Hi,Please recommend books about C++ for quantitative finance.I have got the books by Mark Joshi, but there are no solutions to the exercises in these books.I want to learn how to implement financial models by very excellent C++ programming patterns. I have C++ programming knowledge. But, the very good C++ code of implementing financial modelsmay help me learn the applications of C++ for quantitative finance domain more efficiently. thanks

What is programming pattern in math finance? There is None. There are some (well-written) books trying to convince otherwise, but I am not -- there are at least as many patterns as there are IBs around. Quants/developers are working in their own rhythm split among the latest vibes on the street and the urge to deliver-and-let-it-stay. There are some good discussions on sound infrastructure development, but these rarely involve modeling design.

I would recommend Daniel Duffy's books - he is a frequent poster here under the nom de plume of Cuchulain.

@JackBrianplease, have a look at http://www.datasimfinancial.com/ as a preview of D.Duffy books and programming style.i like very much the forum's content.and have a look at the gang of four (GOF) 's book.

QuoteOriginally posted by: JackBryanHi,Please recommend books about C++ for quantitative finance.I have got the books by Mark Joshi, but there are no solutions to the exercises in these books.you already have by far the best book on that topic.

The STL book by Josuttis (and template programming) are essential foundations for C++ imo. This is the trend in C++ 0X and Boost. It leads to robust and fast code. The algorithms in Josuttis are especially useful if you can take time to study and apply them. Quoteand have a look at the gang of four (GOF) 's book. GOF is useful but should not become an objective in itself. The most useful ones in general (dependent on the domain of course) are Visitor, Strategy, Facade and Template Method pattern. Singleton and Observer can best be avoided.

Also take a look at Luigi Ballabio's (unfinished) book Implementing Quantlib.

QuoteOriginally posted by: CuchulainnThe STL book by Josuttis (and template programming) are essential foundations for C++ imo. This is the trend in C++ 0X and Boost. It leads to robust and fast code.Templates lead to fast code but slow builds&debugging.

QuoteOriginally posted by: katastrofaQuoteOriginally posted by: CuchulainnThe STL book by Josuttis (and template programming) are essential foundations for C++ imo. This is the trend in C++ 0X and Boost. It leads to robust and fast code.Templates lead to fast code but slow builds&debugging.What you lose on the swings you gain on the roundabouts It should not be a reason for not using templates.Another advantage is you get compile-time errors and not run-time errors as with OOP approach. And this means less try catch blocks, for example.Example array<double, 20> a1;array<double, 10> a2;This won't compile;a1 = a2;// And template debugging is an art form, aka try, try, try.If you design templates logically and program in a step-by-step manner you won't have many problems. One error can cause an avalanche of errors, so in these cases _root cause_ analysis and resolution will save you much time.