C++ for Modeling Quantitative Finance

Module 1(C++ Phase 1)

• Intro + References
• Basics
• Workshop Basics
• Overloading
• What can we overload, and how.
• Extra C++ Types (bool & reference)
• Workshop overloading
• OOP
• Quick introduction to Oop
• Classes
• Structs
• Access Modifiers
• Constructor
• default/delete functions
• initializer syntax / constructor initialization list
• Workshop classes
• Memory
• Classical memory interaction
• Workshop Memory

• Introduction to quantitative finance
• Discrete Time Models
• Continuous Time Models
• Interest rate models
• Options on bonds
• Short rate Models
• Forward Rate Models
• Market Models

• Inheritance
• Construction
• Polymorphism
• Virtual, pure virtual, abstract, interface
• Access modifiers
• Workshop Inheritance (Shapes)
• Exceptions
• What are they
• How do they work
• What to throw and what to catch
• Workshop exceptions
• Memory exhaustion
• How it’s notified
• How to handle
• Modern Memory Management
• RAII
• Templates applied to Modern Memory Management (SmartPointer)
• Standardized C++11 SmartPointers
• Nullptr
• Workshop SmartPointers
• Namespaces
• Workshop Namespaces
• Vasicek Bond Prices in C++
• Black-Scholes Modeling in C++ put &call
• Introduction to Monte carlo Simulation
• How to price options using Simulation
• Monte carlo Simulation in C++
• Geometric Brownian Motion
• American Vs European Options
• Slice based valuation :Lattice Method
• Slice based valuation :PDE Method
• Slice based valuation :PDE Method
• Valuation of American (dates Predetermined) Bermudan Option

• auto
• The new auto keyword
• The new auto return syntax
• enum
• New style enums
• constexpr
• New constant expressions
• About constness
• Const and Mutable explained
• Lambdas & function objects
• Classes that act like functions
• Introduction lambda functions
• Chrono
• An introduction to the new Chrono library

• Casting
• Standard library
• String
• Containers
• Vector (vs)
• List
• Map
• Array
• Tuple
• Initializer lists
• Iterators
• range-for syntax
• Std Algorithms
• Streams
• Miscellaneous Keywords
• static
• explicit

• Move semantics
• Introduction to L/R values
• R-value-references applied to move semantics
• Type Traits
• Obtaining information on compile time
• Concurrency
• Introduction to C++11’s Threading, async/future and atomic types implementation
• Variadic templates - An introduction to C++11’s variadic templates