C++ in Finance

C++ programs for Finance

I have made some programs for common uses in finance. They may be of interest to others, so I have made them public under the GNU Public Licence .

C++ Financial Algoritms (Financial Numerical Recipes)

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. The manuscript and codes will be added to as I get the time. All the code should conform to the current ANSI C++ standard. Last update: Apr 2007.

Current pagecount: 248.

C++ Classes for empirical financial data

I am using C++ for most of my econometric work, and have made a number of general utilities for that purpose, mainly for dealing with time series observations. The classes for empirical financial data is documented and collected in this

The classes for financial data contains the following components:

Last updated: Apr 2007,

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