Practical C++ Financial Programming

by Carlos Oliveira

Practical C++ Financial Programming is a hands-on book for programmers wanting to apply C++ to programming problems in the financial industry. The book explains those aspects of the language that are more frequently used in writing financial software, including the STL, templates, and various numerical libraries. The book also describes many of the important problems in financial engineering that are part of the day-to-day work of financial programmers in large investment banks and hedge funds. The author has extensive experience in the New York City financial industry that is now distilled into this handy guide. Focus is on providing working solutions for common programming problems. Examples are plentiful and provide value in the form of ready-to-use solutions that you can immediately apply in your day-to-day work. You'll learn to design efficient, numerical classes for use in finance, as well as to use those classes provided by Boost and other libraries. You'll see examples of matrix manipulations, curve fitting, histogram generation, numerical integration, and differential equation analysis, and you'll learn how all these techniques can be applied to some of the most common areas of financial software development. These areas include performance price forecasting, optimizing investment portfolios, and more. The book style is quick and to-the-point, delivering a refreshing view of what one needs to master in order to thrive as a C++ programmer in the financial industry.


Covers aspects of C++ especially relevant to financial programming. Provides working solutions to commonly-encountered problems in finance. Delivers in a refreshing and easy style with a strong focus on the practical.

Genres: Programming

419 pages, Paperback

First published February 18, 2015

Reviews

[Writer · Rating 3 out of 5]

Pretty mediocre, you can use AI to translate the many Python implementations of these basic financial concepts to C++ if you want.

[Stefan · Rating 3 out of 5]

Rather rudimentary, but concise and to the point introduction to what you might need to know applying for an internship at a financial institution that insist that you should know some C++ (but doesn't actually test it). Strangely it covers integration with Lua or drawing graphs in Qt, but doesn't tackle Excel or even data store access. Additionally, except MC (at push), you would probably do most tasks in Python nowadays anyway. C+11/14 futures were mentioned in appendix, but I don't think you would learn from that description how to apply these in a bigger project (if you already don't know C++ quite well). The last, i.e. design of bigger systems, which is where practical knowledge is needed somehow doesn't seem to be mentioned even in passing. Overall, I guess I should have quick read it before I've committed to it :-/

[Razvan · Rating 4 out of 5]

It's a good book from C/C++ perspective, I was looking at this book as a candidate for a textbook. I'm not selecting it, since it does not cover comprehensively the language. The book provides a lot of examples of mathematical problems, also it demonstrate the connection to well known libraries (BLAS, Boost and STL) however it does not demonstrate the integration with existing financial, trading or ERP systems.