TAILIEUCHUNG - 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. Compiling and linking. The structure of a C program. Types. Operations . Functions and libraries. Templates and libraries . Flow control. Input Output. Splitting up a program. Namespaces. Extending the language the class concept. . . . date an example class. Const references. Other C concepts . 2 Matrix Tools The first screen. Linear algebra . Basic matrix operations . Arithmetic Matrix Operations. . Solving linear equations . Element by element operations . Function definitions . m files . Flow control . Plotting . Libraries. References. 3 The value of time Present value . One interest rate with annual compounding . . . Internal rate of return. Continously compounded interest . Present value . Further readings . 4 Bond Pricing with a flat term structure Flat term structure with discrete annual compounding . Bond Price . Yield to maturity . Duration . Measuring bond sensitivity to interest rate changes . Continously compounded interest . 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 The interchangeability of discount factors spot interest rates and forward interest rates . 52 The term structure as an object . 55 Base class . 55 Flat term structure. . 57 Using the currently observed term structure. . 58 Linear Interpolation. 59 Interpolated term structure class. 61 Bond calculations with a general term structure and continous compounding . 64 6 The Mean Variance Frontier 67 Setup . 67 The minimum variance frontier . 69 Calculation of frontier portfolios . 69 The global minimum

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