Practical C++ Financial Programming

出版者:Apress

作者:Carlos Oliveira

页数:396

出版时间:2015-3-6

价格:USD 86.76

装帧:Paperback

isbn号码:9781430267157

具体描述

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.

What you’ll learn

Understand the fundamental problem types in the financial market. Design algorithms to solve financial programming problems. Extend C++ through Python extensions and LUA modules. Employ third-party numeric libraries such as those from Boost. Properly engage key C++ features such as templates and exception handling. Benefit from new features in C++14, such as auto variables and closures.

Who this book is for

Practical C++ Financial Programming is for professionals or advanced students who have interest in learning C++ financial programming, especially in preparation for a professional career. Readers should have a working-knowledge of programming in C, C++, or some other C-like language. The book is also useful to current practitioners at financial institutions as a ready-reference to common development problems and techniques.

Table of Contents

The Fixed-Income MarketThe Equities MarketC++ Programming Techniques in FinanceCommon Libraries for Financial CodeDesigning Numerical ClassesPlotting Financial DataLinear AlgebraInterpolationCalculating Roots of EquationsNumerical IntegrationSolving Partial Differential EquationsAlgorithm OptimizationPortfolio OptimizationMonte Carlo Methods for Equity marketsExtending Financial LibrariesC++ with R and OctaveMultithreadingAppendix A: C++14 Features

作者简介

About the Author

Carlos Oliveira works in the area of quantitative finance, with more than ten years of experience in creating scientific and financial models in C++. During his career, Carlos has developed several large-scale applications for financial companies such as Bloomberg L.P. and F-Squared Investments.

Carlos Oliveira obtained a PhD in Operations Research and Systems Engineering from the University of Florida, an MSc in Computer Science from UFC (Brazil), and a BSc in Computer Science from UECE (Brazil). He has also performed academic research in the field of combinatorial optimization, with applications in diverse areas such as finance, telecommunications, computational biology, and logistics. Carlos has written more than 30 academic papers on optimization, and authored three books, including Practical C++ Financial Programming (Apress, 2015).

用户评价

这本书在结构布局上的逻辑性令人赞叹，它完美地平衡了理论的广度与实践的深度。它并非仅仅停留在展示C++语言特性上，而是将语言能力精准地嫁接到了具体的金融应用场景之中。我注意到，它并非简单地罗列了一堆分散的、孤立的编程技巧，而是围绕着几个关键的金融工程模块，如风险度量、蒙特卡洛模拟、以及高性能计算的需求，构建了一个层层递进的学习路径。每一个技术点都是为了解决某个特定的金融问题而存在的，这使得学习过程充满了目的性，避免了为了编程而编程的空洞感。更妙的是，作者在展示完基础框架后，会立即跳转到如何利用现代C++的特性（比如模板元编程或并发处理）来优化这些金融算法的性能，这种“提出问题—建立模型—优化实现”的闭环结构，真正体现了“工程”二字的精髓。

这本书的装帧设计给我留下了非常深刻的印象，封面采用了深邃的蓝色调，搭配简洁的白色和少许亮银色的字体，散发出一种专业而沉稳的气质。拿在手里，纸张的质感也相当不错，厚实且触感细腻，这对于需要频繁翻阅参考的编程书籍来说，无疑是一个巨大的加分项。我尤其欣赏它在排版上的用心，代码块的缩进和高亮显示处理得非常得当，即便是面对大段复杂的算法逻辑，阅读起来也不会感到眼睛疲劳。章节之间的过渡自然流畅，每一部分的标题都清晰地指明了接下来的内容方向，使得我在快速浏览或查找特定主题时，效率大大提高。整体而言，光是这本书的物理呈现，就已经展现出一种对细节的极致追求，让人感觉到作者和出版方确实是为读者着想，愿意在这“面子工程”上投入心力。这种对外观和手感的重视，往往预示着内容本身也具有相当的深度和条理性，让人在尚未深入阅读之前，就已经建立起一种积极的期待感。

我发现这本书在工具链和环境配置方面也做得相当细致入微，这对于实际工作的效率提升至关重要。很多技术书籍往往在代码能够跑起来之前，就让读者在环境配置上耗费大量时间。但这本书不同，它非常清晰地列出了推荐的编译器版本、必要的第三方库（比如用于高性能数值计算的那些），并且提供了详尽的编译和链接指南。对于涉及到跨平台部署的问题，它也给出了明确的建议和潜在的陷阱提示。这种对“如何让代码跑起来”这一实际操作层面的关注，体现了作者对读者实际开发流程的深刻理解。这不仅仅是一本关于编程思想的书，它更像是一本“实战手册”，确保读者能够迅速地将书中学到的理论知识转化为可以在生产环境中运行的、经过优化的解决方案，极大地缩短了从学习到应用之间的“转化期”。

这本书最让我印象深刻的一点，在于它对软件工程规范的强调，这在很多侧重于算法实现的技术书籍中是常被忽略的环节。作者没有将C++代码写成那种“能跑就行”的脚本风格，而是非常注重代码的可维护性、可扩展性和健壮性。在代码示例中，你可以清晰地看到良好的命名规范、合理的封装层次，以及详尽的注释结构。尤其是在处理异常和边界条件时，作者展现了极高的警惕性，教导读者如何构建能够在金融这种对精度和稳定性要求极高的领域中信赖的系统。这种对高质量代码文化的植入，对我个人的编程习惯产生了潜移默化的积极影响。我感觉自己学到的不仅仅是完成任务的技巧，更是一种面向长期维护和团队协作的专业素养的培养。

阅读体验上，这本书的叙述风格简直是一股清流。它避开了那种高高在上、故作深奥的学术腔调，而是采用了一种非常亲切、仿佛一位经验丰富的前辈在耳边耐心指导的口吻。作者似乎深谙初学者在面对金融模型时的那种困惑与障碍，因此在解释每一个核心概念时，都会用极其生活化、易于理解的比喻来打通“理论”与“实践”之间的那道鸿沟。比如，在讲解某个复杂的期权定价公式时，作者没有直接抛出冰冷的数学公式，而是先构建了一个模拟的市场场景，让我们在情景中去体会为什么需要这个公式，它的作用是什么。这种“故事化”的讲解方式，极大地降低了学习的心理门槛，使得那些原本令人望而却步的金融数学概念变得触手可及。读完整章后，你不会觉得是“啃”完了理论，而是感觉自己“参与”了一次深入的行业交流，收获的不仅是知识，还有那种由衷的豁然开朗的愉悦感。