This document provides an overview of C++ for quantitative finance applications. It discusses C++ program syntax, classes, pointers, arrays, strings, and how to integrate the Numerical Recipes library. It also provides a sample program to model geometric Brownian motion using a C++ class. The key topics covered are C++ program structure, using classes to organize data and methods, pointers and memory management, and leveraging existing numerical libraries like Numerical Recipes.
This document provides an overview of C++ for quantitative finance applications. It discusses C++ program syntax, classes, pointers, arrays, strings, and how to integrate the Numerical Recipes library. It also provides a sample program to model geometric Brownian motion using a C++ class. The key topics covered are C++ program structure, using classes to organize data and methods, pointers and memory management, and leveraging existing numerical libraries like Numerical Recipes.
This document provides an overview of C++ for quantitative finance applications. It discusses C++ program syntax, classes, pointers, arrays, strings, and how to integrate the Numerical Recipes library. It also provides a sample program to model geometric Brownian motion using a C++ class. The key topics covered are C++ program structure, using classes to organize data and methods, pointers and memory management, and leveraging existing numerical libraries like Numerical Recipes.
This document provides an overview of C++ for quantitative finance applications. It discusses C++ program syntax, classes, pointers, arrays, strings, and how to integrate the Numerical Recipes library. It also provides a sample program to model geometric Brownian motion using a C++ class. The key topics covered are C++ program structure, using classes to organize data and methods, pointers and memory management, and leveraging existing numerical libraries like Numerical Recipes.
It is often difficult to track them down Tip: build and test your programs incrementally
Language Features Program
Syntax
Program Syntax Functions
/ methods
Loops Conditional
statements
Hopefully, syntax is not completely new to
you. If it is, think about using a more familiar computer language. 7
Program Syntax (cont)
Functions
Function return type
... // this is a comment
Function name
int myFirstFunction(int a, int b, double c)
{ int rc = a + b + c; The functions
code
return rc; } ...
Return the value
Program Syntax (cont)
For loop ... for (int i = 0; i < 100; i++) { ... do something ... } ...
Do loop
... i = 0; do { ... do something ... i++; } while (i < 100);
Program Syntax (cont)
If statement ... if (i == 10) { .. do something .. } else { .. do something else } ...
IMPORTANT: Note the
double equal signs (==) to test for equality
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Classes
Classes provide the basic data/code
organization construct within C++ Classes are (roughly) comprised of two parts: Data
members (properties) Code members (methods)
Class support inheritance we dont have time
to cover this Recommendation
if you are not familiar with
inheritance, do not try to learn how to use it during the MFE 11
Classes (cont) class myFirstClass { public: // Some properties int integerProperty; double floatingPointProperty; char characterArray[254]; // some methods // a constructor myFirstClass() { integerProperty = 12; floatingPointProperty = 25.2; strcpy(characterArray, "yo yo yo"); } // a destructor virtual ~myFirstClass() { } void doSomething() { ... some code would go here ... } };
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Classes cont
There are other features to classes
including: Information
hiding (public, protected, private)
Virtual functions
They are extremely powerful and useful,
but now is not the time to play with these.
13
Classes cont
Classic interview question: What is the
difference between a class and an object?
Better interview question: Can an object
ever be a class?
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Pointers Pointers are a special type of variable Pointers hold the address of data, not the data Pointers must be assigned values before they can be used.
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Pointers (cont)
Pointers are a special type of variable
Pointers hold the address of data, not the data ... int a1;
// a1 is not a pointer
int *a2;
// a2 is a pointer
a1 = 10; a2 = &a1; *a2 = 5;
// a2 now points to a1 // we dereference a2 to assign a value
printf("%d %d\n", a1, *a2);
// what will this print?
... 16
Pointers (cont)
Be very careful with pointers
Someone once estimated that 90% of all C++ bugs can be traced back to bad pointers
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Memory Allocation / Arrays
C++ supports both statically and dynamically allocated arrays If you dynamically allocate an array, make sure to deallocate it when you are done using it.
Make
sure you are really done using it before
you deallocate!
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Memory Allocation / Arrays (cont)
... int myArray[10];
// this is statically allocated array
for (int i = 0; i < 10; i++)
{ // Assign a value to each member of the array // Notice that the array is 'referenced' from 0 to 9 // Arrays in C++ 'start' at 0 myArray[i] = i * i + 1; } ...
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Memory Allocation / Arrays (cont)
... // this is dynamically allocated array // it looks suspiciously like a pointer! int *myArray; // first we allocate it myArray = new int[10]; // this is what a for loop looks like for (int i = 0; i < 10; i++) { // Assign a value to each member of the array // Notice that the array is 'reference' from 0 to 9 // Arrays in C++ 'start' at 0 myArray[i] = i * i + 1; } // now we deallocate it delete[] myArray; ...
20
Memory Allocation / Arrays cont
Question: when should you dynamically
allocate an array?
When should static allocation be used?
21
Strings (or lack thereof)
C++ does not have a standard string class
There
is a string class within the Standard Template
Library (STL) Unless you know how to use the STL, ignore it for this term Recommendation: for output, debugging purposes learn how to use printf, sprintf, fprintf The classic way of handling strings is to treat them as arrays of chars. Then use strcpy, strcmp, etc. 22
Strings (or lack thereof) printf()
printf()
enables the formatting of character
data printf(format_string, data1, data2, ) Example:
printf(This is a %s %d %lf test\n,
printing, 2, 5.005)
Produces: This is a printing 2 5.005 test<lf>
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Using Numerical Recipes
There are many numerical libraries available
Numerical Recipes for C++ is easy to use DO NOT RE-INVENT THE WHEEL
If you do not have NR, search on-line for numerical class
libraries Do not write your own random-number generator Do not write your own matrix classes Do not implement complex numerical algorithms if there are canned routines already available Exception: if the goal of a homework assignment is to implement an algorithm.
24
Using Numerical Recipes cont
Warning: there are Numerical Recipes books for FORTRAN, C, C++, etc. Each one is slightly different NR originally implemented in FORTRAN C & C++ versions different enough from each other to cause problems
For
example, arrays in C version are handled
differently than in C++ version 25
Using Numerical Recipes cont
Three different ways to add NR to your project
1.
2. 3.
Recommended : copy the files you need (including
nr.h) to your project directory and add the cpp files to your project Build a static library or DLL with all the NR routines in them Copy the code directly from the NR files into your code files
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Using Numerical Recipes cont
Example: Using an NR random number generator Problem: Want standard normal pseudorandom variable Solution: use gasdev() from NR
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Using Numerical Recipes cont
#include <time.h> #include "nr.h" ... // let's generate 100 standard normal variables double normals[100]; // seed the random number generator int idum = -time(NULL); for (int i = 0; i < 100; i++) { normals[i] = NR::gasdev(idum); } ...
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Putting it All Together A
Geometric Brownian Motion Class
We want to: Model
drift, diffusion Reuse the same object over and over to generate different paths
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GBM cont
Our class properties
m_nSInitial the initial security value (constant)
m_nDrift the drift term (constant) m_nSigma our volatility term (constant) m_nCurrentTime the current time in our simulation m_nSCurrent the current security value
Our class methods
CGBMotion - our constructor
void step moves time forward double getCurrentValue returns m_nSCurrent void reset - resets current time & security value 30
Code #include <math.h> #include "nr.h" class CGBMotion { public: // our properties int m_nIdum; // used by NR::gasdev double m_nSInitial; // initial security value (constant) double m_nDrift; // our drift (constant) double m_nSigma; // our volatility (constant) double m_nCurrentTime; // the current elapsed time double m_nCurrentDiffusion; // how much the process has diffused
Code cont . . . void step(double nTime) { double nDeltaT = nTime - m_nCurrentTime; // how much time has elapsed? if (nDeltaT > 0) { // some time has elapsed // add to our diffusion relative to sqrt of elapsed time m_nCurrentDiffusion += sqrt(nDeltaT) * NR::gasdev(m_nIdum); // update our current time m_nCurrentTime = nTime; } }
for (int i = 0; i < 10000; i++) { double t = 0; oGBM.reset(); // run 100 time steps for (int j = 0; j < 100; j++) { t = t + .01; oGBM.step(t); } // print the results printf("%02d: Simulated value %lf\n", i, oGBM.getCurrentValue()); } return 0; }
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3 Great Resources Wikipedia: http://www.wikipedia.org Wilmott: http://www.wilmott.com Google (of course) : http://www.google.com
