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As promised some time ago, I’m putting the C++ code base I wrote during my MFE study for Quantnet members to use. The code contains a matrix library (needed for numerical method courses), implementation of several option pricers, Geeks, and other assorted functions one usually expects from a programming demanding program such as the Baruch MFE.
The code was written and tested using Visual Studio 2005. I later verified that it works in VS 2008 as well. To use this, open the solution file (.sln) and start playing with it. The main function is inside the geeks.cpp where you can pass through parameters to various pricers and have the output displays in a command window.
I have not modified much of these code since 2008. I have, however, taken part of these codebase and converted them into C# with little modification. The results can be found on various threads on the forum, see here and here.
Disclaimer: Use of the provided code is at your own risk. The software is provided “AS IS”. In no event shall the author’s total liability to you for all damages, losses. If you find the code helpful, please spread word about our website.
Download
C++ code for financial engineering study | Quant Network
The code was written and tested using Visual Studio 2005. I later verified that it works in VS 2008 as well. To use this, open the solution file (.sln) and start playing with it. The main function is inside the geeks.cpp where you can pass through parameters to various pricers and have the output displays in a command window.
I have not modified much of these code since 2008. I have, however, taken part of these codebase and converted them into C# with little modification. The results can be found on various threads on the forum, see here and here.
Disclaimer: Use of the provided code is at your own risk. The software is provided “AS IS”. In no event shall the author’s total liability to you for all damages, losses. If you find the code helpful, please spread word about our website.
Download
C++ code for financial engineering study | Quant Network
