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MA400: Financial Mathematics: Introductory Course

This document provides an overview and introduction to the MA400 Financial Mathematics course. It discusses the aims of the course, which are to familiarize students with basic C++ programming concepts like data types, operators, loops, functions, pointers, and arrays. The document also outlines the structure of the 11-hour course over 2 weeks and recommends some references for further reading on C++.

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Raman Ahmed
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112 views24 pages

MA400: Financial Mathematics: Introductory Course

This document provides an overview and introduction to the MA400 Financial Mathematics course. It discusses the aims of the course, which are to familiarize students with basic C++ programming concepts like data types, operators, loops, functions, pointers, and arrays. The document also outlines the structure of the 11-hour course over 2 weeks and recommends some references for further reading on C++.

Uploaded by

Raman Ahmed
Copyright
© Attribution Non-Commercial (BY-NC)
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as PDF, TXT or read online on Scribd
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MA400: Financial Mathematics

Introductory Course

Lecture 1: Overview of the course

Preliminaries

A brief introduction

Beginning to program

Some example programs

Aims of this course


Students should have a familiarity with the basics of C++ programming. In particular, you will see fundamental data types arithmetic and operators tests and loops functions (encapsulating code) pointers and arrays

That is, you will see the C of C++. However, this is not a software programming course.

Recommended reading
Find one that suits your learning requirements.

Introducing C++ for Scientists, Engineers and Mathematicians, 2nd Ed. D.M.Capper. The C++ Programming Language, Special Edition. Bjarne Stroustrup. Online C++ language tutorial at http://www.cplusplus.com/doc/tutorial/ Thinking in C++ Vols 1 & 2. Bruce Eckel. http://www.mindview.net/Books/TICPP/ThinkingInCPP2e.html

There are also a lot of free online tutorials and resources.

Structure of this course

This is a 11 hour course, of which 2 hour (supervised) lab session [worksheet] 9 hours of lectures
Week 1 (3 hours):
Introduction to the course Fundamental types and operators Control structure

Week 2 (6 hours):
Functions Pointers and arrays Summary and tips. A look forwards.

MA417 - Computational Methods in Finance

What is C++?
C++ is a general purpose programming language that is itself a superset of the C programming language.

It is a compiled language, so that source les are used to generate executables, rather than executed themselves.

It is a general-purpose programming language that is designed to support: data abstraction object-oriented programming, generic programming.

Data abstraction

User-dened types which allow the user to model a particular entity in their system, together with various operations on it. This is done through classes

For example: matrices, complex numbers, even the term structure of interest rates!

The term structure of interest rates as an object

Note that the term structure of interest rates can be equivalently specied in terms of either discount factors, spot interest rates, or forward interest rates.

Complex numbers as an object


class complex { private: double re, im; public: complex(double r, double i) { re = r ; im = i ; } complex() { re = 0 ; im = 0 ; } friend complex operator+(complex, complex); ... friend bool operator==(complex, complex); ... };

Complex numbers as an object

complex operator+(complex a1, complex a2) { return complex ( a1.re + a2.re, a1.im + a2.im ); }

Object-oriented programming
Consider the following situations Suppose we have dened a Shape class, and alongside this we also had a Disc class, a Triangle class and a Square class. Consider a Matrix class, and a class representing all invertible matrices. Consider a Vector class, and a class representing all 3-vectors.

In all these cases, the latter classes clearly inherit, or derive, properties from the former, parent, class. Languages which allow such class hierarchies to be expressed and used support object-oriented programming.

Generic programming
Using templates, or parameterised types, C++ allows us to implement algorithms that are independent of the data types they are used on.

E.g. arrays, lists and vectors are all data structures which are amenable to sorting, copying and searching functions.

Integers and oating numbers are also amenable to the same sorts of functions and operators, such as nding the maximum of two numbers.

Programming experience

C/C++

Java

Other (Perl, Python, etc)

Maple/Mathematica/Matlab/etc

Learning to program

Program. Think. Document.

Your programming environment


What do you need to start programming in C++? A pencil and some paper. A text-editor to write the source code A compiler (GCC) Access to the command prompt However, you may prefer to work within an IDE (Integrated Development Environment) Bloodshed Dev-C++ Eclipse A comparison of various C/C++ IDEs can be found at Wikipedia: http://tinyurl.com/comparison-of-cpp-ides

The simplest program possible

int main() {}

Hello, world!
// Print "Hello, world!" to the standard output stream #include <iostream> // I/O stream facilities

int main() { /* Use "put to" operator >> to print "Hello, world!" to standard output stream */ std::cout << "Hello, world!\n"; // Note the newline // Return 0 to indicate successful execution return(0); }

Compile (Ctrl + F9) Run (Ctrl + F10) Compile & Run (F9)

Running from the command line

H:\>dir 09/11/2009 09/11/2009 09/11/2009 09/11/2009

05:24 PM <DIR> . 05:24 PM <DIR> .. 05:23 PM 576 hello.cpp 05:24 PM 475,852 hello.exe 2 File(s) 476,238 bytes 2 Dir(s) 37,365,292,800 bytes free

H:\>quadratic.exe H:\>

Compiling from the command line

Using the Gnu C Compiler (gcc):

Windows C:\Dev-Cpp\bin\g++ -o hello hello.cpp

Linux, Mac OS X gcc -lstdc++ -o hello hello.cpp

A basic program template


// Describe the programs #include <iostream> // #include <cstdlib> // using namespace std; // int main() { // Program code system("PAUSE"); return(EXIT_SUCCESS); } function For input/output streams For EXIT_SUCCESS Make all std names global

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