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Financial Instrument Pricing using C++ Part I: Using C++ for European Option Pricing and Sensitivities Daniel Duffy ? Datasim Education BV 2003 1. Introduction and Objectives In this article we give an overview of how to apply the object-oriented language C++ to the problem of pricing a class of plain vanilla options. In particular, we show how this language and its powerful object-oriented and generic features allow us to create robust and flexible applications. In order to convince our readership that C++ is a suitable environment in which to code pricing formulae we concentrate on a specific example, namely the problem of pricing plain vanilla options on shares, commodities, futures and currencies. Furthermore, we are interested in seeing how option sensitivities (such as delta, gamma and theta) are implemented in C++ (see Haug (1998) for the source for the test case in this article). The C++ language was born sometime around 1980. Its inventor was Dr. Bjarne Stroustrup, a researcher at ATT labs. Since then the language has become one of the major programming languages and it is being used in many business, industrial and scientific domains (see Stroustrup 1997). C++ has its roots in the C language and it supports the so-called object-oriented paradigm. One of the central features of this paradigm is encapsulation. This is the ability to group data and its related functionality into one coherent whole that we call a class. For example (and this is the test case in this article), a plain vanilla option has data for strike price, expiry data and so on while there are functions for calculation of its price and sensitivities. Encapsulation is very powerful and it helps the developer to integrate related data and functionality. It is safe to say that C++ is the language of choice for many applications. We hope to see it being used more for financial engineering applications in the coming years. Encapsulation is not the only feature in C++ that makes it a great languag