Mathematics

ECMM738 - Computational Finance with C++ (2015)

Back | Download as PDF
MODULE TITLEComputational Finance with C++ CREDIT VALUE15
MODULE CODEECMM738 MODULE CONVENERDr Dominic McCarthy (Coordinator)
DURATION: TERM 1 2 3
DURATION: WEEKS 0 11 0
Number of Students Taking Module (anticipated)
DESCRIPTION - summary of the module content

C++ is a powerful programming language and is the language of choice for quantitative finance. This is due to its potential efficiency and design features. In this module you will learn how to use C++ to design and implement a variety of numerical models used in quantitative finance, such as Monte Carlo simulation frameworks and option pricing libraries. The module is compulsory for students taking MSc Computational Finance.

PRE-REQUISITE MODULE:  ECMM737 Introduction to C++
 

AIMS - intentions of the module

The aim of this module is to provide a solid grounding in the design of numerical software in C++, with a focus on financial algorithms. There will be some emphasis on potential interview questions where appropriate.

INTENDED LEARNING OUTCOMES (ILOs) (see assessment section below for how ILOs will be assessed)

On successful completion of this module you should be able to:

Module Specific Skills and Knowledge

1 Build option pricing libraries using the C++ standard template and Boost libraries.
2 Use design patterns to specify solutions to numerical finance problems.
3 Use C++ threading libraries for concurrent programming.
4 Read C++ code fragments and identify patterns and C++ programming idioms.
5 Demonstrate familiarity with the C++11 standard.

Discipline Specific Skills and Knowledge

6 Specify and implement generic C++ libraries.

Personal and Key Transferable / Employment Skills and Knowledge

7 Prepare for a technical C++ interview in the financial sector.

8 Present and communicate your designs and ideas in a professional manner.
 

 

SYLLABUS PLAN - summary of the structure and academic content of the module

Object Oriented Design
Generic Programming
Meta-Programming
Design patterns
Standard Template Library
Library Design
Numeric Topics
Concurrent Programming
 

LEARNING AND TEACHING
LEARNING ACTIVITIES AND TEACHING METHODS (given in hours of study time)
Scheduled Learning & Teaching Activities 33.00 Guided Independent Study 117.00 Placement / Study Abroad 0.00
DETAILS OF LEARNING ACTIVITIES AND TEACHING METHODS
Category Hours of study time Description
Scheduled learning and teaching activities 22 Lectures
Scheduled learning and teaching activities 11 Laboratory Sessions
Guided independent study 50 Formative and summative coursework
Guiden Independent study 67 Lecture and assessment preparation; private study

 

ASSESSMENT
FORMATIVE ASSESSMENT - for feedback and development purposes; does not count towards module grade
Form of Assessment Size of Assessment (e.g. duration/length) ILOs Assessed Feedback Method
Write a C++ program to show understanding of object oriented design. 10 hours 1,2,3 Lecture and individual feedback
       
       
       
       

 

SUMMATIVE ASSESSMENT (% of credit)
Coursework 50 Written Exams 50 Practical Exams 0
DETAILS OF SUMMATIVE ASSESSMENT
Form of Assessment % of Credit Size of Assessment (e.g. duration/length) ILOs Assessed Feedback Method
Written exam – Closed book 50 2 hours All Available upon request
Assignment 1 12.5
 
10 hours 1,2,3 Lecture and individual feedback
Assignment 2 12.5 10 hours 1,2,3 Lecture and individual feedback
Assignment 3 12.5 10 hours 1,2,3 Lecture and individual feedback
Assignment 4 12.5 10 hours 1,2,3 Lecture and individual feedback

 

DETAILS OF RE-ASSESSMENT (where required by referral or deferral)
Original Form of Assessment Form of Re-assessment ILOs Re-assessed Time Scale for Re-assessment
As Above Written Exam (100%) All August Ref/Def Period
       
       

 

RE-ASSESSMENT NOTES

If a module is normally assessed entirely by coursework, all referred/deferred assessments will normally be by assignment.

If a module is normally assessed by examination or examination plus coursework, referred and deferred assessment will normally be by examination. For referrals, only the examination will count, a mark of 40% being awarded if the examination is passed. For deferrals, candidates will be awarded the higher of the deferred examination mark or the deferred examination mark combined with the original coursework mark.

RESOURCES
INDICATIVE LEARNING RESOURCES - The following list is offered as an indication of the type & level of
information that you are expected to consult. Further guidance will be provided by the Module Convener

Basic reading:

 

ELE: http://vle.exeter.ac.uk/

 

Web based and Electronic Resources:

 

Other Resources:

 

Reading list for this module:

Type Author Title Edition Publisher Year ISBN Search
Set Scott Meyers Effective C++: 55 Specific Ways to Improve Your Programs and Designs 3rd Addison Wesley 2012 978-0321334879 [Library]
CREDIT VALUE 15 ECTS VALUE 7.5
PRE-REQUISITE MODULES ECMM737
CO-REQUISITE MODULES
NQF LEVEL (FHEQ) 7 AVAILABLE AS DISTANCE LEARNING No
ORIGIN DATE Friday 09 January 2015 LAST REVISION DATE Friday 21 August 2015
KEY WORDS SEARCH C++. Computational Finance