterns are the cutting-edge paradigm for programming in object-oriented lan- guages. Here they are discussed in the context of implementing ﬁnancial models in C++. Assuming only a basic knowledge of C++ and mathematical ﬁnance, the reader is taught how to produce well-designed, structured, reusable code via concrete examples. This new edition includes several new chapters describing how to increase robustness in the presence of exceptions, how to design a generic factory, how to interface C++ with EXCEL, and how to improve code design using the idea of decoupling. Complete ANSI/ISO compatible C++ source code is hosted on an accompanying website for the reader to study in detail, and reuse as they see ﬁt. A good understanding of C++ design is a necessity for working ﬁnancial mathemati- cian; this book provides a thorough introduction to the topic.

Mathematics, Finance and Risk Editorial Board Mark Broadie, Graduate School of Business, Columbia University Sam Howison, Mathematical Institute, University of Oxford Neil Johnson, Centre for Computational Finance, University of Oxford George Papanicolaou, Department of Mathematics, Stanford University

C++ DESIGN PATTERNS AN D DERIVATIVES PRICING M. S. J O S H I University of Melbourne

CAMBRIDGE UNIVERSITY PRESS Cambridge, New York, Melbourne, Madrid, Cape Town, Singapore, São Paulo Cambridge University Press The Edinburgh Building, Cambridge CB2 8RU, UK Published in the United States of America by Cambridge University Press, New York www.cambridge.org Information on this title: www.cambridge.org/9780521721622 © M. S. Joshi 2008 This publication is in copyright. Subject to statutory exception and to the provision of relevant collective licensing agreements, no reproduction of any part may take place without the written permission of Cambridge University Press. First published in print format 2008 ISBN-13 978-0-511-39693-9 eBook (NetLibrary) ISBN-13 978-0-521-72162-2 paperback Cambridge University Press has no responsibility for the persistence or accuracy of urls for external or third-party internet websites referred to in this publication, and does not guarantee that any content on such websites is, or will remain, accurate or appropriate.

To Jane

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