Choosing C++ Books for Quantitative Finance Development
Summary
The document collects recommendations for learning C++ with quantitative finance applications in mind, particularly for a Python developer who wants to build pricing libraries. One reply suggests choosing a book suited to the learner’s current level: an introductory text that teaches language concepts while implementing financial mathematics, an object-oriented quantitative finance book for more experienced readers, and a technically broader instrument-pricing text for advanced study. Another recommendation points to a text combining conventional C++ material with examples of building a quantitative library.
A different respondent argues that general C++ books may provide a stronger foundation than finance-specific texts, citing established authors and the value of learning the language well. The replies therefore offer competing learning paths rather than a single consensus or a structured curriculum. They do not compare the books’ coverage, exercises, or suitability in detail, and the advice reflects individual preferences. Readers should choose based on their existing C++ knowledge and whether they prioritize language fundamentals or direct applications to financial software.
Key ideas
- C++ learning resources can be selected according to the learner’s current programming level.
- Some books teach language concepts through quantitative finance implementations.
- Advanced resources may cover object-oriented finance software and instrument pricing.
- General C++ texts are also recommended as a way to build stronger language fundamentals.
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Full text
# C++ textbook recommendation for quants # C++ textbook recommendation for quants 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 by siou0107 (score 3, accepted) https://quant.stackexchange.com/a/52977 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 by BrownianBread (score 1) https://quant.stackexchange.com/a/52984 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 by LazyCat (score 0) https://quant.stackexchange.com/a/52978 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.
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