An Introduction to C++

Dave Klein
Research Analyst
Credit Derivatives Research LLC

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
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This Session

Overview of C++

Using Numerical Recipes

Program syntax
Classes
Pointers
Arrays
Strings
Integrating with your project
Sample program Geometric Brownian Motion (if time)

Next Session using C++ to model a derivative

Things we wont 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

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
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C++ Overview cont

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

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.

Program Syntax (cont)

Functions

Function
return type

...
// this is a comment

Function name

int myFirstFunction(int a, int b, double c)

{
int rc = a + b + c;
The functions
return rc;
}
...

Return the value

code

Program Syntax (cont)

For loop
...
for (int i = 0; i < 100; i++)
{
... do something ...
}
...

Do loop
...
i = 0;
do
{
... do something ...
i++;
} while (i < 100);

Program Syntax (cont)

If statement
...
if (i == 10)
{
.. do something ..
} else {
.. do something else
}
...

IMPORTANT: Note the

double equal signs (==) to
test for equality

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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 dont 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
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Classes (cont)
class myFirstClass
{
public:
// Some properties
int integerProperty;
double floatingPointProperty;
char
characterArray[254];
// some methods
// a constructor
myFirstClass()
{
integerProperty = 12;
floatingPointProperty = 25.2;
strcpy(characterArray, "yo yo yo");
}
// a destructor
virtual ~myFirstClass()
{
}
void doSomething()
{
... some code would go here ...
}
};

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Classes cont

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.

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Classes cont

Classic interview question: What is the difference

between a class and an object?

Better interview question: Can an object ever be a

class?

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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.

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Pointers (cont)

Pointers are a special type of variable

Pointers hold the address of data, not the data
...
int a1;

// a1 is not a pointer

int *a2;

// a2 is a pointer

a1 = 10;
a2 = &a1;
*a2 = 5;

// a2 now points to a1
// we dereference a2 to assign a value

printf("%d %d\n", a1, *a2);

// what will this print?

...
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Pointers (cont)

Be very careful with pointers

Someone once estimated that 90% of all C++
bugs can be traced back to bad pointers

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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!

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Memory Allocation / Arrays (cont)

...
int myArray[10];

// this is statically allocated array

for (int i = 0; i < 10; i++)

{
// Assign a value to each member of the array
// Notice that the array is 'referenced' from 0 to 9
// Arrays in C++ 'start' at 0
myArray[i] = i * i + 1;
}
...

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Memory Allocation / Arrays (cont)

...
// this is dynamically allocated array
// it looks suspiciously like a pointer!
int *myArray;
// first we allocate it
myArray = new int[10];
// this is what a for loop looks like
for (int i = 0; i < 10; i++)
{
// Assign a value to each member of the array
// Notice that the array is 'reference' from 0 to 9
// Arrays in C++ 'start' at 0
myArray[i] = i * i + 1;
}
// now we deallocate it
delete[] myArray;
...

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Memory Allocation / Arrays cont

Question: when should you dynamically allocate an

array?

When should static allocation be used?

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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 chars. Then use strcpy, strcmp, etc.
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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>

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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.

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Using Numerical Recipes cont

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

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Using Numerical Recipes cont

Three different ways to add NR to your project

1.

2.
3.

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

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Using Numerical Recipes cont

Example: Using an NR random number generator

Problem: Want standard normal pseudorandom variable

Solution: use gasdev() from NR

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Using Numerical Recipes cont

#include <time.h>
#include "nr.h"
...
// let's generate 100 standard normal variables
double normals[100];
// seed the random number generator
int idum = -time(NULL);
for (int i = 0; i < 100; i++)
{
normals[i] = NR::gasdev(idum);
}
...

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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

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GBM cont

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
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Code
#include <math.h>
#include "nr.h"
class CGBMotion
{
public:
// our properties
int m_nIdum; // used by NR::gasdev
double m_nSInitial; // initial security value (constant)
double m_nDrift; // our drift (constant)
double m_nSigma; // our volatility (constant)
double m_nCurrentTime; // the current elapsed time
double m_nCurrentDiffusion; // how much the process has diffused

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Code cont
. . .
public:
// our constructor
CGBMotion(double nSInitial, double nDrift, double nSigma, int seed)
{
m_nSInitial = nSInitial;
m_nDrift = nDrift;
m_nSigma = nSigma;
m_nCurrentTime = 0;
m_nCurrentDiffusion = 0;
m_nIdum = seed;
}

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Code cont
. . .
void step(double nTime)
{
double nDeltaT = nTime - m_nCurrentTime; // how much time has elapsed?
if (nDeltaT > 0)
{
// some time has elapsed
// add to our diffusion relative to sqrt of elapsed time
m_nCurrentDiffusion += sqrt(nDeltaT) * NR::gasdev(m_nIdum);
// update our current time
m_nCurrentTime = nTime;
}
}

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Code cont
. . .
double getCurrentValue()
{
return m_nSInitial * exp(m_nDrift*m_nCurrentTime
- .5* m_nSigma * m_nSigma*m_nCurrentTime
+ m_nSigma*m_nCurrentDiffusion)
);
}
double reset()
{
m_nCurrentTime = 0;
m_nCurrentDiffusion = 0;
}
};

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GBM Sample Program

int main(int argc, char* argv[])
{
CGBMotion oGBM(100.0, .05, .2, -10);

// our brownian motion object

// run 10000 simulations

for (int i = 0; i < 10000; i++)
{
double t = 0;
oGBM.reset();
// run 100 time steps
for (int j = 0; j < 100; j++)
{
t = t + .01;
oGBM.step(t);
}
// print the results
printf("%02d: Simulated value %lf\n", i,
oGBM.getCurrentValue());
}
return 0;
}

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3 Great Resources

Wikipedia: http://www.wikipedia.org

Wilmott: http://www.wilmott.com

Google (of course) : http://www.google.com

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Questions / Discussion

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