C++ in Quantitative Finance I

obligatory courses

The course is designed as a gentle introduction to C++ programming language and the world of object-oriented programming to students in Quantitative Finance. Special emphasis is put on the problem of derivatives valuation. No programming experience is required in order to follow this course. The course has been structured in a way that let students learn C++ from the ground up. The course deals with the essential topics that are needed before progressing to more advanced applications in quantitative finance

1. Creating a Basic Program

Basic C++ Syntax. Compiling a C++ Program. Printing Text. Running a Compiled Program, Pausing Execution. Understanding White Space. Adding Comments to the Source Code. Using an IDE

2. Simple Variables and Data Types

Declaring Variables. Assigning Values to Variables. Printing Variables. Formatting Numbers. Understanding Type Conversion. Introduction to Characters. Introduction to Strings. Introduction to Constants.

3. Operators and Control Structures

Arithmetic Operators. If Conditionals. Using else and else if. The Ternary Operator. Logical and Comparison Operators. Increment and Decrement Operators. While Loop. For Loop

4. Input, Output, and Files

Taking Character Input. Discarding Input. Taking Numeric Input. Taking String Input. Taking Multiple Inputs. Reading in a Whole Line. Validating Input. Creating File Output. Using File Input

5. Defining Your Own Functions

Creating Simple Functions. Creating Functions that Take Arguments. Setting Default Argument Values. Creating Functions that Return a Value. Overloading Functions. Understanding Variable Scope

6. Complex Data Types

Working with Arrays. Working with Pointers. Structures. Revisiting User-Defined Functions

7. Introducing Objects

Creating a Simple Class. Adding Methods to a Class. Creating and Using Object. Defining Constructors. Defining Destructors. The this Pointer

8. Class Inheritance

Basic Inheritance. Inheriting Constructors and Destructors. Access Control. Overriding Methods. Overloading Methods. Making Friends

9. Namespaces & Modularization

Working with Included Files. The C Preprocessor. Understanding Namespaces. Linkage and Scope

10. Working with Templates

11. Simple application for pricing non-path dependent options.

12. Simple application for pricing path dependent options.

1. Ullman, Signer "C++ Programming. Visual Quickstart Guide"

2. Prata "C++ Primer Plus 6 ed."

3. Duffy "Introduction to C++ for Financial Engineers"

After the course students will be able to write and compile their own basic C++ applications. They will be able to design and deploy simple Monte-Carlo simulations which can approximate the theoretical prices of both non-path dependent and path-dependent options.

KW01, KW02, KU01, KU02

Exam with computers, home taken project and activity in the class.