New CQF Advanced Elective: Modeling with C++

What is C++?

C++ is a powerful, high-performance programming language that is used across various industries for developing complex software systems, applications, and simulations. Known for its versatility, reliability, and efficiency, C++ offers a blend of procedural, object-oriented, and generic programming features. This makes it an ideal choice for projects requiring fine-grained control over system resources and performance optimization.

What are the Key Characteristics of C++?

The following characteristics have established C++ as a foundational language in the tech industry, particularly for applications requiring robust performance and reliability.
 

• Object-Oriented Programming (OOP): C++ supports the principles of encapsulation, inheritance, and polymorphism, enabling developers to create modular and maintainable code.
• Performance and Efficiency: C++ provides low-level memory manipulation capabilities, allowing for high-speed execution and optimal resource management, which is crucial for performance-critical applications.
• Standard Template Library (STL): The language includes a rich library of template classes and functions, such as vectors, stacks, queues, and algorithms, which facilitate efficient data management and manipulation.
• Portability: C++ is highly portable and can be compiled on multiple platforms with minimal changes, making it suitable for cross-platform development.
• Rich Functionality: With its range of libraries and tools, C++ supports a wide array of functionalities, from graphical user interfaces to networking and real-time system development.

How is C++ used in quantitative finance?

C++ is widely used in quantitative finance due to its ability to handle complex calculations and simulations. Whilst Python is certainly the dominant language in the field, there are some use cases where quants may prefer to use C++. Reasons for this can include:
 

• High Performance: C++ is a compiled language that offers fast execution speeds, which is crucial for high-frequency trading, risk management, and other applications requiring real-time data processing and quick decision-making.
• Memory Management: The language provides fine-grained control over memory allocation and deallocation, enabling the development of optimized algorithms and models that can handle large datasets efficiently.
• Complex Calculations: C++ is well-suited for implementing advanced mathematical models and numerical methods used in quantitative analysis, such as Monte Carlo simulations, option pricing models, and statistical arbitrage strategies.
• Robust Libraries: The availability of powerful libraries, such as Boost and QuantLib, supports the development of sophisticated financial models and tools, streamlining the implementation of complex financial theories.
• Concurrency and Parallelism: C++ supports multithreading and parallel computing, allowing for the development of applications that can leverage modern multi-core processors to perform concurrent calculations, which is essential for handling large-scale financial data.
• Legacy Systems Integration: Many financial institutions have existing systems and infrastructure built in C++, making it easier to integrate new applications without the need for complete overhauls or compatibility issues.

While Python is typically preferred for rapid prototyping and exploratory data analysis due to the ease of use and rich ecosystem of data science libraries, C++ can be useful for tasks where execution speed, resource efficiency, and detailed control over system operations are paramount. This makes it particularly valuable in environments, like quantitative trading, where performance and precision are critical.

How to Build Financial Models with C++

The Certificate in Quantitative Finance (CQF) is the world’s leading professional qualification in quantitative finance and machine learning. Delivered online, part-time by world-renowned practitioners, the program teaches the cutting-edge techniques being used in industry. In fact, the syllabus is reviewed every quarter, in consultation with senior alumni and faculty, to ensure it reflects market need. 

One of the newest additions to the CQF syllabus is our advanced elective on ‘Modeling with C++’. This elective is designed to equip delegates with a comprehensive understanding of C++ syntax and its application in both procedural and object-oriented programming paradigms. Delegates will get to grips with writing mathematical programs, blocks and scopes, files, and streams, object orientated programming, objects and classes, and much more. By the end, delegates will have the skills needed to apply C++ in developing efficient and robust financial software solutions.