Financial Numerical Recipes in C

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1、FinancialNumericalRecipesinC++.BerntArneØdegaardApril20075.4Bondcalculationswithageneraltermstructureandcontinouscompounding............60Contents6TheMeanVarianceFrontier636.1Setup........................636.2Theminimumvariancefrontier..........641OnC++andprogramming.56.3Calcula

2、tionoffrontierportfolios.........651.1Compilingandlinking...............56.4Theglobalminimumvarianceportfolio......681.2ThestructureofaC++program.........56.5Ecientportfolios.................681.2.1Types....................56.6Thezerobetaportfolio...............691.2.2Operation

3、s.................66.7Allowingforarisklessasset.............691.2.3Functionsandlibraries...........66.8Ecientsetswithriskfreeassets..........701.2.4Templatesandlibraries..........76.9Short-saleconstraints................711.2.5Flowcontrol.................86.10TheSharpeRatio....

4、..............711.2.6InputOutput................86.11Equilibrium:CAPM................721.2.7Splittingupaprogram...........86.11.1Treynor...................721.2.8Namespaces.................96.11.2Jensen...................721.3Extendingthelanguage,theclassconcept....96.12Workingw

5、ithMeanVarianceandCAPM.....721.3.1date,anexampleclass...........96.13Meanvarianceanalysisusingmatrixlibraries..731.4Constreferences...................151.5OtherC++concepts.................157Futuresalgoritms.777.1Pricingoffuturescontract.............772MatrixTools162.1Therstscr

6、een...................178Binomialoptionpricing782.2Linearalgebra....................178.1Options.......................782.2.1Basicmatrixoperations..........178.2Pricing........................782.2.2ArithmeticMatrixOperations.......188.3Multiperiodbinomialpricing...........802.

7、3Solvinglinearequations..............219BasicOptionPricing,theBlackScholesformula852.4Elementbyelementoperations..........229.1Theformula.....................852.5Functiondenitions................239.2Understandingthewhy'softheformula.....872.6mles........................239.2

8、.1TheoriginalBlackScholesanalysis....882.7Flowc