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Cuchulainn
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C++11 and C++14 Articles

August 10th, 2017, 7:31 am

Here is the first article of a series

http://onlinelibrary.wiley.com/doi/10.1 ... 10606/epdf
http://www.datasimfinancial.com

"Science is what you know, Philosophy is what you don't know" Bertrand Russell.
 
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Cuchulainn
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Re: C++11 and C++14 Articles

August 10th, 2017, 7:35 am

The next article will show how to design the Alternating Direction Explicit (ADE) method in C++11 for the Anchoring problem with Alan and Paul (WLD2014):

http://onlinelibrary.wiley.com/doi/10.1 ... 10366/epdf

preview

.. The focus is on applying the author’s system decomposition techniques (Duffy 2004) in combination with the new features in C++11 to produce a customisable software framework that first reproduces the numerical results in WLD 2014 and that can be extended to other kinds of PDEs and finite difference schemes. We realise a certain level of flexibility in the new framework due to the following features:

. Each subsystem has a single major responsibility and it has well-defined and narrow interfaces. Complex mathematical operations are hidden behind these interfaces.
. We model PDEs as compositions of universal function wrappers based on the functional programming model. In this way we avoid code bloat and proliferation of classes that arise when creating traditional class hierarchies based on subtype polymorphism or the Curiously Recurring Template Pattern (CRTP).
. We begin with the C++ code that we used to implement the Alternating Direction Explicit (ADE) in WLD 2014 and we port it to code that fits into the software framework.
. Lambda functions are very in helping reduce code bloat, especially when configuring the application. In particular, their use promotes code readability and maintainability.
..
http://www.datasimfinancial.com

"Science is what you know, Philosophy is what you don't know" Bertrand Russell.
 
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Cuchulainn
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Posts: 52618
Joined: July 16th, 2004, 7:38 am
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Re: C++11 and C++14 Articles

September 24th, 2017, 5:40 pm

C++11 for a class of path-dependent options.

http://onlinelibrary.wiley.com/doi/10.1 ... 10620/epdf
http://www.datasimfinancial.com

"Science is what you know, Philosophy is what you don't know" Bertrand Russell.
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