c++ design patterns and derivatives pricing (2nd ed)

just finished a nice quant book by mark joshi. still need to go back through the exercises, but it was a nice taste of some basic but real quantitative finance data structures and their c++ implementation, as well as more general c++ and oo issues. here are a few points that i think i should remember: open-closed principle open for extension, closed for modification (don't require editing files to extend their functionality) const good for discipline, safety, and optimization rule of three with no declared copy constructor, the compiler will do a shallow copy if destructor, assignment operator, or copy constructor is defined, define the other two, too rule of almost zero almost never declare any of destructor, assignment, or copy use smart pointers instead: shared_ptr, scoped_ptr, or Wrapper to avoid memory leaks 'almost': class with abstract methods is likely to be deleted by pointer to the base class, so it needs a virtual destructor stlport.org provides an stl with range checking, useful if you're not using visual c++ 8.0 (it already has debug mode) boost.org is intended to become part of c++ standard quantlib and xlw commands never to use malloc free new [] delete [] throw exception: ok in constructor, never in a destructor new is slow floating point errors do not cause exceptions by default, but they can be made to pimpl private implementation: one class is visible to clients with no data except a pointer to another class, which is defined in the source file in an unnamed namespace difference between encapsulation and insulation: private changes do not affect classes protected by encapsulation, but fail to insulate because all clients have to recompile lots of good refs like 7, 11, and 18