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  1. SteveTownsend

    Innovating Our Way to Financial Crisis

    You should read other opinions than headhunters for "Risk Talent" when thinking about the likely quant job market in the near future. How do you think the immense, continuing writedowns and current macro-economic uncertainty affect hiring plans among the big investment banks? How do you...
  2. SteveTownsend

    When is the next chat with Dr. Stefanica?

    Apparently not, the details will be posted here: Baruch College's Financial Engineering MS Program
  3. SteveTownsend

    Can I crash at your place?

    try, sometimes you can find someone doing a "by the night" sublet that would be cheaper than a hotel.
  4. SteveTownsend

    QuantDay 2007, 10/31

    Unfortunately I will be out of town, this sounds interesting: Numerical Algorithms Group - Industry Events - QuantDay 2007
  5. SteveTownsend

    Where would you rank Baruch MFE with top programs ?

    Baruch posts package info for recent graduating classes at
  6. SteveTownsend

    Why do you want to become a MFE?

    There is definitely a "gold rush" mentality into the field. You can see this in the number of students asking "can I become a quant?" on these boards as well the number of new MFE and related programs that spring up each school year. It's a bit ironic that this trend has reached a crescendo...
  7. SteveTownsend

    Why do you want to become a MFE?

    That's a tough one. Baruch's program is heavily C++-focused, other programs use Excel/VBA (Baruch also but not as much), Matlab (not allowed at Baruch). Also hard for me to answer since I'm working close to a quant-heavy business (FI Derivatives sales and research) but still in an IT role, so...
  8. SteveTownsend

    Where would you rank Baruch MFE with top programs ?

    My MFE tuition at Baruch as an NYC (or NY State) resident will be around $10K. All Manhattan alternatives are $40K and up, including the most expensive which is not even taught live in the city! Now explain to me again the relative values. The best alternative I found for value was the...
  9. SteveTownsend

    Why do you want to become a MFE?

    Nope. Exchange Server 4.0, 5.0, 5.5, X.400 MTA - the part that routes and delivers all the mail.
  10. SteveTownsend

    Why do you want to become a MFE?

    I am a professional programmer of 20 years standing who did my undergrad degree in mathematics, and moved from Microsoft to NYC three years ago to switch fields. The move was for three reasons: 1. The programming work is more interesting and challenging when you add in the finance and math...
  11. SteveTownsend

    Warren Buffet is to buy 20% of Bear?

    I interviewed at Wachovia Securities in early 2006 for a position working on an equity derivatives trading system. Their investment bank used to be Prudential Securities and at the time I was there I was told they are investing heavily to be taken seriously in the IB world. New premises on...
  12. SteveTownsend

    Warren Buffet is to buy 20% of Bear?

    Coincidence The rumor here helped Bear to sell $1bn of bonds the next day. How convenient.
  13. SteveTownsend

    Which laguage: C++ or Java?

    Why we interview for C++ skills Here is an eloquent argument about why checking a candidate's C++ proficiency is a better test of a programmer's talent for building software (versus their skillset) than testing for Java or C#...
  14. SteveTownsend

    What was your undergrad major?

    Mathematics, Cambridge UK, graduated 1985
  15. SteveTownsend

    New Quantnet members say hi

    Linguist, mathematician - it's all symbolic manipulation. I was stronger at modern and ancient languages than at mathematics - I just did not see as good career prospects in languages, rather sadly.
  16. SteveTownsend

    Good Evening to All

    Hi Robert. What kind of help do you need? if you can post specific questions I am sure there are people who use C# or Java who can help.
  17. SteveTownsend

    "MFE program profile evaluation" master thread

    You should know at least the basics of the language before attempting these.
  18. SteveTownsend

    Smoothing forward rate curve

    What course is this for? Also the thread on Greeks. I am worried I am supposed to be doing this work but know nothing about it ;-)
  19. SteveTownsend

    The Master Happy Birthday thread

    Happy birthday Muting!
  20. SteveTownsend

    Bye, Bye B-School

    FYI, the article title is lifted from the New York Times.
  21. SteveTownsend

    Which laguage: C++ or Java?

    GUI dev I believe most GUIs in investment banks are developed in Java or C# these days. Our system uses a Java front-end connected to a Windows C++ back-end.
  22. SteveTownsend

    Which laguage: C++ or Java?

    If you learn to program in Java or C#, it may be hard for you to move to C++ later. The converse is not true.
  23. SteveTownsend

    The Master Happy Birthday thread

    Have a good day Alain, happy birthday
  24. SteveTownsend

    AAA rated Credit Deriv. have same default risk as junk

    I disagree w the statement that this is not relevant. It's also relevant in my view that rating structured products is hugely more profitable for the agencies than handling vanilla bond ratings. The agencies are de facto regulators who are paid for their work by the regulated bodies, viz...
  25. SteveTownsend

    In the way of Introduction...

    Hmm, not much response huh? This forum is NYC-centric, I don't recall seeing anybody from LA posting before. My suggestion would be to take a look for openings on the job search engines (,, maybe for keyword "quantitative, quant" and narrow the...
  26. SteveTownsend

    The Master Happy Birthday thread

    Happy birthday...
  27. SteveTownsend

    friend function

    You're right, this approach really is a bit counter-intuitive. Inheritance is typically used to model an "is-a" relationship. You could consider defining a single bond object that "has-a" compounding type. Then a given bond could be parameterized using either continuous or discrete...
  28. SteveTownsend

    CDO rating

    The rating agencies have become de facto regulators. Unfortunately, unlike federal regulators, the agencies depend on their customers for their livelihood. What would you expect to happen in this situation?
  29. SteveTownsend

    friend function

    The friend of Parent is by necessity globally-scoped (or you could not make it a friend) and so defining any other potential friend of Child with the exact same name will cause a "double definition of <name of friend>" error at link time. I am curious about the problem you are trying to solve...
  30. SteveTownsend

    The Master Happy Birthday thread

    ... unless you have the first class for MTH9831 tonight :cry:
  31. SteveTownsend

    The Master Happy Birthday thread

    Happy birthday Sunny. Have a good weekend.
  32. SteveTownsend

    What are your thoughts on the Refresher courses thus far?

    Very useful to me, since my math is so rusty. Good practice in coding numerical algorithms, code whose utility carries forward into the school year proper. A reality check about the level of work that's required for success in the program. Highly recommended - seems to me like people that...
  33. SteveTownsend

    Fed injecting money against Fed Fund Rate

    Artificially increased liquidity fosters asset bubbles. Look at what's happened in real estate prices (and their inflation rate) across the US in the past 3 years purely via the easy availability of cheap mortgage money. It's hard for me to see how printing money solves this. The US can...
  34. SteveTownsend

    what do employers really need?

    Man, you really have to work on improving the signal-to-noise ratio. FYI I work at Credit Suisse, in a programming group that is one degree removed from the quant modelers. So I am not completely unaware of the obstacles to getting a quant finance job. Your list looks like a cut and paste...
  35. SteveTownsend

    whats going on with my exe file

    1. Open the source file that contains your program's main() or _tmain() function 2. Insert a breakpoint at the last } of the main function. The program should then stop there allowing you to review your results. Alternatively you can use Debug->Step Into to start up the program, and then...
  36. SteveTownsend

    Trig cribsheet

    For those of you who, like me, have forgotten more than they remember about basic trig. Thanks to Muting for the idea (flubbing LA Refresher HW2 until his help).
  37. SteveTownsend

    Matrix input

    Nope I am just using the Boost headers right now. Did not want to get into an area where I am too tempted to just use existing code ;-) If I need truly ultimate perf down the line, I will try one of the optimized lower layer libs. As it is, I am finding uBlas code (and my own Cholesky code...
  38. SteveTownsend

    Visual C++ 2005 Express Ed. updated by MSFT

    For anybody using this, there is a Service Pack (maintenance release) available. I am downloading this because I have seen a couple of hangs generating Intellisense info today (apparent duplicate of a bug in VS2005 that you pay for). I will let you know how it goes but if anybody wants to try...
  39. SteveTownsend

    Matrix input

    Yes, I can't seem to do anything about this. I think the web software drops whitespace to keep the post size down. Is there a way to make stuff inside really be treated WYSIWYG?
  40. SteveTownsend

    Computer Science VS Financial Engineering

    Bear in mind that my own background is in IT - even though it's pretty close to the Fixed Income Derivatives business, I am not programming models. The closest I get is as a user of Credit Suisse's internal quant models (from the GMAG team). So of course, C++ (and C#) is my bias. People...
  41. SteveTownsend

    Matrix input

    Here's another approach to the problem of how to efficiently input a matrix to your code. This follows on from the thread on the LA refresher forum. This allows you to do the cut and paste thing like Barney sugggested, or to input the data from a file (suitably-named to avoid confusion down the...
  42. SteveTownsend

    Rate Cuts Won't Help You; These Stocks Will

    Free content, Rate Cuts Won't Help You; These Stocks Will - News & Analysis - Investing - BSC - BUSE
  43. SteveTownsend

    Learning C++

    I don't think it's the command prompt versus IDE issue that matters. Just make sure you write lots of code, reading books is a start but coding is what will reinforce your learning. The C++ compiler in VC++ Express 2005 is identical with the C++ compiler in VS2005, any edition. It handles...
  44. SteveTownsend

    Debugging problem(help needed)

    Mismatched symbols and binaries are the bane of debugging on Windows. If we get binaries in our production system with mismatched or unarchived symbols, all process dumps are unusable. The nice thing about running all this stuff on your own desktop is you can always just do Clean, Rebuild to...
  45. SteveTownsend

    Debugging problem(help needed)

    Put in two Sleep(10000); statements, at the beginning and end of main. When you start the debug, do you see the breakpoint resolved properly (solid red dot at LHS of code window) or not (a non-solid dot with a "?" in it)? Do you see the "hello world" output from your program? If not, put...
  46. SteveTownsend

    Vector vs Arrays

    I am using Boost::numerics::ublas. This is pretty advanced C++, though. I can't see the contents of my matrices in the debugger either, I think there is a way for force VC++ to output it properly but I have not tried that yet. I use cout << myMatrix to dump them as required. 1. are you...
  47. SteveTownsend

    Debugging problem(help needed)

    Are you running the Release or Debug version? Is this Visual C++ Express Edition? What was the cause of your system crash? It's pretty hard to crash Windows XP these days. Was that a BSOD or something else?
  48. SteveTownsend

    Fed Unexpectedly Cuts Discount Rate

    Well, there are still 100s of $billions of pseudo-AAA securities out there tied to mortgages that people cannot afford when they reset over the next 12 months. Not clear to me how injecting yet more liquidity solves that little "conundrum". It does prove that they really are worried. Perhaps...
  49. SteveTownsend

    Vector vs Arrays

    I don't, but I know there are people at Baruch who have done it this way. I am prejudiced (irrationally, most likely) against valarray only because they got a bad rap in my primary STL reference book. The C++ Standard Library: A Tutorial and Reference by Nicolai M. Josuttis (Hardcover -...
  50. SteveTownsend

    How to speak Hedgie

    Translating the strange dialect of hedge-fund managers who are trying to explain big losses. Gross: How to Speak Hedge-Fund - Newsweek Daniel Gross -
  51. SteveTownsend

    Vector vs Arrays

    In pragmatic terms, I'd say that the quickest way to write working code is to use plain old arrays of double ;) Try to balance ease of implementation with the knowledge that you are going to be living with this code until Xmas. You don't want to have to do a rewrite to support 5x5 matrices...
  52. SteveTownsend

    algorithm operation counts

    Following up on a discussion in last night's Linear Algebra refresher, here is some recent data online (from Intel) about the # of clock cycles that are used to perform floating point arithmetic in software. If I can find hardware info, I will post it as an addendum or edit to this thread...
  53. SteveTownsend

    Don't hate on the QUANTS.

    Agree. The fact that central banks worldwide are throwing money into the inter-bank lending market to keep it from freezing up completely is another clue. Much more than after 9/11. To hell with inflation, I guess. They can worry about that again once this crisis is past.
  54. SteveTownsend

    What are you listening to now ?

    Quiet day at home ahead of Linear Algebra refresher. Oceansize, Throwing Muses, Interpol, The Clash, Smashing Pumpkins, Arcade Fire. Neko Case for cooldown before bedtime. [Sorry you asked yet?] My claim to music-related semi-fame is that I heard the world premiere radio broadcast of...
  55. SteveTownsend

    Vista vs XP

    I would not recommend that anybody install any Windows OS before its first Service Pack. Life is too short.
  56. SteveTownsend

    Really easy C++ programming question

    factorial overflow using unsigned int (32 bits) this demonstrates how few factorials can be calculated before you overflow the supported range of numbers: 0! = 1 5! = 120 10! = 3628800 15! = 2004310016 18! = 3396534272 19! = 109641728 The template solution is good for wow! factor but not...
  57. SteveTownsend

    Really easy C++ programming question

    You can use template metaprogramming to speed up the computation of factorials. This is advanced C++, though. C++ Template Metaprogramming has an example. If you are programming a more conventional factorial function, don't recurse or your stack may overflow. Use a loop. And make sure you...
  58. SteveTownsend

    July mortgage remittance report

    How long before this subprime situation is the subject of a study of the limitations of financial engineering? You need a real market to mark these things to, not just a model.
  59. SteveTownsend

    Tuition fee

    There are program FAQs at Baruch College's Financial Engineering MS Program. The Baruch tuition for graduate students depends on whether you are a New York State resident or not. Go to the main Baruch site (click on "Baruch College" at the upper left of the MFE FAQ page) for info on Tuition...
  60. SteveTownsend

    LaTeX addin for MS Office (esp. Word)

    I will put in a bulk order for this if enough people are interested. See for details. I downloaded the 30-day trial and it seems to work OK. Let me know in the next 3 weeks if you want a copy.
  61. SteveTownsend

    Baruch MFE Why Baruch MFE ?

    My background is in large distributed systems software engineering (Microsoft, Lava Trading, Credit Suisse). My math is from Cambridge, UK (undergrad, rusty, 1985). Three years ago I made a decision to redirect my career into finance with the eventual goal of doing "something" quant-related...
  62. SteveTownsend

    New Quantnet members say hi

    There is no industry standard for C++ compilers. The language itself, including the STL (Standard Template Library), IS standardized and the VC+ compiler in VS2005 conforms very well to that. I work exclusively on Windows systems, so my preference is for VC++, but other companies and...
  63. SteveTownsend

    New Quantnet members say hi

    The free Visual Studio Express Edition contains the latest Microsoft C++ compiler (8.0), and it is very well-behaved wrt the C++ standards (unlike earlier revisions). I am sure other people have their own favourites.
  64. SteveTownsend

    A New Genre on Wall St.: Bailout Blog

    My first thought on reading this was that the guy is wise to try to line up an alternative career as a writer. I don't imagine he has much of a future at Lehman after losing them $7bn by over-leveraging one temporarily smart bet. Remember Henry Blodget? Failed Internet stock analyst...
  65. SteveTownsend

    Lookback option in C++

    A Google search on lookback "auxiliary variable" could be helpful. I found a lot of relevant stuff quickly.
  66. SteveTownsend

    QUANTNET CONTEST : Brainstorming a slogan

    "The Price is Right". Could refer to the cost/benefit of taking the MFE course, or to the models produced by alumni/ae.
  67. SteveTownsend


    Not sure how universal my epxerience is, but I would have to look up "econometrics" in a dictionary to answer this question, and yet I am entering the program in Fall 2007.
  68. SteveTownsend

    GRE Preparation

    I used the Princeton Review guide w DVD and found it adequate. Make sure you do plenty of practice tests, that was what really helped me identify where I needed more work.
  69. SteveTownsend

    New Quantnet members say hi

    Sascha, I am curious about why you want to do the CQF and the MFE. When I was researching my options to further my quant finance knowledge, this was an either/or decision. I eventually picked MFE because of the location (MFE is not distance learning - I am in NYC) and timescale (MFE's...
  70. SteveTownsend

    New Quantnet members say hi

    Faculty contact There are email addresses for the entire faculty in the public area at
  71. SteveTownsend

    Programming wisdom

    More stuff to think about as a programmer than you ever wanted.
  72. SteveTownsend

    New Quantnet members say hi

    Promotion I just got promoted from Junior Quant Analyst to MFE Student (hmm, shouldn't that career path progress in the other direction?). Found out last week that I have been admitted for part-time study, starting with the math refresher courses this summer. Look forward to meeting some...
  73. SteveTownsend

    Algorithmic Trading article

    Andy, I am currently attached to a research group rather than a trading desk. When I was at Lava Trading, there was definitely a wish in equities trading to cross more trades internally than on an exchange. Not sure how the introduction of Reg NMS affects this process. I would have...
  74. SteveTownsend

    .Net C#

    Remember I am a software specialist, not a quant developer or pure finance person. I am an experienced developer (ex-Microsoft), and I have been in finance in NYC for just over 2 years. When I was interviewing (in late 2004 and early 2006), there was more demand for Java than C# in the...
  75. SteveTownsend

    Algorithmic Trading article

    This is from Dr Dobbs Journal online. Of tangential interest to the tech-heads out there.;jsessionid=3TU1433J0ITDWQSNDLPCKHSCJUNN2JVN
  76. SteveTownsend

    Is one C++ programming course enough?

    This does not sound rebellious, it sounds a bit naive. Check out the headhunter post regarding C++ earlier in this thread (9/06). C++ is really really hard, and crucially this is most true in the sense that a little knowledge is a dangerous thing. It's also continually evolving, and has a lot...
  77. SteveTownsend

    Stochastic Calculus

    Salih Neftci's "An Introduction to the Mathematics of Financial Derivatives" has a very good walkthrough introduction to stochastic calculus that is unburdened by excessive mathematical rigour. Speaking as a math undergrad from many years ago, I found I could follow this, even with pretty...
  78. SteveTownsend

    New Quantnet members say hi

    Application filed I completed the application process yesterday, for fall 2007 entry as a part-time student. Thanks again for all the useful info here.
  79. SteveTownsend

    Quant Careers Day

    British rep I am a Brit who is currently putting together an application for Fall 2007, assuming I can ace the accursed GRE and all the other prereqs. We have talked before (I am NewHorizons on
  80. SteveTownsend

    New Quantnet members say hi

    software career redirection Hi, my name is Steve and I work (conveniently) at Credit Suisse in Fixed Income Derivatives IT. I am planning to apply for entry as a part-time student in Fall 2007 after attending the info session on Monday. My background is undergrad mathematics, then 22 years...