A little-known feature of C++ is that the
cmath
library actually provides many mathematical constants that you can make use of in your quantitative finance programs.
To include the mathematical constants, you need to use a
#define
macro called
_USE_MATH_DEFINES
and add it before importing the
cmath
library:
#define _USE_MATH_DEFINES
#include <cmath>
#include <iostream>
int main() {
std::cout << M_PI << " " << M_E << " " << M_SQRT2 << endl;
return 0;
There are quite a few constants on offer. See if you can spot the ones that will be useful in quantitative finance:
Mathematical Expression
C++ Symbol
Decimal Representation
3.14159265358979323846
M_PI_2
1.57079632679489661923
M_PI_4
0.785398163397448309616
M_1_PI
0.318309886183790671538
M_2_PI
0.636619772367581343076
2/sqrt(pi)
M_2_SQRTPI
1.12837916709551257390
sqrt(2)
M_SQRT2
1.41421356237309504880
1/sqrt(2)
M_SQRT1_2
0.707106781186547524401
2.71828182845904523536
log_2(e)
M_LOG2E
1.44269504088896340736
log_10(e)
M_LOG10E
0.434294481903251827651
log_e(2)
M_LN2
0.693147180559945309417
log_e(10)
M_LN10
2.30258509299404568402
Note that it is not best practice within C++ to use #defines for mathematical constants! Instead, as an example, you should use
const double pi = 3.14159265358979323846;
. The #defines are a legacy feature of C.
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