Workshop Advanced C++11, C++14 and C++17 for Computational Finance

(code CPPA-11)

DESCRIPTION

Click here for course contents.

The goal of this 4-day hands-on course is to introduce the latest version of C++ and apply it to the design and mplementation of libraries and applications in computational finance. We focus on the high-impact language features that allow us to create efficient and maintainable code. These new multiparadigm features are used to create flexible designs for finance applications by integrating the object, functional and generic programming models. We apply modern software design techniques to create customizable libraries, frameworks and applications. The focus is on code for numerically-intensive applications as seen in Monte Carlo simulation, PDE/FDM models and other numerical processes.

The percentage theory/practice is 75%/25%. We provide code skeletons that you can modify and extend the code in order to consolidate understanding of the topics. The percentage theory/practice on day 4 is approximately 30%/70%.

Having completed this course, you will be ready to design and program In C++ for finance.

Originator and Trainer: Dr. Daniel Duffy. He has been working since 1989 with C++ in a variety of roles. He is also originator of the leading online C++ courses for quantitative finance in cooperation with www.quantnet.org and Baruch College, NYC.

Subjects Covered

  • Safe (smart) pointers and automatic memory management; move and copy semantics

  • Numerics (IEEE 754) in C++ and compile-time error handling

  • Fundamental and advanced data containers

  • Lambda functions, functional programming and more

  • Random number generation and statistical distributions in C++

  • From traditional OOP software patterns to multiparadigm design in C++11

  • Threads and tasks; designing parallel code

  • Monte Carlo PDE solutions A-Z

Benefits

  • A defined and repeatable process from A-Z (problem description to running code)
  • Emphasis on computational finance
  • Full source code and solutions to exercises and Duffy’s book
  • Modern software design and high-priority C++ features
  • Hands-on learning and teacher feedback

For whom is this Course?

Quant developers, quant analysts and other finance professionals who are involved with the design and implementation of applications in computational finance. After having followed this course you will acquire skills in C++11 and how to apply it to your work.

What do you receive?

A copy of Daniel Duffy’s 2018 book Financial Instrument Pricing in C++, Second Edition (Wiley) as well as all the source code related to the book. You also receive the hardcopy version of the slides and exercises.

 

Click here for course contents.

 

Your Trainer

Daniel J. Duffy started the company Datasim in 1987 to promote C++ as a new object-oriented language for developing applications in the roles of developer, architect and requirements analyst to help clients design and analyse software systems for Computer Aided Design (CAD), process control and hardware-software systems, logistics, holography (optical technology) and computational finance. He used a combination of top-down functional decomposition and bottom-up object-oriented programming techniques to create stable and extendible applications (for a discussion, see Duffy 2004 where we have grouped applications into domain categories). Previous to Datasim he worked on engineering applications in oil and gas and semiconductor industries using a range of numerical methods (for example, the finite element method (FEM)) on mainframe and mini-computers.

Daniel Duffy has BA (Mod), MSc and PhD degrees in pure and applied mathematics and has been active in promoting partial differential equation (PDE) and finite difference methods (FDM) for applications in computational finance. He was responsible for the introduction of the Fractional Step (Soviet Splitting) method and the Alternating Direction Explicit (ADE) method in computational finance. He is also the originator of the exponential fitting method for time-dependent partial differential equations.

He is also the originator of two very popular C++ online courses (both C++98 and C++11/14) on www.quantnet.com in cooperation with Quantnet LLC and Baruch College (CUNY), NYC. He also trains developers and designers around the world. He can be contacted dduffy@datasim.nl for queries, information and course venues, in-company course and course dates.

Course dates

Date from Date to Location Price (excl. VAT)
Monday 18 November 2019 Thursday 21 November 2019 London EUR 2400.00

Workshop Advanced C++11, C++14 and C++17 for Computational Finance

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