CFRM 557: Financial Software Development and Integration with C++

This course is a practical introduction to C++ programming for financial applications. The course will focus on developing basic object oriented programming skills in C++ to implement computational finance solutions. Course coverage will also include integrating C++ applications with R and Excel. Course topics include:

  • C++ language, syntax, and control
  • Object-oriented programming
  • The C++ Standard library
  • Rcpp interface from R to C++
  • Rinside interface from C++ to R
  • xlw interface from Excel to C++
  • COM interface with C++ .
Guy Yollin
Starting Out with C++: Early Objects (7th Edition), Tony Gaddis, Addison-Wesley, 2010
Microsoft Visual Studio 2010
CFRM 542 and CFRM 544 which may be taken concurrently, or by permission