Problem Solving for Quantitative Finance, Financial Engineering, Business, and Economics

Table of Contents
About the Author
Introduction
Chapter 1: The Fixed Income Market
	Fixed Income Overview
	Why Use C++
	Calculating Simple Interest Rates
		Problem
		Solution
		How It Works
		Complete Code
		Sample Use
	Compound Interest
		Problem
		Solution
		How It Works
		Complete Code
		Sample Use
	Modeling Cash Flows
		Problem
		Solution
			Calculating Present Value
			Calculating Present Value in C++
			Using STL Containers
		Complete Code
		Running the Code
	Modeling Bonds
		Problem
		Solution
		Complete Code
		Running the Code
	Further Reference
	Conclusion
Chapter 2: The Equities Market
	Equities Market Concepts
		Market Participants
	Moving Average Calculation
		Problem
		Solution
		Complete Code
		Running the Code
	Calculating Volatility
		Problem
		Solution
		Complete Code
		Running the Code
	Computing Instrument Correlation
		Problem
		Solution
		Complete Code
		Running the Code
	Calculating Fundamental Indicators
		Problem
		Solution
		Complete Code
		Running the Code
	Conclusion
Chapter 3: C++ Programming Techniques in Finance
	Calculating Interest Rates for Investment Instruments
		Solution
		Complete Code
		Running the Code
	Creating Financial Statement Objects
		Solution
		Smart Pointers
		Using Unique Pointers
		Complete Code
		Transferring Ownership
		Pitfalls of Unique Pointers
	Determining Credit Ratings
		Solution
		Using Shared Pointers
		Complete Code
		Using the auto Keyword
	Collecting Transaction Data
		Solution
		Exception Handling
		Complete Code
	Implementing Vector Operations
		Solution
		Operator Overloading
		Complete Code
	Conclusion
Chapter 4: Common Libraries for Financial Applications
	Handling Analyst Recommendations
		Solution
		More About STL Vectors and Maps
		Complete Code
	Performing Time-Series Transformations
		Solution
		Using STL Algorithms
		Complete Code
		Running the Code
	Copying Transaction Files
		Solution
		Boost Libraries
		Complete Code
		Running the Code
	Handling Dates
		Solution
		Complete Code
		Running the Code
	Conclusion
Chapter 5: Designing Numerical Classes
	Representing Matrices in C++
		Solution
		Complete Code
	Using Templates to Calculate Factorials
		Solution
		Complete Code
		Running the Code
		Using C++20 Features to Compute Factorial
	Representing Calmar Ratios at Compile Time
		Solution
		Representing Calmar Ratios
		Complete Code
		Running the Code
	Generating Statistical Data
		Solution
		Probability Distributions
		Complete Code
		Running the Code
	Conclusion
Chapter 6: Plotting Financial Data
	Plotting with Gnuplot
		Solution
		Complete Code
		Running the Code
	Plotting Data from a GUI
		Solution
		Complete Code
		Running the Code
	Conclusion
Chapter 7: Linear Algebra
	Using Basic Linear Algebra Operations
		Solution
		Complete Code
	Using Matrix-Oriented Operations
		Solution
		Complete Code
		Running the Application
	Calculating the Determinant of a Matrix
		Solution
		Complete Code
	Conclusion
Chapter 8: Interpolation
	Linear Interpolation
		Solution
		Complete Code
		Running the Code
	Polynomial Interpolation
		Solution
		Complete Code
		Running the Code
	Conclusion
Chapter 9: Calculating Roots of Equations
	Bisection Method
		Solution
		Complete Code
		Running the Code
	The Secant Method
		Solution
		Complete Code
		Running the Code
	Newton’s Method
		Solution
		Complete Code
		Running the Code
	Conclusion
Chapter 10: Numerical Integration
	The Midpoint Method
		Solution
		Complete Code
		Running the Code
	Trapezoid Method
		Solution
		Complete Code
		Running the Code
	Using Simpson’s Method
		Solution
		Complete Code
		Running the Code
	Conclusion
Chapter 11: Solving ODEs and PDEs
	Solving Ordinary Differential Equations
		Solution
		Euler’s Method
		Complete Code
		Running the Code
	Runge-Kutta Method for Solving ODEs
		Solution
		Complete Code
		Running the Code
	Solving the Black-Scholes Equation
		Solution
		Complete Code
		Running the Code
	Conclusion
Chapter 12: Optimization
	Interfacing with a Linear Programming Solver
		Solution
		Linear Programming Concepts
		Using LP Solver Libraries
		Complete Code
		Running the Code
	Solving Two-Dimensional Investment Problems
		Solution
		Complete Code
		Running the Code
	Creating Mixed-Integer Programming Models
		Solution
		Complete Code
		Running the Code
	Conclusion
Chapter 13: Asset and Portfolio Optimization
	Financial Resource Allocation
		Solution
		Implementation
		Complete Code
		Running the Code
	Portfolio Optimization
		Solution
		Complete Code
		Running the Code
	Extensions to Modified CAP
		Solution
		Complete Code
		Running the Code
	Conclusion
Chapter 14: Monte Carlo Methods
	Monte Carlo-Based Integral Computation
		Solution
		Complete Code
		Running the Code
	Simulating Asset Prices
		Solution
		Complete Code
		Running the Code
	Calculating Option Probabilities
		Solution
		Determining Profit Probabilities
		Complete Code
		Running the Code
	Conclusion
Chapter 15: Extending Financial Libraries
	Exporting C++ Stock Handling Code to Python
		Solution
		Complete Code
		Running the Code
	Exporting C++ Classes Directly to Python
		Solution
		Complete Code
		Running the Code
	Using Lua as an Extension Language
		Solution
		Complete Code
		Running the Code
	Conclusion
Chapter 16: Using C++ with R and Maxima
	Integrating C++ with R
		Solution
		Complete Code
		Running the Code
	Integrating with the Maxima CAS
		Solution
		Complete Code
		Running the Code
	Conclusion
Chapter 17: Multithreading
	Creating Threads with the Pthreads Library
		Solution
		Complete Code
		Running the Code
	Calculating Options Probabilities in Parallel
		Solution
		Complete Code
		Running the Code
	Using Mutexes to Prevent Unsynchronized Access
		Solution
		Complete Code
		Running the Code
	Creating Threads Using the Standard Library
	Conclusion
Appendix A: Features of C++20
	Automatic Type Detection
		Lambdas
		User-Defined Literals
		Range-Based for
		Rvalue References
		New Function Declarator Syntax and decltype
		Delegating Constructors
	Inheriting Constructors
	Generalized Attributes
	Generalized Constant Expressions
	Null Pointer Constant
	Defaulted and Deleted Member Functions
	Initializer Lists
Index