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Introduction
is is a hands-on book for programmers who want to learn about how C++ is used in the nancial industry.
e book concentrates on the parts of the language that are more frequently used to write nancial software,
including the STL (standard template library), templates, and support for numerical libraries. I also describe
many of the important problems in nancial engineering that are part of the day-to-day work of nancial
programmers and quantitative analysts in investment banks and hedge funds.
e book provides how-to examples that cover all the major tools and concepts used to build working
solutions for nancial applications. Each chapter teaches readers how to use advanced C++ concepts as
well as the basic building libraries used by modern C++ developers, such as the STL and Boost. I discuss
how to create correct and ecient applications, leveraging knowledge of object-oriented and template-
based programming. I assume only a basic knowledge of C and C++, and build on these concepts to explain
techniques already mastered by developers who are familiar with modern C++.
In the process of writing this book, I was concerned with providing a great value for readers who are
trying to use their programming knowledge to become procient in the style of programming used in
nancial institutions such as banks, hedge funds, and other companies in the nancial industry. However,
I have introduced the topics covered in the book in a logical and structured way, so that even novice
programmers will be able to absorb the most important topics and competencies necessary to develop
nancial applications in C++.
An important feature of the book is its focus on specic themes and practical solutions for nancial
problems. While the emphasis is not on the theoretical aspects of nance, I do discuss topics such as
numerical algorithms, integration techniques, and dierential equations for derivative valuation. Moreover,
the reader will gain a good understanding of how to model such problems using modern C++ concepts.
e nancial literature for programmers typically has a large number of books written from an
academic standpoint, with most of the time spent on the discussion of mathematics concepts behind
algorithms, rather than the software engineering challenges that developers need to overcome ers.
erefore, in this book, I decided to focus on working solutions for common programming problems, in the
form of code examples, oering readers much more value for their reading eorts.
Audience
is book is intended for readers who already have a working knowledge of programming in C, C++, or
another mainstream language. ese are usually professionals or advanced students in computer science,
engineering, physics, and mathematics, who have an interest in learning C++ nancial programming either
for personal improvement or for professional reasons. e book is also directed at practitioners of C++
programming in nancial institutions, who would use the book as a ready-to-use reference for common
development problems.
By reading this book, you will learn how to use modern C++ techniques to implement practical
applications. Being a multi-paradigm language, C++ is used slightly dierently in each application area.
erefore, skills that are valuable for developing desktop applications are not necessarily the same as those
used to write high-performance software. A large part of major high-performance nancial applications
are written in C++, which means that programmers who want to enter this lucrative market need to acquire
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