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'This book is thought-provoking and rewarding. Even for the less experienced programmer, the presentation is readily accessible, and the coded examples can be directly used to solve real-life problems.' Journal of the American Statistics Association
'This book, although it is quite short, does cover a significant amount of material and does deal with some fairly advanced topics that are important to practitioners. The real strength of the book is its clarity and conciseness.' SIAM Review
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Joshi not only explains quickly how to implement the basic pricing techniques (trees, monte carlo), but also offers some good guidance on modern OO C++ techniques (patterns) along the way.
My only criticism is that the book is too short. I would have gladly read another 50% on top.
The book is clearly aimed at those in quantitative finance and the examples are designed to be of genuinely useful code that a quant might write. This is a refreshing change from more general books where the examples are either silly ("a Sauternes is inherited from a Bordeaux and has a pour() member function") or do the kind of low-level manipulation (such as container classes) that few programmers write. The examples are given in full, even if this involves repeating a good deal of code, but I suppose this does give the reader the satisfaction of quickly skimming two or three pages from time to time.
Aside from a basic acquaintance with mathematical finance, the reader is required to have a rudimentary knowledge of C++. However the more advanced language features, such as virtual functions and templates, are explained concisely as they are introduced. Writing good object-oriented code depends very much on knowing not so much the syntatical rules but why the language features are there and when to use them. This is the emphasis of this book; it gives very clear well-reasoned guidance for effective use of the language. One very important aspect of this is the use of so-called "design patterns". I'm not sure this term is ever defined but it becomes clear through many examples that it refers to clever ways to combine language features to achieve particular generic goals.
There are places where the author introduces several ideas at once and almost trips over himself in an effort to explain them all. But once the reader becomes accustomed to this and is therefore prepared to wait a little for an explanation of something, this is an effective way of getting through the material rapidly. Consequently this is a very readable book, in which the alert reader can learn a lot in a short time. All in all, this book is ideal for someone starting to write C++ for finance or even for a more experienced quant who feels his code is insufficiently sophisticated.
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