MET CS 563 Software Development with C++ for Mathematical Finance --Spring 2010

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Schedule

Please, 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

1.

 

Tue 01/19/2010

Intro

Programming Fundamentals (Review):  basic program structure, preprocessing directives, build-in types, constant and variable objects/instances of build-in types, statements, expressions, functions.  Operator precedence and associativity.

Control (Review):  loops, branching

Functions: parameter passing, the const keyword; default parameter values; name overloading; function templates.

[Ho 09]: Ch.1 and 2

 

[Ho 09]: Ch.3

 

Source files

Code-Basics.zip

Code-Control.zip

 A1. Fundamentals

 

DUE: Wed 01/27/2010

(11:59 pm)


2.

 

Tue 01/26/2010

Control (Continued)

 

Functions

 

Objects of complex (class) types. 

 [Ho 09]: Ch. 4

 

 

 A2. Control

3.

 

Tue 02/02/2010

Vectors and Arrays

Finite Difference Method (FDM); Explicit FDM for solving the heat equation.

Implicit FDM: Direct methods - LU decomposition

[Ho 09]: Ch. 6

 

Handout (after [Wi 97], Ch. 8.1-8.4 )

 A3. Vector and Arrays


4.

 

Tue 02/09/2010

Implicit FDM: Indirect methods - Jacobi, Gauss-Seidel, SOR

The Cranck-Nicolson method.  

Pointers: Call by reference with Pointers; Pointers and Arrays. Dynamic Arrays.

Classes Inheritance: member functions, access types.

Handout (after [Wi 97], Ch. 8.5-8.7 )

[Ho 09]: Ch. 7

 A4. Numerics. Classes

 

Tue 02/16/2010

Substitute Monday Schedule of Classes

5.

 

Tue 02/23/2010

Classes Inheritance (continued)

Composition vs Inheritance: Case study: Point-Circle-Cylinder with composition vs. with inheritance.

[Ho 09]: Ch. 5 and 8

 A5. Inheritance

6.

 

Tue 03/02/2010

Review for Midterm

03/

06-14/2010

Spring RecessóClasses Suspended

7.

 

Tue 03/16/2010

Midterm Exam 

8.

 

Tue 03/23/2010

Operator Overload:  first class objects, subscript, assignment. Friend functions I/O operators; class String discussion.

[Ho 09]: Ch. 14

A6. Overload

9.

 

Tue 03/24/2010

Operator Overload (continued)

A7. Class Hierarchies & Overload

10.

 

Tue 03/30/2010

Polymorphism and Virtual Functions.

[Ho 09]: 8.4

A8. Polymorphism

11.

 

Tue 04/06/2010

Templates

 [Ho 09]: Ch. 16

A9. Templates

12.

 

Tue 04/13/2010

Standard Template Library (STL)

 [Ho 09]: Ch. 20

A10. STL

13.

 

Tue 04/20/2010

STL (continued)

 

 

14.

 

Tue 04/27/2010

Review for Final

 

 

Final Exam