C and Intro to Microsoft Visual Studio

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C and Intro to Microsoft Visual Studio

• The University of Chicago

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Computational Finance with C

• TA Christopher Merrill
• cmerrill_at_math.uchicago.edu
• Office Hours Tue 6pm 730pm, Eckhart Basement
  Computer Lab

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Course Outline

• In the first quarter well deal with the basics
  of writing C programs in the Microsoft Visual
  Studio 8.0 integrated environment (compiler,
  editor and debugger). Well use a small subset
  of the standard C library called the Standard
  Template Library (STL). The instruction level is
  set for students with little or no C
  experience.
• The second quarter is devoted to OOP, Object
  Oriented Programming. We will design classes for
  yield curve computations and put together a bond
  analysis application. We will also cover the
  Universal Modeling Language (UML) and discuss
  design patterns. Students with sufficient C
  experience should join this quarter.
• The third quarter studies the QuantLib
  quantitative finance class library
  (http//www.quantlib.org). We will use this
  library to write pricing models for a variety of
  exotic derivatives.

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Suggested Reading List

• C Design Patterns and Derivatives Pricing, Mark
  Joshi (2004)
• Introduction to C for Financial Engineers An
  Object-oriented Approach, Daniel Duffy (2006)
• Accelerated C Practical Programming by
  Example, Andrew Koenig (1999)
• Numerical Recipes in C, Press, Flannery et al
  (1992)

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Why C? Pros and Cons

• C is a large, complex and controversial
  language. Its also the most common language of
  choice for implementing high performance
  production systems at investment banks, hedge
  funds and smaller proprietary trading and
  brokerage firms.
• Its strength is also its weakness backward
  compatibility with C, a very mature language
  (1970) which was originally designed to do
  low-level systems programming in Unix. C is
  almost a superset of C (i.e., nearly all legal C
  programs also are legal C programs).
• Critics contend that C compatibility -- which was
  a strong requirement for a lot of technical
  reasons -- along with many other features added
  to C later (templates, multiple inheritance,
  function pointers, scoping rules, etc.) has
  created accidental complexity. Such complexity
  forces C developers to think about a lot of
  things that are far removed from business logic
  (pointers, memory management, arcane compiler
  diagnostics, etc.)
• Indeed, good C developers must adopt a
  disciplined software engineering style this
  normally happens with years of experience.
• Advantages Dynamic range of the language
  advanced compiler technology, compiles to native
  code (performance!), and many sophisticated open
  source libraries (numerics, string handling, I/O,
  networking, etc.)
• All of the above advantages are particularly
  impacting in finance / trading applications. For
  serious numerical work, interfacing with quote
  feeds (which are often older C-style interfaces),
  or developing trading / business logic, C is
  still the best choice for an implementation
  language.

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Why C? Alternatives

• Youll often hear that some newer languages are
  better than C in theory. These discussions
  are highly charged and subjective, with more
  opinion than fact ( religious wars )
• Excel/VBA
• Very popular on the front desk of many trading
  organizations. Can get a reasonably complex
  application running very quickly, but the nature
  of spreadsheets and VBA code is such that
  applications quickly become unmaintainable.
• Ideal as a prototyping tool.
• Matlab
• Same as Excel/VBA but for more mathematically-incl
  ined traders and trading quants.
• Ideal as a prototyping tool.
• C
• New kid on the block, quickly becoming the
  language of choice for new development projects
  under MS Windows.
• Loosely based on C/C syntactically, but also
  strongly tied to Microsofts massive .NET
  framework.
• Java
• Object-oriented, has garbarge-collection
  (foolproof memory management), is
  multithreaded, and cross-platform (write once
  run anywhere in theory!).
• Also is very very slow because the JVM doesnt
  compile to native code (x20 times slower than
  equivalent C/C code).
• Functional programming languages (academics tend
  to prefer these)
• Lisp, Haskell, OCaml -- Microsoft even has one
  now F.
• In such languages, there is often a soft
  distinction (if any) between data and code.
• C is currently the all-purpose language of
  choice at most financial firms, and this will
  likely be the case for at least the next 10 years.

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include statement we need the functionality to
write output to the console, this functionality
is contained in the iostream library of
functions. The in front means it is a
preprocessor statement it tells the compiler to
look for functions in the iostream library and be
prepared to use them

• include
• using stdcout
• using stdendl
• int main()
• cout
• return 0

Statements always end with a
We want to use the functions cout and endl from
the iostream library, their full name is
stdcout and stdendl. In order for us to use
the shorthand notation cout and endl we tell the
program that we really mean stdcout and
stdendl
The function main(). This is where execution of
the program begins. Every executable C program
must contain the main function. It is declared to
return an integer and to not take any inputs
The body of the main() function is Contained
within a pair of braces, .. Any statements
contained within a pair of braces is called a
block.
This is the actual functionality of the program.
It takes the stringThis is the f, we can see
it is a string because it is enclose in quotation
marks and feeds it to the output function
cout, using the feed operator prints the string on the console window. The endl
function tells the cout function that there is no
more output here and to write the string and move
the cursor to the next line
The return value of the function main(). Since we
defined the function to output aninteger it has
to return a value. We just make itreturn the
integer 0
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• We could also have written this program
• include
• int main()
• stdcouturn 0
• Where instead of the using statements, we use
  the full name stdcout and stdendl.

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• A third way is to tell the compiler that we want
  to use short names for all the functions whose
  full names start with std
• include
• using namespace std
• int main()
• cout
• This has the disadvantage that other namespaces
  may contain a cout function as well and we would
  then have to be careful which of the two versions
  we wanted to use. In large programs this can
  become a problem.

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• Thus
• int x
• F(x)
• is valid but
• F(x)
• int x
• is not.
• In C variables can be declared right up to the
  point they are they are used. Thus you dont have
  to declare all your variables at the beginning of
  a function as you do in some languages (e.g. C).

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• includestdendlint main() int num15 int
  num27 num1num2 couteturn 0

Declare return type of the function main()as an
integer
Declare two variables of type int and initialize
themto 5 and 7 resp.
This computes the sum of the two numbers but
does not store it anywhere so we have no wayof
retrieving it later
Prints out the sum of 5 and 7
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Variables and Data Types

• Variables are locations in memory. The type of
  variable determines how much memory is allocated
  to the variable.
• Every variable has to be declared before it can
  be used.
• The main data types well be using are
• double Based on IEEE floating point
  specification. Use a double to represent most
  real numbers (in the mathematical sense).
• double d 3.1415927
• int Represents integers, uses integer
  arithmetic.
• int i 0
• bool represents true or false
• bool bSuccess true
• stdstring Represents a string of chars, e.g.
• stdstring s Financial Mathematics

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Integer and Floating Point Arithmetic

• Two classic examples
• What is j?
• int i 5/2
• int j i4
• What is the output?
• double x 0.01, sum 0.0
• for (int i 0 i
• sum x
• if (sum 1.0)
• stdcout 1

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What happens if we dont initialize the variables
It does compile, WITH warnings!
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When we try to run it we get after a couple of
error dialogs (which we dismiss by clicking
ignore)
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• What happens is, that the program uses whatever
  happens to be in the memory locations allocated
  to num1 and num2. This is almost certainly
  something left over from a previous program --
  garbage.
• Moral always make sure that variables are not
  only declared but also given a value
  (initialized) before they are used.
  Initialization can be done when they are declared
  or later, but it has to be done before they are
  used.

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Useful Debugging Commands

• F5 Run
• Runs your program in a debugger, without leaving
  the Visual Studio environment.
• Youll see a console come up because this is a
  console application. You can print messages to
  this console with stdcin and stdcout.
• If the program needs to be compiled (i.e. if
  youve made any changes to the code) the IDE will
  prompt you to do so.
• F6 Build
• Compiles your code changes.
• F9 Sets a breakpoint
• Suspends execution at the current line of code.
• F10 Single-step
• Allows you to run your code line-by-line, letting
  you examine the contents of variables along the
  way (very powerful and useful for learning).

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Homework

• Get the simple program we just described working.
  Youll create a Visual C Win32 Console
  Application, then perform the edit-compile-run
  steps we just went through.