Saturday, June 16, 2012

Inrtoduction to C++ for financial engineers (Book Review)

Introduction to C++ for financial engineers by Daniel J. Duffy (2006) is meant to be a starter course in C++ code writing for those in quantitative financial, i.e. according to the author; it is not the case. I am truly disappointed with it, and have decided to drop the book after the 3rd chapter.

Lack of detailed guidance

A number of code excerpts were presented without the mention of additionally needed libraries; e.g. the Black Scholes example lacked the Cumulative Distribution Function, which I ended up getting from Espen Haug. This would not have been possible if I was a complete newbie to C++.

Lack of original content 

I found nothing interesting, new off the book.

A free alternative

Bernt Arne Odegaard has made available a booklet Recipes, off the collection C++ in Finance. It is pretty easy to understand, free, and has got interesting content.

2 Reflections:

Craig said...

Have you considered the boost library in combination with std::map for ordering observations? (that's what I do anyway).

Rocko Chen said...

I will now!

thanks Craig.