500 C++ Programs for Quantitative Finance

Abstract

I have put together a compendium of over 500 C++ programs, discussing a plethora of topics spanning from modern C++ programming style, the standard template library(STL) containers and algorithms, numerical linear algebra, using Quantlib, to creating data structures and solvers commonly found in quantitative finance. The programs are intended to be descriptive and pedagogical.

Keywords: quant, quantitative finance, numerical linear algebra, partial differential equations, computational physics