An Introduction to C

1. An Introduction to C++ Dave Klein Research Analyst Credit Derivatives Research LLC

2. 2 Two Grooks Problems worthy of attack, prove their worth by hitting back. ------ Shun advice at any price, that's what I call good advice. Piet Hein

3. 3 This Session Overview of C++ Program syntax Classes Pointers Arrays Strings Using Numerical Recipes Integrating with your project Sample program � Geometric Brownian Motion (if time) Next Session � using C++ to model a derivative

4. 4 Things we won�t cover Object-oriented Design / Programming The �right� way to do anything Software developers are fond of having �religious� discussions In the MFE, there is no time Professional-level programming practice

5. 5 C++ Overview C++ is about 25 years old Originally created as a successor to C C was created about 35 years ago as a more generic assembly language C++ is a very �big� language It has many, many features Recommendation: during MFE program, only use fundamental language features Unless you are an expert, avoid constructs like templates, polymorphism, operator overloading, multiple inheritance

6. 6 C++ Overview con�t C++ is a �dangerous� language It is easy to introduce bugs It is often difficult to track them down Tip: build and test your programs incrementally

7. 7 Language Features � Program Syntax Program Syntax Functions / methods Loops Conditional statements Hopefully, syntax is not completely new to you. If it is, think about using a more familiar computer language.

8. 8 Program Syntax (con�t) Functions

9. 9 Program Syntax (con�t) For loop Do loop

10. 10 Program Syntax (con�t) If statement

11. 11 Classes Classes provide the basic data/code organization construct within C++ Classes are (roughly) comprised of two parts: Data members (properties) Code members (methods) Class support inheritance � we don�t have time to cover this Recommendation � if you are not familiar with inheritance, do not try to learn how to use it during the MFE

12. 12 Classes (con�t)

13. 13 Classes con�t There are other features to classes including: Information hiding (public, protected, private) Virtual functions They are extremely powerful and useful, but now is not the time to play with these.

14. 14 Classes con�t Classic interview question: What is the difference between a class and an object? Better interview question: Can an object ever be a class?

15. 15 Pointers Pointers are a special type of variable Pointers hold the address of data, not the data Pointers must be assigned values before they can be used.

16. 16 Pointers (con�t) Pointers are a special type of variable Pointers hold the address of data, not the data

17. 17 Pointers (con�t) Be very careful with pointers Someone once estimated that 90% of all C++ bugs can be traced back to bad pointers

18. 18 Memory Allocation / Arrays C++ supports both statically and dynamically allocated arrays If you dynamically allocate an array, make sure to deallocate it when you are done using it. Make sure you are really done using it before you deallocate!

19. 19 Memory Allocation / Arrays (con�t)

20. 20 Memory Allocation / Arrays (con�t)

21. 21 Memory Allocation / Arrays con�t Question: when should you dynamically allocate an array? When should static allocation be used?

22. 22 Strings (or lack thereof) C++ does not have a standard string class There is a string class within the Standard Template Library (STL) Unless you know how to use the STL, ignore it for this term Recommendation: for output, debugging purposes � learn how to use printf, sprintf, fprintf The �classic� way of handling strings is to treat them as arrays of char�s. Then use strcpy, strcmp, etc.

23. 23 Strings (or lack thereof) � printf() printf() enables the formatting of character data printf(format_string, data1, data2, �) Example: printf(�This is a %s %d %lf test\n�, �printing�, 2, 5.005) Produces: This is a printing 2 5.005 test<lf>

24. 24 Using Numerical Recipes There are many numerical libraries available Numerical Recipes for C++ is easy to use DO NOT RE-INVENT THE WHEEL If you do not have NR, search on-line for numerical class libraries Do not write your own random-number generator Do not write your own matrix classes Do not implement complex numerical algorithms if there are �canned� routines already available Exception: if the goal of a homework assignment is to implement an algorithm.

25. 25 Using Numerical Recipes con�t Warning: there are �Numerical Recipes� books for FORTRAN, C, C++, etc. Each one is slightly different NR originally implemented in FORTRAN C & C++ versions different enough from each other to cause problems For example, arrays in C version are handled differently than in C++ version

26. 26 Using Numerical Recipes con�t Three different ways to add NR to your project Recommended : copy the files you need (including nr.h) to your project directory and add the cpp files to your project Build a static library or DLL with all the NR routines in them Copy the code directly from the NR files into your code files

27. 27 Using Numerical Recipes con�t Example: Using an NR random number generator Problem: Want standard normal pseudorandom variable Solution: use gasdev() from NR

28. 28 Using Numerical Recipes con�t

29. 29 Putting it All Together � A Geometric Brownian Motion Class We want to: Model drift, diffusion Reuse the same object over and over to generate different paths

30. 30 GBM con�t Our class properties m_nSInitial � the initial security value (constant) m_nDrift � the drift term (constant) m_nSigma � our volatility term (constant) m_nCurrentTime � the current �time� in our simulation m_nSCurrent � the current security value Our class methods CGBMotion - our constructor void step � moves time forward double getCurrentValue � returns m_nSCurrent void reset - resets current time & security value

31. 31 Code

32. 32 Code con�t

33. 33 Code con�t

34. 34 Code con�t

35. 35 GBM Sample Program

36. 36 3 Great Resources Wikipedia: http://www.wikipedia.org Wilmott: http://www.wilmott.com Google (of course) : http://www.google.com

37. 37 Questions / Discussion