dw-dw-dt/Derivatives-Library-Lecture

C++ Derivative Library Lecture via Visual Studio

Text: Mark Joshi (2010), C++ Design Patterns and Derivatives Pricing, 2nd edition
Env: Visual Studio 2022

Content

1. Foundation of C++
2. Pointer and Reference
3. Class and Encapsulation
4. Object oriented programming
5. Smart pointers
6. Yield curve
7. Volatility cube
8. Exotic option