I am using C++ for most of my econometric work, and have made a number of general utilities for that purpose, mainly for dealing with time
series observations. The classes for empirical financial data is documented and collected in this
The classes for financial data contains the following components:
Date class: Useful in a number of contexts to abstractly define a date as an object. This is a very crude date class, and is
by no means general. I use it for empirical financial data, and it works fine for that purpose. Other purposes needs some work. There are
some more general date classes in public domain which I would recommend if your purpose is anything else than keeping track of dated
Dated observations: spesifically for financial time series.
A specialization of the previous, where we use the particular example of dated observations of double (dated), with additional
functions related to this. I use it for empirical financial data.