Blog: Articles on C++11 and Computational Finance (by Daniel J. Duffy)

[Daniel Duffy]

Analysis of COVID-19 Mathematical and Soware Models: Or How NOT to Set Up a Soware Project

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onlinelibrary.wiley.com

(already published as a preprint; thanks to Paul Wilmott and the team.)

 

[Devon Kaberna]

@Daniel Duffy Any plans to introduce C++20 into the program curriculum, videos, assignments, etc?

 

[Daniel Duffy]

@Daniel Duffy Any plans to introduce C++20 into the program curriculum, videos, assignments, etc?

yes, all of those. They will be integrated into the Advance C++. In fact, some new features in C++17/20 course are in Boost (so, essentially replace boost namespace by std).

Plan is in 2nd week of January 2021 up and running.

 

[Devon Kaberna]

yes, all of those. They will be integrated into the Advance C++. In fact, some new features in C++17/20 course are in Boost (so, essentially replace boost namespace by std).

Plan is in 2nd week of January 2021 up and running.

Just curious to know if there's any updates on this? Haven't seen any announcements on this yet. I'm excited to see what you done.

 

[Daniel Duffy]

I have all the code ready. I just need to do the videos. Sorry for the slipped schedule (had a new pde/fdm deadline..) So, soon 2-3 weeks I reckon

Here is video #1 for kick off

Blogs - Videos :: Datasim

Global Overview C++17/C++20 by Daniel J. Duffy

www.datasim.nl

 

[Devon Kaberna]

I have all the code ready. I just need to do the videos. Sorry for the slipped schedule (had a new pde/fdm deadline..) So, soon 2-3 weeks I reckon

Here is video #1 for kick off

Blogs - Videos :: Datasim

Global Overview C++17/C++20 by Daniel J. Duffy

www.datasim.nl

Fantastic! Christmas has come early for me!

 

[Daniel Duffy]

Fantastic! Christmas has come early for me!

And Easter eggs.

 

[Daniel Duffy]

The beginning of wisdom for a programmer is to recognize the difference between getting his program to work and getting it right. A program which does not work is undoubtedly wrong; but a program which does work is not necessarily right. It may still be wrong because it is hard to understand; or because it is hard to maintain as the problem requirements change; or because its structure is different from the structure of the problem; or because we cannot be sure that it does indeed work.

Michael A. Jackson

 

[Daniel Duffy]

// Concepts
// Interface contract specification
template<typename T, typename Data>
    concept IDiffusion = requires (T c, Data t, Data x) { c.diffusion(t,x); };

template<typename T, typename Data>
    concept IDrift = requires (T c, Data t, Data x) { c.drift(t, x); };

template<typename T, typename Data>
concept IDriftDiffusion = IDiffusion<T, Data> && IDrift<T, Data>;

template <typename T, typename Data> requires IDriftDiffusion<T, Data>
        class SDEAbstract
{ // System under discussion, using composition
  // Really a Bridge pattern

        private:
            T _t;
        public:
        SDEAbstract(const T& t) : _t(t) {}
        Data diffusion(Data t, Data x)
        {
            return _t.diffusion(t, x);
        }
        Data drift(Data t, Data x)
        {
            return _t.drift(t, x);
        }

};



class SDE
{ // Defines drift + diffusion + data
private:
        std::shared_ptr<OptionData> data;    // The data for the option
public:
    SDE(const OptionData& optionData) : data(new OptionData(optionData)) {}

    double drift(double t, double S)
    { // Drift term
 
        return (data->r - data->D)*S; // r - D
    }

 
    double diffusion(double t, double S)
    { // Diffusion term
 
        return data->sig * S;
    }

};
[/QUOTE]

...

SDE sde(myOption);
 SDEAbstract<SDE, double> sud(sde);
[QUOTE="Daniel Duffy, post: 212873, member: 607"]

C++11 for the Impatient (with Mr. A. Palley)

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onlinelibrary.wiley.com

That article used C++11 functions to model stochastic differential equations (SDE) which resolves efficiency and maintenance problems of class hierarchies.
Now that C++20 Concepts are here, life has become a lot easier with almost no disruption to existing code.

C++ is getting better and better.

 

[Daniel Duffy]

Here's a very simple runnable example to show how Concepts work.

// Test101Concepts.cpp
//
// Simplest example of a system. Context diagram consists only
// of Input and Output systems.
//
// We use C++20 Concepts to replace policy-based design
//
// Composition
//
//  V2: design using C++20 modules
//
// (C) Datasim Education BV 2015-2021
//

#include <string>
#include <iostream>

// Interface contract specification
template<typename T>
    concept IInput = requires (T x) { x.message(); };

template<typename T>
    concept IOutput = requires (T x, const std::string& s) { x.print(s); };

// I/O stuff
template <typename I, typename O> requires IInput<I> && IOutput<O>
    class SUD
{ // System under discussion, using composition

private:
    I i; O o;
public:
    SUD(const I& input, const O& output) : i(input), o(output) {}
    void run()
    { o.print(i.message());    }
};

// Instance Systems
class Input
{
public:

    std::string message() const
    {
        // Get data from hardware device
        return std::string("Good morning");
    }
};

class Output
{
public:

    void print(const std::string& s) const
    {
        std::cout << s << std::endl;
    }

};

int main()
{
    Input i; Output o;
    SUD<Input, Output> s(i,o);
    s.run();

    return 0;
}

 

[Daniel Duffy]

C++23 (in the future)

C++23 - Wikipedia

en.wikipedia.org

I would say; no big new features, rather fixes and extra thingies added to C++20.