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

By M. S. Joshi

Newly up to date moment version and now in paperback! this can be the 1st e-book on imposing monetary versions utilizing object-oriented C++. Assuming just a uncomplicated wisdom of C++ and mathematical finance, the reader learns easy methods to produce well-designed, based, reusable code through carefully-chosen examples. This new version comprises numerous new chapters masking subject matters of accelerating robustness within the presence of exceptions, designing a everyday manufacturing facility, interfacing C++ with EXCEL, and enhancing code layout utilizing the belief of decoupling. whole ANSI/ISO appropriate C++ resource code is hosted on an accompanying web site for the reader to check intimately, and reuse as they see healthy. no matter if you're a pupil of monetary arithmetic, a operating quantitative analyst or monetary mathematician, you would like this ebook. providing functional steps for enforcing pricing types for advanced monetary items, it is going to rework your knowing of ways to take advantage of C++.

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

Example text

The ‘open’ refers to the idea that code should always be open for extension. So in this particular case, we should always be able to add extra pay-offs. The ‘closed’ means that the file is ‘closed for modification’. This refers to the idea that we should be able to do the extension without modifying any existing code, and we should be able to do so without even changing anything in any of the existing files. This may seem a little counterintuitive; how can one possibly make new forms of pay-offs without changing the pay-off class?

Fortunately, we can always cast a pointer from an inherited class pointer into a base class pointer. We therefore assign payOffPtr to the result of new and we have the desired result. Note that we declare payOffPtr outside the if to ensure that it persists after the if statement is complete. When we reach the call to the Monte Carlo routine, we can now pass in either a call or a put, depending on what the pointer points to. We dereference the pointer in order to pass in the object rather than the pointer by putting *payOffPtr.

We cannot even run our program until we have made sure that all objects are of the types expected. This reduces the number of bugs that need to be found while the program is running by enforcing some discipline. However, the rules of inheritance say that we can always pass a reference to an object of an inherited class instead of a reference to a base class object. This means that at times we do not know the type of object. For example, inside the Monte Carlo routine, SimpleMC2, we appear to be using a base class object not an inherited one.

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