金融编程实战：C++核心技术与解决方案

Financial

Programming

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《实用C++金融编程》是一本面向想要将C++应用于金融领域编程问题的程序员的实战指南。书中着重讲解了C++语言在编写金融软件时常用的部分，如标准模板库（STL）、模板和各种数值库。作者拥有丰富的纽约金融行业经验，将这些实践经验浓缩成一本便携式手册，旨在提供解决实际编程问题的实用解决方案。书中涵盖的知识点广泛，包括但不限于： 1. **金融市场的基础问题类型**：理解金融市场中的基本问题模式，如固定收益市场和权益市场的运作机制。 2. **C++编程技术应用**：掌握如何利用C++进行金融编程，如算法设计、Python和LUA扩展，以及C++14新特性的运用，如auto变量和闭包。 3. **金融代码常用库**：介绍常见的金融编程库，如Boost等第三方数值库，学习如何有效利用它们。 4. **数值类的设计**：学会设计适合金融领域的高效数值类，用于处理复杂的数学计算，如矩阵操作、曲线拟合、直方图生成、数值积分和微分方程分析。 5. **金融数据可视化**：学习如何绘制和解析金融数据，展示数据趋势和模式。 6. **线性代数**：掌握基本的线性代数概念及其在金融建模中的应用。 7. **插值与方程求解**：了解如何通过插值方法找到函数的近似值，并解决方程求根问题。 8. **数值积分和偏微分方程求解**：理解和应用数值积分技术来估算函数值，以及处理偏微分方程。 9. **优化技术**：学习如何优化投资组合、绩效价格预测等金融决策过程。 10. **蒙特卡洛方法**：探讨在权益市场中的随机模拟方法，对风险管理和定价有重要作用。 11. **扩展金融库**：探索如何结合其他语言（如R和Octave）增强金融库的功能。 12. **并行编程**：理解多线程技术，提高金融计算的效率。 13. **C++11/14新特性**：了解和应用C++语言的最新特性，保持技术的前沿性。这本书适合准备进入金融行业或已经有一定C++基础的专业人士和高级学生，无论是作为职业发展的预备资源，还是作为金融从业人员的快速参考工具，都能从中获益匪浅。书中的每个章节都围绕着实际问题展开，提供了大量实例，读者可以直接将所学应用到日常工作中，提升金融编程技能。

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CHAPTER 1 ■ THE FIXED INCOME MARKET

double singlePeriod(double value);

private:

double m_rate;

};

inline double IntRateCalculator::singlePeriod(double value)

{

double f = value * ( 1 + this->m_rate );

return f;

}

#endif /* defined(__FinancialSamples__IntRateCalculator__) */

// IntRateCalculator.cpp

#include "IntRateCalculator.h"

IntRateCalculator::IntRateCalculator(double rate)

: m_rate(rate)

{

}

IntRateCalculator::~IntRateCalculator()

{

}

IntRateCalculator::IntRateCalculator(const IntRateCalculator &v)

: m_rate(v.m_rate)

{

}

IntRateCalculator &IntRateCalculator::operator=(const IntRateCalculator &v)

{

if (&v != this)

{

this->m_rate = v.m_rate;

}

return *this;

}

// main.cpp

#include "IntRateCalculator.h"

CHAPTER 1 ■ THE FIXED INCOME MARKET

Solution

The solution uses a new C++ class that encapsulates the concept of compound interest. With this class,

it is becomes easy to answer the proposed question using two member functions. The first function,

multiplePeriod, returns the future value of a fixed income investment after a given number of periods, as

passed in the function parameter.

As mentioned previously, interest can be calculated either as a discrete or a continuous compounding

process. For discrete compounding, we assume that interest is paid only at regular intervals, as defined by

the investment vehicle. The compounding happens as interest is added to the original principal.

The formula for discrete compounded interest rate is

VP R

()

Where P is the present value, V is the future value, R is the interest rate, and N is the number of periods.

The interest rate is the value passed as a parameter to the class constructor and stored as a member variable.

The number of periods N is passed as the second parameter to the multiplePeriod method.

For continuous compounding calculation, you need to use a separate method, continuousCompounding.

In this case, we assume that compounding doesn’t happen in discrete steps, but that the payments are made

continuously over time. This is a possible way to determine the future value of a financial application (or at

least an upper bound for the desired future value).

The formula for the calculation of continuous interest rate compounding is

VPe

Here, V is the desired future value, P is the present value, R is the interest rate during the period, and N

is the number of periods. For example, to find the future value of continuously compounded interest after

two years at 8% interest per year, you should use the value of the previous equation with parameters R = 0.08

and N = 2.

How It Works

The two member functions, multiplePeriod and continuousCompounding, calculate the given formulas

using the mathematical functions pow and exp from the standard C++ library. These two functions

implement a fast way to calculate the power function and the exponential function, respectively.

To use any mathematical function from the standard library, you should first include the header file

cmath. Table

1-1 provides a short list of mathematical functions made available from that header file.

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