Quantitative Finance Workshop: Introduction to C++

Administrative Information
9:00 17:00, April 21 25, 2009 Simulated Trading Room Asst. Prof. Shih-Fen CHENG (sfcheng@smu.edu.sg) Office: SIS 4031, Tel: 6828-0526 NGUYEN Thi Duong (thiduongn.2005@sis.smu.edu.sg) Teaching Assistant Workshop Homepage http://www.mysmu.edu/faculty/sfcheng/classes/cpp09apr Time Venue Instructor

Course Summary
The purpose of this workshop is to teach you the basics of programming in C++. Upon completing this workshop, participants will be able to write moderately complex objectoriented C++ programs in financial domain, understand the basics of object orientation, and know the core C++ standard library. Another goal is to teach participants how to become a better software developer and write higher-quality code. Focus areas: The C++ language fundamentals Object-oriented programming in C++ The Standard Template Library (STL) C++ development tools Software design and development techniques

Text
There is no textbook requirement for this workshop. See the C++ books list for recommendations. C++ Primer Plus is strongly recommended if you would like to continue learning C++ by yourself after the workshop.

Operating System and Development Environments

A C++ development environment is required for the workshop. It is recommended that students use Microsoft Visual C++ 2008 Express Edition since the instructor uses this tool for his in-class C++ examples. It can be freely downloaded from Microsoft (http://msdn.microsoft.com/vstudio/express/downloads/). To reduce setup time, it is strongly recommended that you bring your own laptop with C++ environment pre-installed on it. Although PCs are available in the simulated trading room, you still need your laptop to complete assignments/projects after the class, and it will be most efficient if you stay on the same machine.

Lectures
The schedule and topics may change based on the experience of the class. The schedule in the syllabus is tentative and any major change will be reflected on the web page.

Assignments & Projects

Please submit exercises and projects handed out in-class everyday to the instructor by email before 9AM next day (e.g., for exercises and project handed out on Tuesday, submit them before 9AM on Wednesday). You performances on these submissions constitute your participation credit. Please note that you will not pass the workshop unless you submit assignments and projects from all days. Late submissions will not be accepted since we will review previous day's assignments every morning. When submitting exercises and project, using the following naming rule:

<your email uniquename>_<which day>_<ex or prj>.zip

For example, if I am submitting second day's exercises and project, the file name will be 'sfcheng_2_ex.zip' and 'sfcheng_2_prj.zip' respectively. When you communicate with me via email (including assignment submission), be sure to insert CPP: in your title.

Schedule Day 1
Session 9:00-10:30 Topic Course Overview and Introduction The Foundations of C++ Software Development Process/Tools Break Getting Started with C++, Part 1 Lunch Getting Started with C++, Part 1 Programming Exercises 1 Break Programming Exercises 1 Programming Project 1 Slides 1.1 1.2 1.3

10:30-10:45 10:45-12:30 12:30-1:30 1:30-3:00 3:00-3:15 3:15-5:30

Day 2
Session 9:00-10:30 10:30-10:45 10:45-12:30 12:30-1:30 1:30-3:00 3:00-3:15 3:15-5:30 Topic Day 1 Exercises and Project Solutions Getting Started with C++, Part 2 Break Additional Notes on Variables and Data Types Lunch Programming Exercises 2 Break Programming Exercises 2 Slides 2.1 2.2

Day 3
Session 9:00-10:30 10:30-10:45 10:45-12:30 12:30-1:30 1:30-3:00 3:00-3:15 3:15-5:30 Topic Day 2 Exercises and Project Solutions Object-Oriented Programming Primer Break Object-Oriented Programming in C++ Lunch Programming Exercises 3 Break Programming Project 3 Slides 3.1 3.2

Day 4
Session 9:00-10:30 10:30-10:45 10:45-12:30 12:30-1:30 1:30-3:00 3:00-3:15 3:15-5:30 Topic Day 3 Exercises and Project Solutions More OOP Examples Break Debugging Techniques Coding Techniques Lunch Programming Project 4 Break Programming Project 4 Slides 4.1 4.2 4.3

Day 5
Session 9:00-10:30 10:30-10:45 10:45-12:30 12:30-1:30 1:30-3:00 3:00-3:15 3:15-5:30 Topic Day 4 Exercises and Project Solutions Break An Introduction to STL Lunch Workshop Wrap-up Break Programming Exercises 5 Slides

5.1 5.2

Recommended References
1. The C++ Primer Plus (5th Edition). Stephen Prata, Sams, 2004. [ISBN: 0672326973] 2. C++ Design Patterns and Derivatives Pricing (2nd Edition). Mark S. Joshi, Cambridge University Press, 2008 [ISBN: 0521721628] 3. The C++ Programming Language (Special 3rd Edition). Bjarne Stroustrup, AddisonWesley Professional, 2000. [ISBN: 0201700735] 4. The C++ Standard Library: A Tutorial and Reference. Nicolai M. Josuttis, AddisonWesley Professional, 1999. [ISBN: 0201379260] 5. Large-Scale C++ Software Design. John Lakos, Addison-Wesley Professional, 1996. [ISBN: 0201633620]