MET CS 563 Software Development with C++ for Mathematical Finance--Fall 2008
Note: This schedule is not written in stone--as we proceed with the discussion of the material we will add readings and materials, and rearrange topics as needed.
Date |
Topic (linked to lecture notes) |
Readings |
Assignments |
Mon 09/08/08 |
1. Introduction 2. Programming Fundamentals: basic program structure, preprocessing directives, build-in types, constant and variable objects/instances of build-in types, statements, expressions, functions. Operator precedence and associativity. |
[Ho 05]: Ch.1 and 2 Source files: Code-Basics.zip |
A1. Fundamentals Posted: Tue 09/09/2008 Due: Tue 09/16/2008 |
Mon 09/15/08 |
2-A. Objects of complex (class) types. 3. Control Structures: Conditional statements, Iteration, Unconditional Jumps. |
[Ho 05]: Ch.3 [Ho 05]: Ch. 4 and 7 Source files (zip): |
Posted: Tue 09/16/2008 Due: Tue 09/23/2008 |
Mon 09/22/08 |
4. Functions: parameter passing, the const keyword; default parameter values; |
[Ho 05]: Ch. 5 |
Posted: Thu 09/25/2008 Due: Thu 10/02/2008 |
Mon 09/29/08 |
4. Functions (continued): call by value, call by reference; function overload, function tamplate |
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A4. More on Control & Functions Posted: Thu 10/02/2008 Due: Thu 10/09/2008 |
Mon 10/06/08 |
5. Vectors and Arrays |
[Ho 05]: Ch. 9.5 |
Posted: Thu, 10/09/08 Reading multiple arrays from single file Due: Thu, 10/16/08 |
Mon 10/13/08 |
Classes suspended |
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Tue 10/13/08 |
Substitute Mon 10/13/2008 classes Algorithms--asymptotic growth of functions |
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Posted: Thu, 10/16/08 Due: Thu, 10/23/08 |
Mon 10/20/08 |
6. Pointers: Call by reference with Pointers; Pointers and Arrays. Dynamic Arrays.
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Posted: Fri, 10/24/08 Due: Tue, 11/04/08 |
Mon 10/27/08 |
no class |
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Mon 11/03/08 |
F1. Finite Difference Method (FDM); Explicit FDM for solving the heat equation. From Black-Scholes to the heat equation. 7. Classes: member functions, access types
Review for Midterm |
[Wi 97], Ch. 8.1-8.4 [Ho 05]: Ch.6 |
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Mon 11/10/08 |
Midterm Exam |
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Mon 11/17/08 |
8. Operator Overload: first class objects, subscript, assignment. Friend functions I/O operators; class String discussion |
[Ho 05]: Ch.17 |
Posted: Wed, 11/19/08 Due: Wed, 11/26/08 |
Wed 11/24/08 |
F2. Implicit FDM: Direct methods - LU decomposition F3. Implicit FDM: Indirect methods - Jacobi, Gauss-Seidel, SOR F4. The Cranck-Nicolson method.
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[Wi 97], Ch. 8.5-8.7
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Mon 12/01/08 |
9. Inheritance: Composition vs Inheritance: Case study: Point-Circle-Cylinder with composition vs. with inheritance. |
[Ho 05], Ch. 11 |
A9-I. Inheritance Polymorphism Posted: Sat, 12/06/08 Due: Sat, 12/13/08 |
Mon 12/08/08 |
10. Polymorphism and Virtual Functions. Project Presentation: Adam Diamand, Leonid Makarovsky: "Option Pricing" |
A9-II. Finite Differences for the Heat Equation
Due: Mon, 12/15/08 |
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To be determined |
Review for Final |
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FRI 12/19/08 |
Final Exam 2 p.m. - 5 p.m. STH B19 |
Note Change!! |