CCourse

C++ Course

Lecture 1, Jan. 10, 2005

Some very simple programs.
Using #include statements, namespace, the cout function, strings and character arrays.

Lecture 5, Jan 24, 2005

Computer Lab: Implementing the IRR function in the cash_flow class.

Download the three source code files:

cash_flow.cpp
cash_flow.h
test.cpp

by right-click and using “Save Target As…”.

Open a new empty project in Visual Studio and put the “test.cpp” and “cash_flow.cpp” in the Source code folder, “cash_flow.h” in the Headers folder.

We will study the code in “Numerial Recipes in C++” p. 356 (Root Finding) to get clues on how to implement the IRR() function.

Source Code

Lecture 6, Jan 26, 2005

Finish implementing the IIR function in the cash_flow class.
Last time we managed to write the code that will bracket the IRR between two rates. We now use bisection to actually find the IRR.

Use the same procedure as above to download the updated code.

Source Code

Lecture 7, Jan 31, 2005

BondAnalyzer project: the Date class

Homework: Implement the checkDate() function and build it into the constructors for the Date class.
Use the Date class to find all the Friday the 13^th from Feb. 2, 2005 to Feb. 2, 2010.

Source Code

Lecture 8, Feb 7, 2005

Implementing the checkDate() function and the overloaded operators pre and post-increment ++, +=, pre and post-decrement --, nextBusDay() and adding a number of days to a given Date object. Using the pointer “this” .i.e. the pointer in an object that points to the object itself.

Homework: even with our checkDate() function there is still a backdoor for a user to make an invalid Date object. See if you can find what it is and fix it.
Build the – and the -= operators so there are safeguards agains them resulting in invalid Date objects.

Source Code

Lecture 9, Feb 14, 2005

Using the Date class and the cash_flow class to build a present value calculator that allows us to input the date of cash flows.

Homework for the Lab: eliminate one of the loops to make the cashFlow.cpp code more efficient while still providing the same functionality

Source Code

Lecture 10, Feb 21, 2005

Pointers and Inheritance. The TermStructure class as a base class for the other classes of term structures. The notion of polymorphism i.e. how a pointer of base class type can point to an object of a derived class type, through the use of virtual functions.

Homework for the Lab: begin to code the derived classes. As a first step write a routine that will take a given date d and find the two dates where we have observed rates on either side of d.

Source Code

Lab, Mar 9, 2005

Source Code

Lecture Mar 28, 2005

Working version of the TermStructureCubicSpline class, test program.

Beginning discussion of QuantLib library

Code

Lecture Apr 4, 2005

Building a simple option pricer with QuantLib.

Code

Lecture Apr 6, 2005

Pricing an Asian Option with QuantLib