One of the best languages for the development of financialengineering and instrument pricing applications is C++. It has severalfeatures that allow developers to write robust, flexible and extensiblesoftware systems. It is an ANSI/ISO standard, fully object-oriented andinterfaces with many third-party applications. It has support fortemplates and generic programming, massive reusability using templates(‘write once’) and support for legacy C applications.  In thisbook we bring C++ to the next level by applying it to the design andimplementation of classes, libraries and applications for option andderivative pricing models. We employ modern software engineeringtechniques to produce industrial-strength applications: -

• Using the Standard Template Library (STL) in finance
• Creating your own template classes and functions
• Reusable data structures for vectors, matrices and tensors
• Classes for numerical analysis (numerical linear algebra …)
• Solving the Black Scholes equations, exact and approximate solutions
• Implementing the Finite Difference Method in C++
• Integration with the ‘Gang of Four’ Design Patterns
• Interfacing with Excel (output and Add-Ins)
• Financial engineering and XML
• Cash flow and yield curves

    Included with the book is a CD containing the source code in theDatasim Financial Toolkit that you can use directly. This will get youup to speed with your C++ applications by reusing existing classes andlibraries.