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Financial Numerical Recipes in C ++

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 planning to turn it into a book, but even in its incomplete state is should provide a good deal of useful examples and algorithms. | Financial Numerical Recipes in C . Bernt Arne 0degaard April 2007 Contents 1 On C and programming. 1.1 Compiling and linking. 1.2 The structure of a C program. 1.2.1 Types. 1.2.2 Operations . 1.2.3 Functions and libraries. 1.2.4 Templates and libraries . 1.2.5 Flow control. 1.2.6 Input Output. 1.2.7 Splitting up a program. 1.2.8 Namespaces. 1.3 Extending the language the class concept. . . . 1.3.1 date an example class. 1.4 Const references. 1.5 Other C concepts . 2 Matrix Tools 2.1 The first screen. 2.2 Linear algebra . 2.2.1 Basic matrix operations . 2.2.2 Arithmetic Matrix Operations. . 2.3 Solving linear equations . 2.4 Element by element operations . 2.5 Function definitions . 2.6 m files . 2.7 Flow control . 2.8 Plotting . 2.9 Libraries. 2.10 References. 3 The value of time 3.1 Present value . 3.2 One interest rate with annual compounding . . . 3.2.1 Internal rate of return. 3.3 Continously compounded interest . 3.3.1 Present value . 3.4 Further readings . 4 Bond Pricing with a flat term structure 4.1 Flat term structure with discrete annual compounding . 4.1.1 Bond Price . 4.1.2 Yield to maturity . 4.1.3 Duration . 4.1.4 Measuring bond sensitivity to interest rate changes . 4.2 Continously compounded interest . 4.3 Further readings . 5 The term structure of interest rates and an object lesson 5 5 6 6 6 7 7 8 8 8 9 9 10 16 16 17 18 18 18 19 22 24 24 24 24 24 25 25 26 26 27 30 34 35 35 36 37 37 38 41 43 47 50 51 5.1 The interchangeability of discount factors spot interest rates and forward interest rates . 52 5.2 The term structure as an object . 55 5.2.1 Base class . 55 5.2.2 Flat term structure. . 57 5.3 Using the currently observed term structure. . 58 5.3.1 Linear Interpolation. 59 5.3.2 Interpolated term structure class. 61 5.4 Bond calculations with a general term structure and continous compounding . 64 6 The Mean Variance Frontier 67 6.1 Setup . 67 6.2 The minimum variance frontier . 69 6.3 Calculation of frontier portfolios . 69 6.4 The global minimum