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C++ Design Patterns and Derivatives Pricing (Mathematics, by M. S. Joshi

By M. S. Joshi

Newly up to date moment variation and now in paperback! this can be the 1st publication on imposing monetary types utilizing object-oriented C++. Assuming just a easy wisdom of C++ and mathematical finance, the reader learns the way to produce well-designed, established, reusable code through carefully-chosen examples. This re-creation contains a number of new chapters overlaying themes of accelerating robustness within the presence of exceptions, designing a primary manufacturing facility, interfacing C++ with EXCEL, and bettering code layout utilizing the belief of decoupling. entire ANSI/ISO appropriate C++ resource code is hosted on an accompanying site for the reader to check intimately, and reuse as they see healthy. no matter if you're a pupil of economic arithmetic, a operating quantitative analyst or monetary mathematician, you wish this e-book. delivering useful steps for enforcing pricing versions for advanced monetary items, it's going to remodel your knowing of ways to take advantage of C++.

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So if when running a program, a virtual function is encountered, the table is looked up and execution jumps into the function pointed to. Note that this operation takes a small amount of time so efficiency fanatics dislike virtual functions as they cause a small decrease in execution speed. Note also that the amount of memory per object has also increased 1 as the object now contains a lot of extra data. 1 It is a curious fact that the C++ standard says nothing about how virtual functions are implemented so the effects are compiler dependent: However, modern compilers typically store one copy of the virtual table for each class, and each object contains a pointer to the relevant table.

The vanilla option will not exist as independent object in its own right but will instead always be dependent on the PayOff object constructed outside the class. This is a recipe for trouble. The user of the VanillaOption will not expect changes to the PayOff object to have such an effect. In addition, if the PayOff object had been created using new as we did in the last chapter then it might be deleted before the option ceased to exist which would result in the vanilla option calling methods of a non-existent object which is bound to cause crashes.

The solution is to use a design known as the Factory pattern. We shall discuss how to do this in Chapter 10. 7 Key points In this chapter, we looked at how inheritance could be used to implement a PayOff class that is closed for modification but open for extension. • • • • Inheritance expresses ‘is a’ relationships. A virtual function is bound at run time instead of at compile time. We cannot have objects from classes with pure virtual functions. We have to pass inherited class objects by reference if we do not wish to change the virtual functions.

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