Course not currently available

C++ for Modeling Quantitative Finance Training Course

Online

£ 7,000 VAT inc.

Description

  • Typology

    Course

  • Methodology

    Online

Description

Deep C++ training to cover quantitative methods modeling and introduce a huge project for the trainees to have real hands-on experience with C++ for Quants

To take into account

General Programming Knowledge

Questions & Answers

Ask a question and other users will answer you

We will only publish your name and question

Subjects

  • Inheritance
  • Access
  • Quantitative Finance
  • Options
  • Semantics
  • Syntax
  • Simulation
  • Finance
  • Project
  • Threading

Course programme

Module 1(C++ Phase 1)
  • Intro + References
  • Basics
  • Workshop Basics
  • Overloading
  • What can we overload, and how.
  • Extra C++ Types (bool & reference)
  • Workshop overloading
  • OOP
  • Quick introduction to Oop
  • Classes
  • Structs
  • Access Modifiers
  • Constructor
  • default/delete functions
  • initializer syntax / constructor initialization list
  • Workshop classes
  • Memory
  • Classical memory interaction
  • Workshop Memory
Module 2
  • Introduction to quantitative finance
  • Discrete Time Models
  • Continuous Time Models
  • Interest rate models
  • Options on bonds
  • Short rate Models
  • Forward Rate Models
  • Market Models
Module3 (C++ Phase2 & Quantitative final phase)
  • Inheritance
  • Construction
  • Polymorphism
  • Virtual, pure virtual, abstract, interface
  • Access modifiers
  • Workshop Inheritance (Shapes)
  • Exceptions
  • What are they
  • How do they work
  • What to throw and what to catch
  • Workshop exceptions
  • Memory exhaustion
  • How it’s notified
  • How to handle
  • Modern Memory Management
  • RAII
  • Templates applied to Modern Memory Management (SmartPointer)
  • Standardized C++11 SmartPointers
  • Nullptr
  • Workshop SmartPointers
  • Namespaces
  • Workshop Namespaces
  • Vasicek Bond Prices in C++
  • Black-Scholes Modeling in C++ put &call
  • Introduction to Monte carlo Simulation
  • How to price options using Simulation
  • Monte carlo Simulation in C++
  • Geometric Brownian Motion
  • American Vs European Options
  • Slice based valuation :Lattice Method
  • Slice based valuation :PDE Method
  • Slice based valuation :PDE Method
  • Valuation of American (dates Predetermined) Bermudan Option
Module 4 -C++ Final phase
  • auto
  • The new auto keyword
  • The new auto return syntax
  • enum
  • New style enums
  • constexpr
  • New constant expressions
  • About constness
  • Const and Mutable explained
  • Lambdas & function objects
  • Classes that act like functions
  • Introduction lambda functions
  • Chrono
  • An introduction to the new Chrono library
Module 5
  • Casting
  • Standard library
  • String
  • Containers
  • Vector (vs)
  • List
  • Map
  • Array
  • Tuple
  • Initializer lists
  • Iterators
  • range-for syntax
  • Std Algorithms
  • Streams
  • Miscellaneous Keywords
  • static
  • explicit
Module 6
  • Move semantics
  • Introduction to L/R values
  • R-value-references applied to move semantics
  • Type Traits
  • Obtaining information on compile time
  • Concurrency
  • Introduction to C++11’s Threading, async/future and atomic types implementation
  • Variadic templates - An introduction to C++11’s variadic templates

Additional information

49 hours (usually 7 days including breaks)

C++ for Modeling Quantitative Finance Training Course

£ 7,000 VAT inc.