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Jul 25

C++ Financial Algoritms (Financial Numerical Recipes)

Posted by abiao at 17:40 | Code » C++ | Comments(0) | Reads(11258)
In finance, there are areas where formulas tend to get involved. Sometimes it may be easier to follow an exact computer routine. I have made some C++ subroutines that implements common algoritms in finance. Typical examples are option/derivatives pricing, term structure calculations, mean variance analysis. These routines are presented together with a good deal of explanations and examples of use, but it is by no means a complete "book" with all the answers and explanations. I'm hoping to turn it into a book, but even in its incomplete state is should provide a good deal of useful algorithms for people working within the field of finance.

Book and Code are at http://finance-old.bi.no/~bernt/gcc_prog/index.html

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