Programming should occupy 30%~40% of your time as a quant. If you spend more time on programming, you'd better improve your programming skills. It is benefical that you do coding as fast as possible because it saves you time on debugging and frees you from dirty works. The books mentioned in section will help you understand C++ better and program robust, reliable, resusable codes. These books ( #1-#6 ) are frequently referred to in many other C++ books and proved to be germs in so many C++ books. As a quant, you need not buy any other C++ books anymore. These books are good enough for both learning the language as well as serve as references. There are also other C++ programming books written mainly by quants and for quants, you definitely can try them out.

    This 200-page little book does its job very well. Mark starts the book with a simple Monte Carlo program to price a call option and he goes out adding other flavors around the center piece. How should the quant design the option pricing class such that he or other quants can later derive child class for other options, how should he encapsulate the data and operations, how to use wrapper pattern, how to add more functions through virtual function, etc. He also discusses random number class, template pattern for option class, binomial tree method, implied volatilities and finally all the previous knowledge comes into one big project. It is good for anyone who knows C++ language but does not have object-oriented programming experience. He also integrates finance into the codes very well. After reading his book, future quants will know why C++ programming is so important such days and how one can do in real life. The valuable thing is the exercises. Readers should try to follow the book and implement the exercises at the end of each chapter. Once you finish the book, you should be able to write the book into your resume and claim that you have implemented Black-Scholes model using Monte Carlo method in C++, that you have solved implied volatilities using Newton-Raphson method. You should remember the singleton and the virtual constructor patterns in case some interviewers ask if you know any design patterns. He also wrote another book, which is reviewed in 'quantitative finace book review' section.

1. Bjarne Stroustrup-The C++ Programming Language (Special 3rd Edition)

Bjarne Stroustrup is the creator of C++ and he writes a great book about the language he created himself. The author not only describes about almost every aspect of the C++ language, he also gives detail explaination and the underneath mechanism for the features of the language. Reading this book combined with the following books with give you sufficient background on internal mechanicsm of c++ and better understanding of the DOs and DONTs in practical programming. It can also serve as the reference for your daily programming needs.

In this book, Bjarne Stroustrup describes how he designed the language and how the design changes with the evolution of the language itself. You will learn why there will be public, private members, why we need friend functions, how virtual functions got introduced and many other features that make c++ easy to use as well as robust. Although this book is a little old, it definitely deserves your attentation if you want to know the ins and outs of c++ programming.

    Templates have been used widely in c++, especially in standard template library (STL), which provides a very flexible plaform of programming. David Vandevoorde explains templates very well and the book is well suited for desk reference. For the reasons to read other people's codes as well as write your own codes in temples, this book is a must.

Also called the "Gang of Four". The design patterns can be applied to any object-oriented language, not c++ itself. The authors summarize the common programming design patterns that can be applied 'universally' to any predefined situations, which may be difficult to deal with without deep thinking. For quantatitative finance job interviews, one may need have a good understanding of singleton pattern, virtual constructor pattern since they are used widely in modern programming.

    Modern c++ has been greatly expanded by the introducing of Standard Template Library (STL). STL is not only a library, it widely uses generic programing concept and makes daily programming much easier, reliable and reusable. This book introduces you the components of STL and explains the container, algorithm, iterator and functor. This is the only book you need for using STL.