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.
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