++ Introduction to C for Financial Engineers An object-oriented approach Daniel J. Duffy ++ Introduction to C for Financial Engineers ForothertitlesintheWileyFinanceSeries pleaseseewww.wiley.com/finance ++ Introduction to C for Financial Engineers An object-oriented approach Daniel J. Duffy Copyright(cid:2)C 2006DanielJDuffy Publishedby JohnWiley&SonsLtd,TheAtrium,SouthernGate,Chichester, WestSussexPO198SQ,England Telephone (+44)1243779777 Email(forordersandcustomerserviceenquiries):[email protected] Visit our Home Page on www.wiley.com AllRightsReserved.Nopartofthispublicationmaybereproduced,storedinaretrievalsystem ortransmittedinanyformorbyanymeans,electronic,mechanical,photocopying,recording, scanningorotherwise,exceptunderthetermsoftheCopyright,DesignsandPatentsAct1988 orunderthetermsofalicenceissuedbytheCopyrightLicensingAgencyLtd,90Tottenham CourtRoad,LondonW1T4LP,UK,withoutthepermissioninwritingofthePublisher. 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HG176.7.D8432006 005.13(cid:3)3024332—dc22 2006020622 BritishLibraryCataloguinginPublicationData AcataloguerecordforthisbookisavailablefromtheBritishLibrary ISBN13 978-0-470-01538-4(HB) ISBN10 0-470-01538-1(HB) Typesetin10/12ptTimesbyTechBooks,NewDelhi,India PrintedandboundinGreatBritainbyAntonyRoweLtd,Chippenham,Wiltshire Thisbookisprintedonacid-freepaperresponsiblymanufacturedfromsustainableforestry inwhichatleasttwotreesareplantedforeachoneusedforpaperproduction. Contents 0 GoalsofthisBookandGlobalOverview 1 0.1 Whatisthisbook? 1 0.2 Whyhasthisbookbeenwritten? 1 0.3 Forwhomisthisbookintended? 2 0.4 WhyshouldIreadthisbook? 2 0.5 Thestructureofthisbook 2 0.6 Whatthisbookdoesnotcover 2 0.7 Moreinformationandsupport 3 PARTI C++ESSENTIALSKILLS 5 1 IntroductiontoC++andQuantitativeFinance 7 1.1 Introductionandobjectives 7 1.2 AshorthistoryofC++ 7 1.3 C++,amulti-paradigmlanguage 8 1.3.1 Object-orientedparadigm 8 1.3.2 Genericprogramming 10 1.3.3 Procedural,modularandfunctionalprogramming 11 1.4 C++andquantitativefinance:what’stherelationship? 11 1.5 Whatissoftwarequality? 11 1.6 Summaryandconclusions 13 1.7 Exercises 14 2 TheMechanicsofC++:fromSourceCodetoaRunningProgram 15 2.1 Introductionandobjectives 15 2.2 Thecompilationprocess 15 2.3 Headerfilesandsourcefiles 16 2.4 Creatingclassesandusingtheirobjects 19 2.5 Templateclassesandtemplatefunctions 22 2.6 Kindsoferrors 25 2.6.1 Compilererrors 25 2.6.2 Linkererrors 26 2.6.3 Run-timeerrors 26 2.7 Thestructconcept 27 vi Contents 2.8 Usefuldataconversionroutines 27 2.9 Summaryandconclusions 29 2.10 Exercisesandprojects 29 3 C++FundamentalsandMyFirstOptionClass 31 3.1 Introductionandobjectives 31 3.2 Class==memberdata+memberfunctions 32 3.3 Theheaderfile(functionprototypes) 33 3.4 Theclassbody(codefile) 35 3.5 Usingtheclass 38 3.6 Examiningtheclassindetail 40 3.6.1 Accessibilityissues 40 3.6.2 Usingstandardlibraries 40 3.6.3 Thescoperesolutionoperator‘::’ 41 3.6.4 Virtualdestructor:bettersafethansorry 41 3.7 Otherparadigms 41 3.8 Summaryandconclusions 45 3.9 Questions,exercisesandprojects 45 4 CreatingRobustClasses 49 4.1 Introductionandobjectives 49 4.2 Callbyreferenceandcallbyvalue 49 4.3 Constantobjectseverywhere 52 4.3.1 Read-only(const)memberfunctions 52 4.4 Constructorsindetail 54 4.4.1 Memberinitialisation 55 4.5 Staticmemberdataandstaticmemberfunctions 55 4.6 Functionoverloading 57 4.7 Non-memberfunctions 58 4.8 Performancetipsandguidelines 58 4.8.1 The‘inline’keyword 58 4.8.2 Anonymousobjectsinfunctioncode 59 4.8.3 Loopoptimisation 60 4.9 Summaryandconclusions 60 4.10 Questions,exercisesandprojects 60 5 OperatorOverloadinginC++ 63 5.1 Introductionandobjectives 63 5.2 Whatisoperatoroverloadingandwhatarethepossibilities? 63 5.3 Whyuseoperatoroverloading?Theadvantages 65 5.4 Operatoroverloading:thesteps 68 5.4.1 Aspecialcase:theassignmentoperator 70 5.5 UsingoperatoroverloadingforsimpleI/O 71 5.6 Friendfunctionsingeneral 72 5.6.1 Friendclasses 73 5.7 Summaryandconclusions 74 5.8 Exercise 74 Appendix:usefuldatastructuresinC++ 75 Contents vii 6 MemoryManagementinC++ 79 6.1 Introductionandobjectives 79 6.2 Singleobjectsandarraysofobjectsonthestack 79 6.3 Specialoperators:‘new’and‘delete’ 82 6.3.1 Singleobjects 82 6.3.2 Arraysofobjects 83 6.4 Smallapplication:workingwithcomplexnumbers 84 6.5 Creatinganarrayclass 86 6.5.1 Memoryallocationanddeallocation 86 6.5.2 Accessingfunctions 87 6.5.3 Examples 88 6.5.4 Thefullheaderfile 88 6.6 Summaryandconclusions 89 6.7 Exercises 89 6.8 Reviewquestionsandcomments 91 7 Functions,NamespacesandIntroductiontoInheritance 93 7.1 Introductionandobjectives 93 7.2 Functionsandfunctionpointers 93 7.2.1 Functionsinfinancialengineering 94 7.2.2 Functioncategories 94 7.2.3 ModellingfunctionsinC++ 95 7.2.4 Applicationareasforfunctionpointers,partI 96 7.3 AnintroductiontonamespacesinC++ 96 7.3.1 Someextrafunctionality 97 7.4 AnintroductiontotheinheritancemechanisminC++ 99 7.4.1 Basicinheritancestructure 99 7.4.2 Addingnewfunctionality 101 7.4.3 Overridingfunctionality:polymorphicand non-polymorphicbehaviour 102 7.5 Multipleinheritance 104 7.6 Solutionofnonlinearequations 104 7.7 NonlinearsolversinC++:designandimplementation 106 7.8 Applyingnonlinearsolvers:calculatingvolatility 108 7.9 Summaryandconclusions 109 7.10 Exercisesandprojects 109 8 AdvancedInheritanceandPayoffClassHierarchies 113 8.1 Introductionandobjectives 113 8.2 Thevirtualspecifierandmemorydeallocation 113 8.3 Abstractandconcreteclasses 115 8.3.1 Usingpayoffclasses 118 8.4 Lightweightpayoffclasses 119 8.5 Superlightweightpayofffunctions 121 8.6 Thedangersofinheritance:acounterexample 123 8.7 Implementationinheritanceandfragilebaseclassproblem 127 8.7.1 Deephierarchies 127 8.7.2 Multipleinheritanceproblems 127