Options and Derivatives Programming in C++23: Algorithms and Programming Techniques for the Financial Industry

✍ Scribed by Carlos Oliveira

• Publisher: Apress
• Year: 2023
• Tongue: English
• Leaves: 312
• Edition: 3
• Category: Library

✦ Synopsis

This book is a hands-on guide for programmers who want to learn how C++ is used to develop solutions for options and derivatives trading in the financial industry. It explores the main algorithms and programming techniques used in implementing systems and solutions for trading options and derivatives. This updated edition will bring forward new advances in C++ software language and libraries, with a particular focus on the new C++23 standard.

The book starts by covering C++ language features that are frequently used to write financial software for options and derivatives. These features include the STL (standard template library), generic templates, functional programming, and support for numerical code. Examples include additional support for lambda functions with simplified syntax, improvements in automatic type detection for templates, custom literals, modules, constant expressions, and improved initialization strategies for C++ objects. This book also provides how-to examples that cover all the major tools and concepts used to build working solutions for quantitative finance. It discusses how to create bug-free and efficient applications, leveraging the knowledge of object-oriented and template-based programming. It has two new chapters covering backtesting option strategies and processing financial data.. It introduces the topics covered in the book in a logical and structured way, with lots of examples that will bring them to life.

Options and Derivatives Programming in C++23 has been written with the goal of reaching readers who are looking for a concise, algorithms-based book that provides basic information through well-targeted examples and ready to use solutions.

What You Will Learn

• Gain insight into the fundamental challenges of the options and derivatives market
• Master the features of the C++ language used in quantitative financial programming
• Understand quantitative finance algorithms for options and derivatives
• Build pricing algorithms around the Black-Scholes model, and use binomial and differential equations methods

Who This Book Is For

Professional developers who have some experience with the C++ language and would like to leverage that knowledge into financial software development.

✦ Table of Contents

Table of Contents
About the Author
About the Technical Reviewer
Introduction
Chapter 1: Options Concepts
Basic Definitions
Option Greeks
Using C++23 to Analyze Options
Availability
Performance
Standardization
Expressiveness
Modeling Options in C++
Creating Well-Behaved Classes
Computing the Option Value at Expiration
Complete Listing
Using the auto Keyword
Initializing Variables in C++
Printing Values in C++
Building and Testing
Further References
Conclusion
Chapter 2: Financial Derivatives
Models for Derivative Pricing
Credit Default Swaps
Collateralized Debt Obligations
FX Derivatives
Equations for Derivative Modeling
Numerical Models
Binomial Trees
Simulation Models
Coding in C++ with the STL
Generating a Random Walk in C++
Complete Listing
Building and Testing
Further References
Conclusion
Chapter 3: Basic C++ Algorithms
Date and Time Handling
Date Operations
Computing the Day of the Week
Using the ++ Operator
Determining Trading Dates
Complete Listing
A Compact Date Representation
Complete Listings
Building and Testing
Using the Standard Chrono Header
Working with Networks
Creating a Dictionary Class
Calculating a Shortest Path
Complete Listings
Building and Testing
Conclusion
Chapter 4: Object-Oriented Techniques
OO Programming Concepts
Encapsulation
Inheritance
Polymorphism
Polymorphism and Virtual Tables
Virtual Functions and Virtual Destructors
Abstract Functions
Building Class Hierarchies
Object Composition
When to Use Object-Oriented Features?
Objects and C++23
Conclusion
Chapter 5: Design Patterns for Options Processing
Introduction to Design Patterns
The Factory Method Design Pattern
The Singleton Pattern
Using the Singleton Design Pattern
Clearing House Implementation in C++
The Observer Design Pattern
Complete Code
The Visitor Pattern
Conclusion
Chapter 6: Template-Based Techniques
Introduction to Templates
Compilation-Time Polymorphism
Template Functions
Implementing Recursive Functions
Recursive Functions and Template Classes
Containers and Smart Pointers
Avoiding Lengthy Template Instantiations
Preinstantiating Templates
Templates in C++23
The constexpr Syntax in C++23
Conclusion
Chapter 7: STL for Derivatives Programming
Introduction to Algorithms in the STL
Sorting
Presenting Frequency Data
Copying Container Data
Finding Elements
Selecting Option Data
STL Improvements in C++23
Array Slices in C++23
Conclusion
Chapter 8: Functional Programming Techniques
Functional Programming Concepts
Function Objects
Functional Predicates in the STL
The Bind Function
Lambda Functions in C++23
Complete Code
Changes to Lambda Functions in C++23
Change in the Scope of Lambda Trailing Return Type
Attributes on Lambdas
Conclusion
Chapter 9: Linear Algebra Algorithms
Vector Operations
Scalar-to-Vector Operations
Vector-to-Vector Operations
Matrix Implementation
Using the uBLAS Library
Complete Code
Syntax Change in C++23: Multidimensional Subscripts
Conclusion
Chapter 10: Algorithms for Numerical Analysis
Representing Mathematical Functions
Using Horner’s Method
Finding Roots of Equations
Newton’s Method
Integration
Complete Code
Conclusion
Chapter 11: Models Based on Differential Equations
General Differential Equations
Ordinary Differential Equations
Euler’s Method
Implementing the Method
The Runge-Kutta Method
Runge-Kutta Implementation
Complete Code
Conclusion
Chapter 12: Basic Models for Options Pricing
Lattice Models
Binomial Model
Binomial Model Implementation
Pricing American-Style Options
Solving the Black-Scholes Model
Numerical Solution of the Model
Complete Code
Conclusion
Chapter 13: Monte Carlo Methods
Introduction to Monte Carlo Methods
Random Number Generation
Probability Distributions
Using Common Probability Distributions
Using Random Walks
Creating Random Walks
Conclusion
Chapter 14: Backtesting Trading Strategies in C++
Obtaining Historical Market Data
Data Cleaning and Preprocessing
Adjustments for Corporate Actions
How to Design Your Trading Strategy
Backtest and Validation Phase
Developing the Backtesting Engine
Read Historical Market Data
Create the Backtesting Engine
Conclusion
Chapter 15: Using C++ Libraries for Finance
Boost Libraries
Installing Boost
Solving ODEs with Boost
Solving a Simple ODE
Creating Histograms with Boost
The QuantLib Library
Handling Dates
Working with Calendars
Computing Solutions for Black-Scholes Equations
Creating a C++ Interface
Complete Code
Conclusion
Chapter 16: Credit Derivatives
Introduction to Credit Derivatives
Modeling Credit Derivatives
Using Barrier Options
A Solver Class for Barrier Options
Barrier Option Classes in QuantLib
An Example Using QuantLib
Complete Code
Conclusion
Chapter 17: Processing Financial Data
Introduction to XML in Finance
Using XML in Finance
Understanding the XML Structure
XML Tags and Elements
Attributes
Hierarchy and Nesting
XML Schema (XSD) and Document Type Definition (DTD)
XML Parsing in C++
Installing the pugixml Library
XML Parsing with pugixml
Performing Data Processing and Analysis
Error Handling
Loading XML File and Checking for Errors
Checking for Node Existence
Handling Missing Attributes
Other Techniques for Error Checking
Using the HDF5 Format
Using HDF5
Compile and Run
HDF5 for Trading Data
Conclusion
Index

✦ Subjects

C++20; C++; Options; Derivatives; Finance; Quantitative Finance; Programming; Trading; Machine Trading; Credit Default Swaps; Forex Derivatives; Black-Sholes; Monte-Carlo; Back Testing; Credit Derivatives; Cplusplus; C Plus Plus; Financial