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Learning Modern C++ for
Finance
Foundations for Quantitative Programming
With Early Release ebooks, you get books in their earliest form—the
author’s raw and unedited content as they write—so you can take
advantage of these technologies long before the official release of these
titles.
Daniel Hanson
Learning Modern C++ for Finance
by Daniel Hanson
Copyright © 2023 Daniel Hanson. All rights reserved.
Printed in the United States of America.
Published by O’Reilly Media, Inc., 1005 Gravenstein Highway North,
Sebastopol, CA 95472.
O’Reilly books may be purchased for educational, business, or sales
promotional use. Online editions are also available for most titles (
http://oreilly.com ). For more information, contact our corporate/institutional
sales department: 800-998-9938 or corporate@oreilly.com .
Minimum Maximum
Type Description Value Value
Others, such as unsigned and extended integer types, will be introduced later
when we need them.
The C++ Standard Library
As Nicolai Josuttis describes it in his indispensable text, The C++ Standard
Library - A Tutorial and Reference, 2nd Edition[3], the C++ Standard Library
“enable(s) programmers to use general components and a higher level of
abstraction without losing portability rather than having to develop all code
from scratch.” Up through the latest C++20 release, highly useful library
features for quantitative model implementations include:
Array-style containers, particularly the venerable `vector` class
A wide set of standard algorithms that operate on these array containers,
such as sorting, searching, and efficiently applying functions to a range
of elements in a container
Standard real-valued mathematical functions such as square root,
exponential, and trigonometric functions
Complex numbers and arithmetic
Random number generation from a set of standard probability
distributions
Task-based concurrency that manages threads internally and safely
Smart pointers that abstract away the dangers associated with memory
management
A class to store and manage character data
Streaming functions to take input from and display results to the console
Use of Standard Library components, however, requires the programmer to
explicitly import them into the code, as they reside in a separate library rather
than within the core language. The idea is similar to importing a NumPy
array into a Python program or loading an external package of functions into
an R script. In C++, this is a two-step process, starting with loading the file
containing the Standard Library declarations of functions and classes we wish
to use, and then scoping these functions with the Standard Library namespace
name, `std` (often pronounced as “stood” by C++ developers).
#include <iostream>
#include <string>
int main()
{
std::cout << "Hello World!" << '\n';
std::string person;
std::cout << "To whom do you wish to say hello? ";
std::cin >> person;
std::cout << "Hello "<< person << "!" << '\n';
return 0;
}
If you want to say hello to your mother, then after compiling and running the
code, the screen would resemble the following:
Hello World!
To whom do you wish to say hello? Mom
Hello Mom!
#include <iostream>
using std::cout;
using std::cin;
using std::endl;
#include <string>
using std::string;
int main()
{
cout << "Hello World!" << endl;
string person;
cout << "To whom do you wish to say hello? ";
cin >> person;
cout << "Hello " << person << "!" << endl;
return 0;
}
CONTENTS
CHAPTER
I. LESS BREAD! MORE TAXES! 1
II. L’AMIE INCONNUE 16
III. BIRTHDAY-PRESENTS 29
IV. A CUNNING CONSPIRACY 43
V. A BEGGAR’S PALACE 56
VI. THE MAGIC LOCKET 73
VII. THE BARON’S EMBASSY 87
VIII. A RIDE ON A LION 100
IX. A JESTER AND A BEAR 113
X. THE OTHER PROFESSOR 129
XI. PETER AND PAUL 143
XII. A MUSICAL GARDENER 156
XIII. A VISIT TO DOGLAND 171
XIV. FAIRY-SYLVIE 187
XV. BRUNO’S REVENGE 207
XVI. A CHANGED CROCODILE 222
XVII. THE THREE BADGERS 234
XVIII. QUEER STREET, NUMBER FORTY 255
XIX. HOW TO MAKE A PHLIZZ 271
XX. LIGHT COME, LIGHT GO 287
XXI. THROUGH THE IVORY DOOR 304
XXII. CROSSING THE LINE 325
XXIII. AN OUTLANDISH WATCH 345
XXIV. THE FROGS’ BIRTHDAY-TREAT 361
XXV. LOOKING EASTWARD 383
Index 396
CONTENTS.
CHAPTER PAGE
I. BRUNO’S LESSONS 1
II. LOVE’S CURFEW 20
III. STREAKS OF DAWN 36
IV. THE DOG-KING 52
V. MATILDA JANE 67
VI. WILLIE’S WIFE 82
VII. FORTUNATUS’ PURSE 96
VIII. IN A SHADY PLACE 110
IX. THE FAREWELL-PARTY 128
X. JABBERING AND JAM 147
XI. THE MAN IN THE MOON 162
XII. FAIRY-MUSIC 175
XIII. WHAT TOTTLES MEANT 194
XIV. BRUNO’S PICNIC 212
XV. THE LITTLE FOXES 233
XVI. BEYOND THESE VOICES 247
XVII. TO THE RESCUE! 262
XVIII. A NEWSPAPER-CUTTING 282
XIX. A FAIRY-DUET 287
XX. GAMMON AND SPINACH 310
XXI. THE PROFESSOR’S LECTURE 329
XXII. THE BANQUET 346
XXIII. THE PIG-TALE 363
XXIV. THE BEGGAR’S RETURN 381
XXV. LIFE OUT OF DEATH 400
General Index 413
List of Works 426
ILLUSTRATIONS TO VOL. I.
THE MARCH-UP 3
VISITING THE PROFESSOR 11
BOOTS FOR HORIZONTAL WEATHER 15
A PORTABLE PLUNGE-BATH 24
REMOVAL OF UGGUG 41
‘WHAT A GAME!’ 48
‘DRINK THIS!’ 53
‘COME, YOU BE OFF!’ 62
THE GARDENER 66
A BEGGAR’S PALACE 72
THE CRIMSON LOCKET 77
‘HE THOUGHT HE SAW A BUFFALO’ 79
‘IT WAS A HIPPOPOTAMUS’ 91
THE MAP OF FAIRYLAND 96
‘HE THOUGHT HE SAW A KANGAROO’ 106
THE MOUSE-LION 108
‘HAMMER IT IN!’ 115
A BEAR WITHOUT A HEAD 117
‘COME UP, BRUIN!’ 123
THE OTHER PROFESSOR 135
‘HOW CHEERFULLY THE BOND HE SIGNED!’ 144
‘POOR PETER SHUDDERED IN DESPAIR’ 147
‘SUCH BOOTS AS THESE YOU SELDOM SEE’ 150
‘I WILL LEND YOU FIFTY MORE!’ 154
‘HE THOUGHT HE SAW AN ALBATROSS’ 165
THE MASTIFF-SENTINEL 172
THE DOG-KING 176
FAIRY-SYLVIE 193
BRUNO’S REVENGE 213
FAIRIES RESTING 226
A CHANGED CROCODILE 229
A LECTURE ON ART 240
‘THREE BADGERS ON A MOSSY STONE’ 247
‘THE FATHER-BADGER, WRITHING IN A CAVE’ 249
‘THOSE AGED ONES WAXED GAY’ 252
‘HOW PERFECTLY ISOCHRONOUS!’ 268
THE LAME CHILD 280
‘IT WENT IN TWO HALVES’ 285
FIVE O’CLOCK TEA 296
‘WHAT’S THE MATTER, DARLING?’ 307
THE DEAD HARE 321
CROSSING THE LINE 341
‘THE PUG-DOG SAT UP’ 351
THE QUEEN’S BABY 363
THE FROGS’ BIRTHDAY-TREAT 373
‘HE WRENCHED OUT THAT CROCODILE’S TOOF!’ 380
‘LOOK EASTWARD!’ 395
SYLVIE’S TRUANT-PUPIL 8
KING FISHER’S WOOING 15
‘SPEND IT ALL FOR MINNIE’ 22
‘ARE NOT THOSE ORCHISES?’ 50
A ROYAL THIEF-TAKER 62
‘SUMMAT WRONG WI’ MY SPECTACLES!’ 64
BESSIE’S SONG 75
THE RESCUE OF WILLIE 83
WILLIE’S WIFE 88
FORTUNATUS’ PURSE 103
‘I AM SITTING AT YOUR FEET’ 119
MEIN HERR’S FAIRY-FRIENDS 163
‘HOW CALL YOU THE OPERA?’ 178
SCHOLAR-HUNTING: THE PURSUED 188
SCHOLAR-HUNTING: THE PURSUERS 189
THE EGG-MERCHANT 197
STARTING FOR BRUNO’S PICNIC 230
‘ENTER THE LION’ 236
‘WHIHUAUCH! WHIHUAUCH!’ 242
‘NEVER!’ YELLED TOTTLES 248
BRUNO’S BED-TIME 265
‘LONG CEREMONIOUS CALLS’ 266
THE VOICES 267
‘HIS SOUL SHALL BE SAD FOR THE SPIDER’ 268
LORDS OF THE CREATION 271
‘WILL YOU NOT SPARE ME?’ 277
IN THE CHURCH-YARD 291
A FAIRY-DUET 304
THE OTHER PROFESSOR FOUND 317
‘HER IMPERIAL HIGHNESS IS SURPRISED!’ 326
‘HE THOUGHT HE SAW AN ELEPHANT’ 335
AN EXPLOSION 345
‘A CANNOT SHAK’ HANDS WI’ THEE!’ 350
THE OTHER PROFESSOR’S FALL 352
‘TEACHING TIGRESSES TO SMILE’ 365
‘HORRID WAS THAT PIG’S DESPAIR!’ 367
THE FATAL JUMP 369
‘BATHING CROCODILES IN CREAM’ 371
‘THAT PIG LAY STILL AS ANY STONE’ 372
‘STILL HE SITS IN MISERIE’ 373
‘BLESSED BY HAPPY STAGS’ 377
THE OLD BEGGAR’S RETURN 382
‘PORCUPINE!’ 388
‘GOOD-NIGHT, PROFESSOR!’ 398
‘HIS WIFE KNELT DOWN AT HIS SIDE’ 404
THE BLUE LOCKET 409
‘IT IS LOVE!’ 411
PHANTASMAGORIA AND
OTHER POEMS
By Lewis Carroll
Illustrations By Arthur B. Frost
CONTENTS
PAGE
Phantasmagoria, in Seven Cantos:—
I. The Trystyng 1
II. Hys Fyve Rules 10
III. Scarmoges 18
IV. Hys Nouryture 26
V. Byckerment 34
VI. Dyscomfyture 44
VII. Sad Souvenaunce 53
Echoes 58
A Sea Dirge 59
Ye Carpette Knyghte 64
Hiawatha’s Photographing 66
Melancholetta 78
A Valentine 84
The Three Voices:—
The First Voice 87
The Second Voice 98
The Third Voice 109
Tèma Con Variaziòni 118
A Game of Fives 120
Poeta fit, non nascitur 123
Size and Tears 131
Atalanta in Camden-Town 136
The Lang Coortin’ 140
Four Riddles 152
Fame’s Penny-Trumpet 163
CONTENTS
CHAPTER PAGE
KNOT PAGE
I. Excelsior 1
II. Eligible Apartments 4
III. Mad Mathesis 13
IV. The Dead Reckoning 19
V. Oughts and Crosses 27
VI. Her Radiancy 34
VII. Petty Cash 43
VIII. De Omnibus Rebus 52
IX. A Serpent with Corners 58
X. Chelsea Buns 66
Answers to Knot I. 77
" " II. 84
" " III. 90
" " IV. 96
" " V. 102
" " VI. 106
" " VII. 112
" " VIII. 132
" " IX. 135
" " X. 142
RHYME? AND REASON?
By Lewis Carroll
WITH ILLUSTRATIONS
CONTENTS.
PAGE
Phantasmagoria, in Seven Cantos:—
I. The Trystyng 1
II. Hys Fyve Rules 10
III. Scarmoges 18
IV. Hys Nouryture 26
V. Byckerment 34
VI. Dyscomfyture 44
VII. Sad Souvenaunce 53
Echoes 58
A Sea Dirge 59
Ye Carpette Knyghte 64
Hiawatha’s Photographing 66
Melancholetta 78
A Valentine 84
The Three Voices:
The First Voice 87
The Second Voice 98
The Third Voice 109
Tèma Con Variazióni 118
A Game of Fives 120
Poeta fit, non nascitur 123
The Hunting of the Snark, an Agony in Eight Fits:—
I. The Landing 134
II. The Bellman’s Speech 142
III. The Baker’s Tale 148
IV. The Hunting 153
V. The Beaver’s Lesson 159
VI. The Barrister’s Dream 167
VII. The Banker’s Fate 173
VIII. The Vanishing 177
Size and Tears 181
Atalanta in Camden Town 186
The Lang Coortin’ 190
Four Riddles 202
Fame’s Penny-Trumpet 211