CppCon 2015

Come with us as we take a legacy MFC financial modelling application that is largely function in design and transform it to something new. We will take a portion of this large financial simulation application and change its single threaded ways into parallel processing stochastic model. Transforming single class’s with a hodge-podge of functions into an object oriented parallel design using c++ amp and implementing Stochastic modelling methodology. Aside from focusing on the key portions of converting functional single threaded code to a parallel design we will also touch on some of the details of financial modeling for interest rate risk.