Post on 29-Mar-2015
transcript
An Introduction to C++
Dave KleinResearch Analyst
Credit Derivatives Research LLC
2
Two Grooks
Problems worthy of attack,prove their worth by hitting back.
------
Shun advice at any price, that's what I call good advice.
Piet Hein
3
This Session
Overview of C++ Program syntax Classes Pointers Arrays Strings
Using Numerical Recipes Integrating with your project Sample program – Geometric Brownian Motion (if time)
Next Session – using C++ to model a derivative
4
Things we won’t cover
Object-oriented Design / Programming The “right” way to do anything
Software developers are fond of having “religious” discussions
In the MFE, there is no time Professional-level programming practice
5
C++ Overview
C++ is about 25 years old Originally created as a successor to C
C was created about 35 years ago as a more generic assembly language
C++ is a very “big” language It has many, many features Recommendation: during MFE program, only use
fundamental language features Unless you are an expert, avoid constructs like templates,
polymorphism, operator overloading, multiple inheritance
6
C++ Overview con’t
C++ is a “dangerous” language It is easy to introduce bugs It is often difficult to track them downTip: build and test your programs
incrementally
7
Language Features – Program Syntax Program Syntax
Functions / methodsLoopsConditional statements
Hopefully, syntax is not completely new to you. If it is, think about using a more familiar computer language.
8
...// this is a comment
int myFirstFunction(int a, int b, double c){ int rc = a + b + c;
return rc;}...
Program Syntax (con’t)
Functions
Function nameFunction return type
The function’s code
Return the value
9
Program Syntax (con’t)
For loop
Do loop
...for (int i = 0; i < 100; i++){ ... do something ...}...
...i = 0;do{ ... do something ... i++;} while (i < 100);…
10
Program Syntax (con’t)
If statement...if (i == 10){ .. do something ..} else { .. do something else}...
IMPORTANT: Note the double equal signs (==) to test for equality
11
Classes
Classes provide the basic data/code organization construct within C++
Classes are (roughly) comprised of two parts: Data members (properties) Code members (methods)
Class support inheritance – we don’t have time to cover this Recommendation – if you are not familiar with
inheritance, do not try to learn how to use it during the MFE
12
Classes (con’t)class myFirstClass{public:// Some properties int integerProperty; double floatingPointProperty; char characterArray[254];
// some methods // a constructor myFirstClass() { integerProperty = 12; floatingPointProperty = 25.2; strcpy(characterArray, "yo yo yo"); }
// a destructor virtual ~myFirstClass() { }
void doSomething() { ... some code would go here ... }};
13
Classes con’t
There are other features to classes including: Information hiding (public, protected, private)Virtual functions
They are extremely powerful and useful, but now is not the time to play with these.
14
Classes con’t
Classic interview question: What is the difference between a class and an object?
Better interview question: Can an object ever be a class?
15
Pointers
Pointers are a special type of variable Pointers hold the address of data, not the
data Pointers must be assigned values before
they can be used.
16
Pointers (con’t)
Pointers are a special type of variable Pointers hold the address of data, not the data
...
int a1; // a1 is not a pointer
int *a2; // a2 is a pointer
a1 = 10;a2 = &a1; // a2 now points to a1
*a2 = 5; // we ‘dereference’ a2 to assign a value
printf("%d %d\n", a1, *a2); // what will this print?
...
17
Pointers (con’t)
Be very careful with pointers Someone once estimated that 90% of all C++
bugs can be traced back to bad pointers
18
Memory Allocation / Arrays
C++ supports both statically and dynamically allocated arrays
If you dynamically allocate an array, make sure to deallocate it when you are done using it.Make sure you are really done using it before
you deallocate!
19
Memory Allocation / Arrays (con’t)
...
int myArray[10]; // this is statically allocated array
for (int i = 0; i < 10; i++){ // Assign a value to each member of the array // Notice that the array is 'referenced' from 0 to 9 // Arrays in C++ 'start' at 0 myArray[i] = i * i + 1;}
...
20
Memory Allocation / Arrays (con’t)
...
// this is dynamically allocated array// it looks suspiciously like a pointer!int *myArray;
// first we allocate itmyArray = new int[10];
// this is what a for loop looks likefor (int i = 0; i < 10; i++){ // Assign a value to each member of the array // Notice that the array is 'reference' from 0 to 9 // Arrays in C++ 'start' at 0 myArray[i] = i * i + 1;}
// now we deallocate itdelete[] myArray;
...
21
Memory Allocation / Arrays con’t
Question: when should you dynamically allocate an array?
When should static allocation be used?
22
Strings (or lack thereof)
C++ does not have a standard string class There is a string class within the Standard Template
Library (STL) Unless you know how to use the STL, ignore it for this
term Recommendation: for output, debugging purposes –
learn how to use printf, sprintf, fprintf The ‘classic’ way of handling strings is to treat them
as arrays of char’s. Then use strcpy, strcmp, etc.
23
Strings (or lack thereof) – printf()
printf() enables the formatting of character data
printf(format_string, data1, data2, …)Example:
printf(“This is a %s %d %lf test\n”, “printing”, 2, 5.005)
Produces: This is a printing 2 5.005 test<lf>
24
Using Numerical Recipes
There are many numerical libraries available Numerical Recipes for C++ is easy to use DO NOT RE-INVENT THE WHEEL
If you do not have NR, search on-line for numerical class libraries
Do not write your own random-number generator Do not write your own matrix classes Do not implement complex numerical algorithms if there are
“canned” routines already available Exception: if the goal of a homework assignment is to implement
an algorithm.
25
Using Numerical Recipes con’t
Warning: there are “Numerical Recipes” books for FORTRAN, C, C++, etc.
Each one is slightly different NR originally implemented in FORTRAN C & C++ versions different enough from
each other to cause problemsFor example, arrays in C version are handled
differently than in C++ version
26
Using Numerical Recipes con’t
Three different ways to add NR to your project1. Recommended : copy the files you need (including
nr.h) to your project directory and add the cpp files to your project
2. Build a static library or DLL with all the NR routines in them
3. Copy the code directly from the NR files into your code files
27
Using Numerical Recipes con’t
Example: Using an NR random number generator
Problem: Want standard normal pseudorandom variable
Solution: use gasdev() from NR
28
Using Numerical Recipes con’t
#include <time.h>#include "nr.h"
...
// let's generate 100 standard normal variablesdouble normals[100];
// seed the random number generatorint idum = -time(NULL);
for (int i = 0; i < 100; i++){ normals[i] = NR::gasdev(idum); }
...
29
Putting it All Together – A Geometric Brownian Motion Class We want to:
Model drift, diffusionReuse the same object over and over to
generate different paths
30
GBM con’t
Our class properties m_nSInitial – the initial security value (constant) m_nDrift – the drift term (constant) m_nSigma – our volatility term (constant) m_nCurrentTime – the current ‘time’ in our simulation m_nSCurrent – the current security value
Our class methods CGBMotion - our constructor void step – moves time forward double getCurrentValue – returns m_nSCurrent void reset - resets current time & security value
31
Code #include <math.h>#include "nr.h"
class CGBMotion{public: // our properties
int m_nIdum; // used by NR::gasdevdouble m_nSInitial; // initial security value (constant)double m_nDrift; // our drift (constant)double m_nSigma; // our volatility (constant)double m_nCurrentTime; // the current elapsed timedouble m_nCurrentDiffusion; // how much the process has diffused
32
Code con’t . . . public:// our constructorCGBMotion(double nSInitial, double nDrift, double nSigma, int seed){
m_nSInitial = nSInitial;m_nDrift = nDrift;m_nSigma = nSigma;m_nCurrentTime = 0;m_nCurrentDiffusion = 0;m_nIdum = seed;
}
33
Code con’t . . .
void step(double nTime){ double nDeltaT = nTime - m_nCurrentTime; // how much time has elapsed? if (nDeltaT > 0) {
// some time has elapsed// add to our diffusion relative to sqrt of elapsed timem_nCurrentDiffusion += sqrt(nDeltaT) * NR::gasdev(m_nIdum);
// update our current timem_nCurrentTime = nTime;
}}
34
Code con’t . . .
double getCurrentValue(){
return m_nSInitial * exp(m_nDrift*m_nCurrentTime - .5* m_nSigma * m_nSigma*m_nCurrentTime + m_nSigma*m_nCurrentDiffusion)
);}
double reset(){
m_nCurrentTime = 0;m_nCurrentDiffusion = 0;
}
};
35
GBM Sample Programint main(int argc, char* argv[]){ CGBMotion oGBM(100.0, .05, .2, -10); // our brownian motion object
// run 10000 simulations for (int i = 0; i < 10000; i++) { double t = 0; oGBM.reset();
// run 100 time steps for (int j = 0; j < 100; j++) { t = t + .01; oGBM.step(t); }
// print the results printf("%02d: Simulated value %lf\n", i, oGBM.getCurrentValue()); }
return 0;}
36
3 Great Resources
Wikipedia: http://www.wikipedia.org Wilmott: http://www.wilmott.com Google (of course) :
http://www.google.com
37
Questions / Discussion