DATASIM NYC COURSE on C++ Instrument Pricing

[GusTsahas]

Datasim has an upcoming course in NYC taught by the well regarded author, Dr. Duffy.
Due to the ever shrinking buying power of our US dollar the course is prohibitively expensive at about $4800 for the three days of instruction.

However, the part time students that work for organizations that have education budgets should take a look as I was able to get a 50% discount for Baruch students two years ago by contacting Dr, Duffy directly. At $2400 for the three days, the course is on par with the better corporate training seminars available in the NY area. Val had taken advantage of the discount and attended the course, and had favorable feedback for the seminar. The syllabus is listed below.

Regards, Gus

Advanced C++ for Financial Instrument Pricing
··24 - 26 October 2007 in New York

Daniel J. Duffy
dduffy@datasim.nl - Course Brochure (PDF)




Building and Deploying C++ Frameworks for the Monte Carlo Method Open Evening Announcing the Distance Learning Programming on Computational Finance and C++ Designing and Implementing Multi-threaded Applications in C++; with Applications to OpenMP Numerical Mathematics for Finance; Recipes, Applications and C++ code C++ for IT, Quant Developers and Quant Analysts in Financial Institutions Advanced C++ for Financial Instrument Pricing The Finite Difference Method for Quantitative Finance: Theory, Applications and Computation C++ for MSc and Phd Students - Preparation for a Life in Quantitative Finance
Advanced C++ for Financial Instrument Pricing - (code CPPFI)

This intensive hands-on C++ course is meant for those professionals in Quantitative Finance who design and implement finance models for a variety of derivatives products. The course contents are based on Daniel J. Duffy's 20 years experience in C++ and its applications and it is the only course of its type to offer all the techniques that are needed in order to develop flexible and robust applications.

What previous delegates have said?
"Very good style and knowledge was far above the norm"
"Excellent hands-on teaching"
"Good balance of C++ and finance, theory and practice"
"The book I wish I had had when I first started studying C++"

What do you learn?
In this course we introduce state-of-the-art design and programming techniques in C++. In particular, the following topics are discussed in detail:

• Advanced C++ syntax and its application in QF
• Template classes and the Standard Template Library (STL)
• Combining the object-oriented and generic programming paradigms
• The famous Gamma (GOF) design patterns applied to QF
• Interfacing to Excel: COM Add-ins
• Creating applications: Monte Carlo, Finite Difference and lattice methods

What do you receive?
As attendee you receive a full set of slides, C++ source code and a copy of Daniel Duffy's book "Financial Instrument Pricing using C++" (Wiley 2004), including CD with C++ code. In short, you will receive what is needed to start developing your own QF applications. The price includes coffee, tea, lunch and refreshments.
You are expected to bring your own laptop to the course.

Course contents updated September 2006​

Course Contents

Part 1: Fundamentals
Basic C++ Refresher

• Classes, member data and member functions
• Values, references and pointers
• Operator overloading
• The 'const' keyword
• Inheritance in C++

Memory Management

• Stack and heap memory allocation and deallocation
• Creation of single objects and arrays of objects
• The keywords 'new' and 'delete'
• Avoiding memory leaks

Run-time Behaviour in C++

• Run-Time Type Information (RTTI)
• Static and dynamic casting
• Client-server programming and exception handling
• The keywords 'try' 'throw' and 'catch'
• Where to use exception handling

Mini Application: Creating Payoff Hierarchies

• Abstract and concrete payoff classes
• Implementing payoff classes; the strategies
• Using payoff classes in QF applications
• Two-factor and multi-factor payoff hierarchies

An Introduction to C++ Templates

• The Generic Programming (GP) paradigm
• Template classes and template functions
• Nested templates
• Advantages of templates

Part 2: Core Principles
An Introduction to the Standard Template Library (STL)

• Major components in STL
• Containers, algorithms and iterators
• How can I use STL in Quantitative Finance?
• Using STL to create your own classes

STL Containers

• Sequential and associative containers
• Lists, vector and queues
• Maps, sets and multimaps; hash_map
• Modelling option data with maps and Property Sets

STL Algorithms and Iterators

• Mutating and non-mutating algorithms
• Searching and sorting
• Inserting and removing data
• The role of iterators
• Complexity Analysis and performance issues

An Introduction to Design Patterns

• Overview of the 23 GOF patterns
• Pattern categories
• Most important patterns in Quantitative Finance
• System patterns (POSA) and domain architectures

Essential Patterns: Creational

• Factory method and abstract factory
• Creating complex objects using Builder
• Singleton
• Creational patterns in Quantitative Finance

Essential Patterns: Structural

• Composite and nested objects (for example a CDO)
• Bridge and device-independence
• Extending object structure with Decorator
• Smart pointer ('handle'); auto_ptr
• Structural patterns in Quantitative Finance

Essential Patterns: Behavioural

• Command and its application to user-interface components
• Strategy and algorithms
• Extending class functionality with Visitor
• Template method pattern and customisable frameworks
• Behavioural patterns in Quantitative Finance

Part 3: Applications
Overview and Introduction

• C++ as a language for application development
• Input, processing and output issues
• Types of applications

Excel Interfacing and Add-ins

• Excel Visualisation package
• Using the package to verify algorithm output
• An overview of Excel add-ins
• Creating Automation add-ins and worksheet functions
• Creating COM add-ins: The steps
• The XLOPER interface

The Monte Carlo Method

• Description of the problem
• Creating a software framework for a MC engine
• Using design patterns to create flexible MC systems
• Plain options, Asians and barriers
• Presentation and statistics
• Extensions to multi-factor MC

The Finite Difference Method

• A quick introduction to FDM
• C++ classes for a FDM solver
• Explicit and implicit schemes
• Presentation in Excel
• One-factor and two-factor models

Creating Libraries for QF Applications

• Interpolation and yield curves
• Numerical linear algebra
• Numerical integration

Prerequisites

We assume that the student has some experience of C++. This is not a beginners course and we assume you know what constructors, destructors and operator overloading are in C++ and how memory management works.

Who should attend?

This course has been developed for financial professionals who design and implement pricing and hedging models in C++ and Excel. The course introduces and elaborates on how to apply C++ to creating flexible and reliable applications in Quantitative Finance using the most modern software design techniques. There is ample room for questions on your own specific applications as well as hands-on programming sessions. It is assumed that the attendees have some working knowledge of C++ and have developed applications or prototype applications in that language.

Duration, price, date, locations

Course duration: 3 days
Dates and location: (click on dates to print registration form)

Starting date​

Location​

Price​

Language​

Sep 24 2007
London
€ 3399
English
Oct 24 2007
New York
€ 3399
English

 

[Uncle Max]

It's a very solid course. It will be nice if we can establish a connection between Dr. Duffy and Baruch program.