C++ numerical algorithm

stanimir · November 21st, 2002, 2:51 pm

Hi everybody,Can anyone indicate me a link where I can find a C++ or Java code implementing a numeric algorithm for solving an European option priceThank you

Keanu · November 21st, 2002, 5:09 pm

Bernt Arne Oedegaard for C++http://finance.bi.no/~bernt/

JClarson · November 22nd, 2002, 2:55 am

http://www.nr.com/cpp-blurb.htmlThe C code rather than the C++ code is available from the website, but it has a lot of useful material.John

xavierab · December 6th, 2002, 7:34 am

Hi,Bernt Arne Ødegaard is nice but quantlib has more flexibility especially if you're using IR options and Quantlib is free as well.www.quantlib.org

trader42 · December 17th, 2002, 4:15 pm

There is alsohttp://starship.python.net/crew/zanzi/

erick · December 19th, 2002, 10:22 am

What C++ compiler do you guys use? I cannot afford Visual C++ or Borland C++. Would you know of any free C++ compilers as well, which can allow me to use QuantLib for example?Sorry for my naive question, and thanks!

mj · December 19th, 2002, 11:10 am

borland C++ is freemingw (windows port of gnu compiler) is freethere are various free IDEs, I like DevCpp. (sourceforge.net)You can get an introductory version of Visual C++ for about 40 pounds. I use all three as I want my code to be portable. MJ

mayl · December 19th, 2002, 1:40 pm

You can get the introductory version of Visual C++ for free with some of those Visual C++ tutorial books.The one I know of is Sams Teach Yourself Visual C++ 6 Online in Webtime (Sams Teach Yourself Online in Web Time)Jeff Kurtz, Jerry KurtzIt even has the MSDN cd-rom.YL

kapital · December 19th, 2002, 7:44 pm

i haven't tried it myself, but on windows you should be able to compile using gcc from cygwin. it is listed on the quantlib website as supported edited to add:Paul, is there anyway you can move this post to the software forum?

erick · December 20th, 2002, 11:54 pm

Thanks for all the suggestions! MJ, for the code to work on Linux and Windows, which compiler should I use? Can my code look very similar but be compiled using different compilers? I thought VC++ code may be different from BC++?Thanks for your thoughts.