Daniel Duffy: C++ Programming for Financial Research Students

with Samvit Prakash, University of Maryland

In April 2007 I gave a C++ course and its applications to finance for a group of research students of Professor Dilip Madan at the University of Maryland UMD (see group photograph).

The students had programming experience in Matlab, C and a number had some experience of C++ (incidentally, one of these students was working on a Quantlib project). The course was based on the contents of the 2006 C++ book. The percentage theory was approximately 55:45. The first two days concentrated on the essential fundamental syntax of the C++ language, advanced inheritance and templates. On the last day we introduced design patterns with applications to PDE/FDM and a student exercise on CDO/CDS.

The motivation was high with lots of questions being thrown at the trainer. Never a dull moment!

Some of the tips and guidelines in the context of a university environment are:

Duffy’s comments

. The distinction between the compile and link phases when building a project; coming to terms with compiler and linker errors

. Setting up a C++ project and defining project settings and properties

. Realising that C++ uses data in a different way from Matlab; in particular, we do not use global data in C++. The fact that objects need member data needs to be emphasized

. Design and implement a C++ as a network of communicating objects having well-defined interfaces; this promotes maintainability and extendibility

. ‘Thinking object-oriented’ and not procedural

Samvit’s comments

We requested Daniel to come to the University of Maryland for giving us a jump-start in C++. That is exactly what we got! One can learn C++ from a book. But nothing can match the efficiency of the author guiding you through the chapters, while focusing on the most pertinent concepts. Most of us had no background in C++, though some of us had attempted to learn it from books. After the course, we were able to create our own projects, build and compile our own codes with applications in Mathematical Finance. These were simple projects, but way more advanced than “Hello World!”.

If other universities want to invite Daniel for such courses, here are some suggestions from our experience:

-Organize a 4-day course or at the minimum, a 3-day one. It is best to have spare time for topics relevant to the participants!

-Even better to split the courses into two - a beginner’s one, with no C++/OOP background, and an intermediate one where students know the basic concepts of C++ and OOP: classes, polymorphism, overloading etc.

-The intermediate class can focus more on design patterns for a larger project.

- Divide students in groups of 2 or 3. Encourage participants to debug each other’s code- it’s a great way to learn and very efficient for the pace of the class!

We wish to thank all attendees for their enthusiasm.