Building financial derivatives applications with C++ / by Robert Brooks.

Includes bibliographical references (pages [209]-211) and index.

The Case for C++ -- Derivative Technology and Applications -- Overview of C++ -- Brief Overview of Borland C++Builder -- Hello World Program: Windows Graphical User Interface (GUI) -- File Types -- Introduction to C++ -- Basic Features of C++ -- Object-Oriented Programming -- Bond Pricing Program: Console Application -- User Inputs in C++Builder -- Bond Pricing Program Without Error Trapping -- Bond Pricing Program With Error Trapping -- Derivatives Valuation -- Review of Valuation Issues -- Approaches to Valuation -- Market Comparables Approach (MCA) -- Cash Flow Adjusted Approach (CFAA) -- Discount Factor Adjusted Approach (DFAA) -- Selecting the Best Approach to Valuation -- Tools of the Trade -- Secant Method -- Fitting the Term Structure of Interest Rates -- Monte Carlo Simulation -- Lattice Procedures -- C++Builder Form for Yield to Maturity -- Valuing Forward Contracts and Interest Rate Swaps -- Valuing Forward Contracts -- Valuing Futures Contracts -- Valuing Interest Rate Swaps -- C++Builder Form for Valuing Forward Contracts -- Valuing Stock Options -- Black-Scholes Option Pricing Model and DLLs -- Implied Volatility -- American-Style Option Valuation with the Binomial Lattice -- Building Interest Rate Trees -- Interest Rate Modeling -- Equilibrium Swap Rates -- Caps and Floors Based on the Black, Derman, and Toy Model in C++ -- Forward Rates from Par Bond Yields -- State Contingent Claim Values -- Mortgage-Backed Securities and Monte Carlo Simulation -- Mortgage-Backed Securities and Prepayment Models.