MoneyScience Financial Training
Course Length: 3 Days | Cost: £3000
The goal of this three-day intensive hands-on course is to learn those advanced features in C+ that are of direct relevance to writing and extending application for quantitative and computational finance. The course uses the object-oriented and generic (templates) programming models (OOP, GP) in combination with design patterns and the STL and boost libraries to allow you to create robust and flexible applications. We develop the contents of the course by discussing important C++ language, using OOP and GP models to write clean and effective code. We also discuss how to improve the performance of your application. In all cases, the examples and test cases are based on finance experience.
This is one of the few courses (in our opinion) that focusses on the application of C++ to quantitative and computational finance. It is a practical course for practitioners.
To participate in this course, you need to bring your own laptop computer with a C++ compiler (ideally Microsoft's Visual Studio or GNU GCC for example)
Your trainer is Dr. Daniel J. Duffy who has 20 years experience of C++ application development, design and training of professionals. He is the author of several books on C++ with applications to financial engineering and computational finance.
The percentage theory/practice is 70/30.
Course Highlights
In this course we introduce state-of-the-art design and programming techniques in C++ and their application to Computational Finance. In particular, the following topics are discussed in detail:
- Advanced C++ syntax and its application
- Template classes and the Standard Template Library (STL)
- Combining the object-oriented and generic programming paradigms
- The famous Gamma (GOF) design patterns applied to QF
- Interfacing to Excel: COM Add-ins
- Creating applications: Monte Carlo, Finite Difference and lattice methods
Prerequisites
We assume that the student has experience of C++. This is not a beginners course and we assume you know what constructors, destructors and operator overloading are in C++ and how memory management works (see modules 1-3 of the Distance Learning course).
What do you receive?
As attendee you receive a full set of slides, C++ source code and a copy of Daniel Duffy's book "Financial Instrument Pricing using C++" (Wiley 2004), including CD with C++ code. In short, you will receive what is needed to start developing your own applications. The price includes coffee, tea, lunch and refreshments.
Who should attend?
This course has been developed for financial professionals who design and implement pricing and hedging models in C++ and Excel. The course introduces and elaborates on how to apply C++ to creating flexible and reliable applications in Quantitative Finance using the most modern software design techniques. There is ample room for questions on your own specific applications as well as hands-on programming sessions. It is assumed that the attendees have some working knowledge of C++ and have developed applications or prototype applications in that language.
Course Tutor
Daniel J. Duffy has BA (Mod), MSc and PhD degrees, all of which in mathematics and numerical analysis. He has been working with numerical methods on finance, industry and engineering since 1979. He has written four books on numerical methods and C++ for quantitative finance and he has developed a number of new schemes for this field as well as more than 20 years of training experience.
What have previous delegates said?
- "Very good style and knowledge was far above the norm"
- "Excellent hands-on teaching"
- "Good balance of C++ and finance, theory and practice"
- "The book I wish I had had when I first started studying C++"
- "The best course I ever attended (Vienna)"
