C++ textbook recommendation for quants

Question

I work as a Quant Dev at a financial institution where I'm mostly using Python for development and thus I have a few years of Python programming experience. I'm planning on learning C++ and therefore I'm looking for a good textbook where I can learn the language, ideally with examples from quantitative finance.

After a few searches, I found some textbooks, however the majority of them are written for Computer Scientists that have no intention of using the language to, say for example, write pricing libraries.

Answer 1

If you are a beginner in C++, I recommend Armstrong’s C++ for financial mathematics, that really introduces notions when you actually need them for the library you implement throughout the book.

If your level is slightly more advanced, Schloegl’s book Quantitative Finance, an Object-Oriented Approach in C++ is a nice book.

When you will have reached a very strong level, Duffy’s book Financial Instrument Pricing Using C++ is very technical and covers a wide perimeter.

Good luck!

Answer 2

There is a new text by Antoine Savine that combines some of the more traditional information found in Meyers etc with a solid foundation of applications to writing a quant library, the table of contents can be found here:

https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3281877

Answer 3

I understand, that you have a specific use case in mind, but would still strongly advise to use C++ books that are not specific to quant applications.

I feel that it's a much better investment of your time, and frankly books Meyers, Koenig, Sutter and a few others are just much better, than say Duffy or Joshi.