Editorial Review:Product Description:This book is the definitive and most comprehensive guide to modeling derivatives in C++ today. Providing readers with not only the theory and math behind the models, as well as the fundamental concepts of financial engineering, but also actual robust object-oriented C++ code, this is a practical introduction to the most important derivative models used in practice today, including equity (standard and exotics including barrier, lookback, and Asian) and fixed income (bonds, caps, swaptions, swaps, credit) derivatives. The book provides complete C++ implementations for many of the most important derivatives and interest rate pricing models used on Wall Street including Hull-White, BDT, CIR, HJM, and LIBOR Market Model. London illustrates the practical and efficient implementations of these models in real-world situations and discusses the mathematical underpinnings and derivation of the models in a detailed yet accessible manner illustrated by many examples with numerical data as well as real market data. A companion CD contains quantitative libraries, tools, applications, and resources that will be of value to those doing quantitative programming and analysis in C++. Filled with practical advice and helpful tools, Modeling Derivatives in C++ will help readers succeed in understanding and implementing C++ when modeling all types of derivatives.
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Customer Reviews
Average Rating:
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Badly written into to QuantLib?
This book teaches neither C++ nor derivatives theory. It contains countless pages of code which looks like borrowed from QuantLib. If you serious about quantitative finance and C++ you need to get dedicated books, because you won't learn any of those from this book. This book is totally unsuitable for a beginner, at the same it is useless for intermediate and advanced readers. Beginners won't be able to decipher countless pages of fairly sophisticated C++ code which is regurgitated without much explanation. Those who already learned enough of financial math and C++ should can QuanLib from online documentation and tutorials.
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egregious c++ code
i've not tried to use all the code in this book, but based on the experience of using a few and finding the enormous amount of errors (including typos, dropped semicolons and just bad structure overall), i wouldn't be surprised if the author sent this to the publishers without trying any of his code out. seeing that the title of this book says "C++" in it, this pretty much makes it a waste of money.
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how not to do it
London has clearly not understood what he was copying. I am surprised Wiley published the book and one would have expected some sort of editorial oversight.
Since some of the mistakes are actually quite ammusing I have placed the book in the guest bathroom as light literature and for other emergencies. A second edition could be further improved if it were printed on recycled paper and the pages were perforated.
Rating: 
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disappointing, but woth a third edition
I am disappointed by this book. There are some mistakes (especially in function declaration) which i can easily forgive but also some flaws that cannot be so easily ignored. Here are some of them:
- In the garch implementation a critic function (the one that computes the weight) is delcared but never defined. The whole code is useless.
- In the Monte-Carlo chapter, some files are included but it is not clear whether they come from QuantLib or God knows where. Some variables look to depend on it. It is consequently not easy to understand what JL is doing.
The positioning of the book is therefore ill-fated:
If one is already used to QuantLib there is no much need for this book, if you are not used to it, you cannot really use the book.
Nevertheless, the book might have been great, it is stimulating, it really gives lead to develop methodically robust solutions. It such a shame that the code is not complete.
Rating: -
Outdated contents
This book would been a nice book if it were 4 years ago.
What JL tried was right, but it is simply outdated.
This book is filled with good explanations and examples of many codes,
mostly based on the libraries from pre 2004 version of Quantlib.
So simply the codes are not compilable without tremendous amount of
debugging processes.
You have to see through all the provided source codes and compare them with the current version of Quantlib libraries.
If you're an expert in C++, especially in debugging, this is a good one.
If you want to learn things from debugging, this is your go.
Otherwise, step away from it and try other references.