Extending Python from C++
S. Fletcher, C. Gardner · 2012
This chapter studies how Python modules can be implemented in C++ by means of the Boost.Python library. It is common in quantitative analysis programming to require manipulation of and computations involving dates. The ‘Python Library’ contains excellent functionality for such activities. Pricing systems written in C++, however, will be implemented using C++ datatypes for the representation of dates and times. Other common activities in financial modelling include determining if a date is a business day, ‘rolling’ a date to a business day and the computation of elapsed time between two dates according to common market conventions. The use of multidimensional arrays in quantitative analysis programs is ubiquitous. Python, or rather the Python libraries provide a variety of types that serve for their representation.