Recent content by Daniel Duffy

  1. Daniel Duffy

    Advanced C++ and Modern Design Cert Testimonials

    A general remark on learning. It is always human to want to cram in as much stuff as possible, but this is not a good idea for at least 4 reasons. Compare to getting a black belt from blue belt level. 1. Blue to brown 2. Practice as a brown for a year 3. Brown to black.
  2. Daniel Duffy

    Advanced C++ and Modern Design Cert Testimonials

    (boost test, google test, ...) Good idea. A concern for me is which Boost libraries are alive and kicking; some are on sabbatical, rigor mortis etc. https://www.boost.org/doc/libs/1_34_1/libs/test/doc/index.html
  3. Daniel Duffy

    Advanced C++ and Modern Design Cert Testimonials

    C++ is a C++ is a living organism. We try to keep up. What Boost C++ libs do in 2016 C++ 26 does in 2026 (Reflection).
  4. Daniel Duffy

    Lattice Model Financial Instrument Pricing Using C++

    All this stuff has been extensively documented. I think having a look at the work of the late Mark Joshi is good https://fbe.unimelb.edu.au/__data/assets/pdf_file/0011/2591732/MARK_JOSHI_SSRN-id2277854.pdf
  5. Daniel Duffy

    Lattice Model Financial Instrument Pricing Using C++

    Do you mean? BinomialLatticeStrategy* getStrategy(double sig, double r, double k, double S, double K, int N) { cout << "\n1. CRR, 2. JR, 3. TRG, 4. EQP, 5. Modified CRR:\n6. Cayley JR Transform: 7 Cayley CRR: "; int choice; cin >> choice...
  6. Daniel Duffy

    Lattice Model Financial Instrument Pricing Using C++

    Is your question "what are the other methods?" I programmed those methods somewhere I vaguely remember.
  7. Daniel Duffy

    Lattice Model Financial Instrument Pricing Using C++

    This code is from my 2018 C++ book for barrier options! On a pedagogical advice to everyone , learn the maths of the binomial method and program it yourselves instead of copying from all kinds of (possibly dodgy) sites. My two cents..
  8. Daniel Duffy

    Lattice Model Financial Instrument Pricing Using C++

    There are quite a few models for u, d and p: CRR, JR, TRG, EQP etc.
  9. Daniel Duffy

    Lattice Model Financial Instrument Pricing Using C++

    which part of my response was "rude"?
  10. Daniel Duffy

    Lattice Model Financial Instrument Pricing Using C++

    but just get surprised above "u" are different than what we learned learned in CFA or even CQF LOL what do those guys use? u is up, d is down
  11. Daniel Duffy

    Lattice Model Financial Instrument Pricing Using C++

    Looks like code from one of my books? Which problem are you working on, exactly?
  12. Daniel Duffy

    Struggle as a Beginner

    The first 2 modules are difficult indeed because it's C and a kind of survival guide to be honest. In the past (and courses) people tried to learn C++ w/o C savvy. That does not work. Like learning to fall before the real work. and then the next steps (do each step 3 times). I reckon Ruska...
  13. Daniel Duffy

    Blog: Articles on C++11 and Computational Finance (by Daniel J. Duffy)

    An emerging design pattern, an improved 3-layer model for OO inheritance. This exposes a number of flaws in traditional approaches to OOP, plus a multiparadigm resolution thereof. You could try designing it using C++20 Concepts.:ninja: @APalley @Paul Lopez @Andy Nguyen
  14. Daniel Duffy

    Struggle as a Beginner

    The C part is the most tricky. It's like learning grammar.
Back
Top