Abstract
This is the first article in a mini series of two articles on applying C++11 to computational finance. Here we focus on the new syntax and features that improve and enhance the efficiency, reliability, and usability of C++ as a language for application development. We introduce the C++ building blocks in the form of data types, containers, and polymorphic function types that allow developers to design applications based on a combination of the object (-oriented), generic, and functional programming styles. In the second article we will introduce a language-independent defined process based on domain architectures (Duffy, 2004) to decompose a software system into loosely coupled subsystems, each of which has a single responsibility and having well-defined interfaces to and from other subsystems. Having created a design blueprint (similar to an architectural drawing), we then implement the subsystems using the multiparadigm programming features in C++. We then design and implement a Monte Carlo option pricing framework in C++11 by mapping a specific domain architecture to C++11. We also show how the same design blueprint can be implemented in C#.
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