C++ code for derivative pricing

This repository contains my own solution to exercises and projects contained in the books C++ Design Patterns and Derivatives Pricing, 2nd ed., M. S. Joshi and The Concepts and Practice of Mathematical Finance, 2nd ed., M. S. Joshi published by Cambridge University Press. The project is independent and all errors are mine.

I have decided to put my work online in order to help new developers who are struggling with C++. The solutions should be viewed as a mere help.

Original code can be downloaded from author’s personal website free of charge. This repository contains code from xlw project, Boost, QuantLib, and google test. It has been tested to run on msvc 12 with release Boost 1.58 and QuantLib 1.6.

I have tried to benchmark my findings against computation done with QuantLib as much as possible.