I'm planning to do some self-studies in C++, so right now I'm trying to choose between buying Duffy's "Financial Instrument Pricing using C++" or Joshi's "C++ Design Patterns and Derivatives Pricing" (I don't have time to wait on Justin London's book). Any thoughts on the best buy? I don't have any experience of programming in C++, but I have knowledge in ADA (object-oriented) and have written a couple of C programs. I'm not very experienced in numerical methods in finance, have only written some simple Monte Carlo and binomial stuff. I have some ebooks on C++ and Clewlow and Strickland's "Implementing Derivatives Models" to read on the side.

Duffy's book assumes knowledge of C++. You will not learn all the usual beginner's stuff.In fact, I would recommend a good book on the VITAL fundamentals of C++ before you jump into the high-falutin stuff. This will save you a lot of sorrow. There is no short cut to C++, everything has to be done right.BTW, do you have C knowledge? This is a prerequisite for C++! (especially all the pointer stuff).I am preparing an intro C++ book for financial engineering. See www.datasim-component.com. Hope this helps

Cuchulainn,When is the new book being released?BTW you must be a pretty good hurler to give yourself a username like that!

Feaner.I do hurling on the Cooley mountains (near Annaverna) in between bouts of C++ programmingThe book ... manuscript will be redy Feb 28 2005

Ajohan,here is a set of questions on C++. If you can answer these no problem then one can commence with my book.------------------------------------The Datasim C++ Self-TestSummaryThis note consists of a number of key questions to test your knowledge of C++. The questions are related to issues that crop up during Object-Oriented Design (OOD) and Design Patterns. If you answer the questions correctly then your background is OK, if not you should brush up on your C++ skills.In general, you should be able to give on-the-spot answers to these questions. Then you can be sure that you have a good knowledge of basic C++.Discuss your answers to the ten questions below based on the following viewpoints: What is the topic (for example, virtual destructors) Why do you need it? How do you implement it? What are the consequences if you don’t use it?Questions1. The minimal class interface that is needed in C++ (the so-called canonical header file).2. Call-by-value versus call-by-reference3. const member functions, const input arguments and const return types. The relationship between call-by-reference and const.4. The two different ways to apply operator overloading in C++. Advantages and disadvantages of each approach.5. How to implement the operator ‘=’ (assignment in a class). Consider also how dynamic memory is organized in the body of this operator.6. What is a friend function/operator?7. Let B be a base class and D is a derived class of B. What is inherited and what is not inherited from B to D? How do you (re)implement these members in D?8. How is memory implemented in D? What is a virtual destructor?9. What is an abstract (base) class?10. What is polymorphism?Author: Daniel Duffy, dduffy@datasim.nl© Datasim Education BV 2004

Cuchulainn,Thank you very much for the feedback. I can't give on-the-spot answers to all of the questions you provided, so it seems like I should learn the basics of C++ from another source before I start looking at the more complicated concepts in your book.I guess I'll have to devote more time than planned on my journey into the world of C++. I'll start looking for a good introductory book right away.

you're welcome. I wrote a to-the-point book on C++ about 9 years ago; however, it is in Dutch. On the www.datasim.nl web site I have ll the source code. That's a good way to learn C++. If you work through all the examples and use maybe Stroustrup as background reference then you are ready for my C++ book.BTW I am working on a dedicated C++ and finance book

here is the source code of my book.Work these and then the 10 questiions will be answeredcheershttp://www.datasim.nl/education/books/leerboek.htm

QuoteOriginally posted by: ajohanI'm planning to do some self-studies in C++, so right now I'm trying to choose between buying Duffy's "Financial Instrument Pricing using C++" or Joshi's "C++ Design Patterns and Derivatives Pricing" (I don't have time to wait on Justin London's book). Any thoughts on the best buy? I don't have any experience of programming in C++, but I have knowledge in ADA (object-oriented) and have written a couple of C programs. I'm not very experienced in numerical methods in finance, have only written some simple Monte Carlo and binomial stuff. I have some ebooks on C++ and Clewlow and Strickland's "Implementing Derivatives Models" to read on the side.well it's always dangerous commenting on your own book but since Daniel is already in this thread, i'll join in. I'd recommend learning basic C++ before getting either book. E.g. Eckel or Lippman or Deitel and Deitel. Basically something that will teach you the basics of the language before going to the advanced stuff. As to how my book compares to Daniel's:My book is a financial mathematician does C++, whereas his is a C++ programmer does math finance.My book concentrates on virtual functions, whereas his concentrates on templates. My book concentrates on Monte Carlo, whereas his concentrates on finite differences. My book is cheaper, his is longer. For more subjective commentary, I'll leave that to the readership...

Mark,In general, I agree with your comments about the differences. Just two additions and corrections IMO. They are additions that I think people might like to know about:1. Duffy's book contains a CD with 700 C++ source files for PDE/FDM/SDE and interfacing to Excel etc. This is highly reusable code. People can and do use it in their own apps.2. I would like to think that I program well in C++. BTW, I speak Dutch fluently but I am still Irish after having lived here in the Netherlands for a long time. I am also a software architect and designer. I have an MSc (in FEM) and PhD (FDM for what is essentially the Black Scholes equation (convection-diffusion). I work with customers (IB) in PDE/FDM and C++.I also think the following should be included (not included in your summary)3. My book contains 4 easy to read chapters on Design Patterns that I have been working on since 1992 (when I was working on early versions of Algo's RiskWatch. On the CD there are lots of ready-to-run code for all the patterns in Gamma's book (including a nice one to pump data into Excel).This is the image I have of myself. Hope this helps.

Basic question - what level of computer programming experience do you have today? You mentioned you wrote a couple of C programs. To do what? You need to walk before you can run - this approach will take more time but you will be a far better programmer (=> more fun, productivity, $$$) in the long run. For education in C/C++ I suggest you take a look on Amazon.com - search their "books" for "C++" and you will see many useful lists of reference material compiled by experienced developers, read the reviews on a few to see what would be suitable for you to start out with.Both languages contain ample opportunity to "know" them and yet still be a terrible programmer. When you havre mastered basic syntax and structore in C and then C++, you should investigate how to work effectively in C++. Standard references are Scott Meyers Effective C++, More Effective C++ and Effective STL. THEN you could think about buying one of the domain-specific books you mentioned in the first place. After this, you can start looking at design patterns. The best intro to this is Shalloway/Trott's Design Patterns Explained. There are other more comprehensive texts but I've not seen one that introduces the topic better.Most important of all - don't just read, write programs as you go to use the knowledge you are accumulating.All the best of luck!

I mostly agree with Steve here.Neither book is a primer in C++. Duffy is certainly not a first timers book,nor is Joshi although it requires less upfront knowledge.I'd go for Stroustrup's definitive work, or if you prefere the style of Meyers or Eckel then they are both perfectly good books to make sure that you understand what Joshi or Duffy are saying.I'm not sure an STL book is a good start, to be sure you need to understand STL at some point, but for when getting started on QP then it might distract you. Once you've sussed simple templates with STL vectors etc, you've got enough STL to start on either book.

Ajohan,For C++ self-studying, have a look at "Accelerated C++" by Barbara Moo.I'm studying C++ with this book and I find it very clear and useful.I hope that the forthcoming book by Duffy "Introduction to C++ for Financial Engineers and Quantitative Analysts" will be available soon.Bye.Pierluigi

>> I hope that the forthcoming book by Duffy "Introduction to C++ for Financial Engineers and Quantitative Analysts" will be available soon.The manuscript will be hopefully be ready in February 28 2005.see www.datasim-component.com for its outline (under Financial Engineering)

So it's a sort of prequel to your first book ?Crowded market that...