Duffy Daniel J., Introduction to C++ for Financial Engineers - An Object-Oriented Approach (Wiley, 2006).pdf - C++ - szafir4

for

Financial Engineers

An object-oriented approach

Daniel J. Duffy

Introduction to C

2006 Daniel J Duffy

Published by John Wiley & Sons Ltd, The Atrium, Southern Gate, Chichester,

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Library of Congress Cataloging-in-Publication Data

Duffy, Daniel J.

Introduction to C ++ for ﬁnancial engineers : an object-oriented approach / Daniel J Duffy.

p. cm.—(Wiley ﬁnance series)

Includes bibliographical references and index.

ISBN-13: 978-0-470-01538-4 (cloth: alk. paper)

ISBN-10: 0-470-01538-1 (cloth : alk. paper)

1. Financial engineering—Computer programs. 2. C

(Computer program

language) I. Title.

HG176.7.D843 2006

005.13 3024332—dc22

2006020622

British Library Cataloguing in Publication Data

A catalogue record for this book is available from the British Library

ISBN 13 978-0-470-01538-4 (HB)

ISBN 10 0-470-01538-1 (HB)

Typeset in 10/12pt Times by TechBooks, New Delhi, India

Printed and bound in Great Britain by Antony Rowe Ltd, Chippenham, Wiltshire

This book is printed on acid-free paper responsibly manufactured from sustainable forestry

in which at least two trees are planted for each one used for paper production.

Contents

0 Goals of this Book and Global Overview

0.1 What is this book?

0.2 Why has this book been written?

0.3 For whom is this book intended?

0.4 Why should I read this book?

0.5 The structure of this book

0.6 What this book does not cover

0.7 More information and support

PA RT I C

ESSENTIAL SKILLS

1 Introduction to C

and Quantitative Finance

1.1 Introduction and objectives

1.2 A short history of C

1.3 C

, a multi-paradigm language

1.3.1 Object-oriented paradigm

1.3.2 Generic programming

1.3.3 Procedural, modular and functional programming

1.4 C

and quantitative ﬁnance: what’s the relationship?

1.5 What is software quality?

1.6 Summary and conclusions

1.7 Exercises

2 The Mechanics of C

: from Source Code to a Running Program

2.1 Introduction and objectives

2.2 The compilation process

2.3 Header ﬁles and source ﬁles

2.4 Creating classes and using their objects

2.5 Template classes and template functions

2.6 Kinds of errors

2.6.1 Compiler errors

2.6.2 Linker errors

2.6.3 Run-time errors

2.7 The struct concept

Contents

2.8 Useful data conversion routines

2.9 Summary and conclusions

2.10 Exercises and projects

Fundamentals and My First Option Class

3.1 Introduction and objectives

3.2 Class == member data + member functions

3.3 The header ﬁle (function prototypes)

3.4 The class body (code ﬁle)

3.5 Using the class

3.6 Examining the class in detail

3.6.1 Accessibility issues

3.6.2 Using standard libraries

3.6.3 The scope resolution operator ‘::’

3.6.4 Virtual destructor: better safe than sorry

3.7 Other paradigms

3.8 Summary and conclusions

3.9 Questions, exercises and projects

4 Creating Robust Classes

4.1 Introduction and objectives

4.2 Call by reference and call by value

4.3 Constant objects everywhere

4.3.1 Read-only (const) member functions

4.4 Constructors in detail

4.4.1 Member initialisation

4.5 Static member data and static member functions

4.6 Function overloading

4.7 Non-member functions

4.8 Performance tips and guidelines

4.8.1 The ‘inline’ keyword

4.8.2 Anonymous objects in function code

4.8.3 Loop optimisation

4.9 Summary and conclusions

4.10 Questions, exercises and projects

5 Operator Overloading in C

5.1 Introduction and objectives

5.2 What is operator overloading and what are the possibilities?

5.3 Why use operator overloading? The advantages

5.4 Operator overloading: the steps

5.4.1 A special case: the assignment operator

5.5 Using operator overloading for simple I/O

5.6 Friend functions in general

5.6.1 Friend classes

5.7 Summary and conclusions

5.8 Exercise

Appendix: useful data structures in C

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