Few algorithms in quant finance - short writeup

Daniel Duffy

C++ author, trainer
Nice stuff, Quasar. Some ideas

1. std:;array<> is fixed/limited, use std::vector
2. The if-else C/P test should be at main() level, not embedded in CRR etc. (AFAIR I mentioned this already somewhere down the tracks?)
3. Payoff() should be a global function (pointer)
4. loops, use std::size_ (unsigned)
5. namespace always, std::exp. std::pow,..
6. Accuracy tests against exact, quasi-exact solutions.

7. Code review and improvement. Next version.
8. Classes are top-heavy .. too many member data ==> not SRP, maintenance problem