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Master Class - C++ boost library - (code MCF-BOOST)

The goal of this special one-day master class is to introduce the C++ boost library.We discuss the most important and critical techniques that we apply to a number of applications such as the Monte Carlo method and PDE/Finite Difference Methods for option pricing and interest-date modelling, for example.


Master Class Structure

This master class augments the "Parallel programming and OpenMP" master class. These two master classes are independent of each other and can be taken separately. The ideal trajectory is to attend both master classes because then you can see how to design, implement and optimize applications in computational finance. We structure these master classes in such a way that you get maximum benefit from them during the allotted time. In the morning sessions we shall introduce the essentials of the master class and its applications. After the lunch break attendees can experiment with software that is provided in the master class and we discuss more examples and applications from computational finance. There is ample opportunity for questions and an interactive session is stimulated.


What do you learn?

Using the most appropriate software techniques for computational finance. Modern and proven design patterns and software libraries. Developing Monte Carlo and PDE/FDM applications. Bringing C++ to the next level.


The Examples and Test Cases in this Master Class

We take a number of specially chosen examples and applications at different levels of complexity and applicability in order to ensure that the attendees understand the topics as soon as possible:
  • '101' examples to show the essential syntax
  • Small building block-type examples that use combined syntax
  • Mini-applications for computational finance
After lunch, the students have the opportunity to experiment with the code so that they can consolidate the morning session's theory and before we continue with advanced topics and applications.


What do you receive?

Slides, sheets and C++ source code for all examples and test cases. The master class also includes tea, coffee, lunch and refreshments.

Course Contents

The goal of this master class is to introduce the C++ boost template library, what kind of functionality it offers and how to use and apply it to application development in computational finance. This library contains for many kinds of functionality that you need in applications for computational finance. A number of the libraries have been accepted of part of the standard C++ language and more will follow in due time.


Overview of Functionality
  • Mathematics
  • Containers and Data Structures
  • Function Objects and Higher-Order Programming
  • System libraries (threads, statecharts,…)
  • String and Text Processing
  • Input/Output
  • Miscellaneous (many more) libraries
Memory
  • Dynamic object lifecycle
  • Improvement over raw pointers
  • Scoped and shared pointers
  • Single objects and arrays
uBLAS (Basic Linear Algebra System)
  • Vectors, matrices and their operations
  • Patterned matrices (sparse, triangular, ..)
  • Expression templates to improve performance
  • Applications of uBLAS classes
Tuple
  • Modelling n-tuples (pair is a 2-tuple)
  • Using tuples as function arguments and return types
  • Accessing the elements of a tuple
  • Advantages and applications of tuples
Variant
  • Creating discriminated unions with heterogeneous types
  • Manipulating several distinct types in a uniform manner
  • Type-safe visitation
  • Avoiding type-switching for variant data
Random Library
  • Functionality for random number generators
  • Mersenne Twister, lagged Fibonacci
  • Useful in a number of applications
Interval
  • Interval arithmetic
  • Model round-off errors explicitly
  • Applications to numerical analysis
  • Quantify the propagation of rounding errors
Applications, Demos and Discussion
  • Monte Carlo simulation
  • Matrix algebra
  • Finite Difference method

Who should attend?

Quantitative developers, analysts and middle office validators. This master class could also be useful for IT personnel who work in financial institutions.

Duration, price, date, locations and registration

Course duration: 1 day.
Course price: € 745.-- ex. VAT.
€ 901.45 inc. 21% VAT.
Dates and location: (click on dates to print registration form)


Date(s) Location Price Language
No dates yet.

This course can be organised on-demand. Call Datasim (+31-72-2204802) or for more information about the possibilities.

Attention

We offer a special price for this masterclass of 400 Euro, excluding 19% VAT.


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