C++ Design Patterns and Derivatives Pricing



The book  talks about design patterns and how to achieve them in C++.

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Sections

 * Preface
 * Acknowledgements
 * 1) A simple Monte Carlo model
 * 2) Introduction
 * 3) The theory
 * 4) A simple implementation of a Monte Carlo call option pricer
 * 5) Critiquing the simple Monte Carlo routine
 * 6) Identifying the classes
 * 7) What will the classes buy us?
 * 8) Why object-oriented programming?
 * 9) Key points
 * 10) Exercises
 * 11) Encapsulation
 * 12) Inheritance and virtual functions
 * 13) Bridging with a virtual constructor
 * 14) Strategies, decoration, and statistics
 * 15) A random numbers class
 * 16) An exotics engine and the template pattern
 * 17) Trees
 * 18) Solvers, templates, and implied volatilities
 * 19) The factory
 * 20) Design patterns revisited
 * 21) The situation in 2007
 * 22) Exceptions
 * 23) Templatizing the factory
 * 24) Interfacing with EXCEL
 * 25) Decoupling
 * Appendices
 * Appendix A: Black–Scholes formulas
 * Appendix B: Distribution functions
 * Appendix C: A simple array class
 * Choosing an array class
 * A simple array class
 * A simple array class
 * Appendix D: The code
 * Using the code
 * Compilers
 * License
 * Appendix E: Glossary
 * Bibliography
 * Index