Search results for query: fortran

  1. Daniel Duffy

    Is the programming language Rust just "new wine into old wineskins"? Discuss

    TIOBE June 2022 C++ to surpass in Java 23 COBOL 26 Fortran 27 Rust Don't shoot me; I'm only the piano player. https://www.tiobe.com/tiobe-index/
  2. Daniel Duffy

    C++ will be used for the next 50-100 years in financial services

    There is no language that does everything. IBM tried it with PL/I 50 years ago. I learned PL/C at uni. https://en.wikipedia.org/wiki/PL/I PL/I = a*Fortran + b*COBOL, a + b = 100%. The perfect programming language goes to 11
  3. Daniel Duffy

    An interview with Linda Kreitzman and Dan Stefanica

    A number of Python libraries are Fortran wrappers (e.g. QUADPACK). There is absolutely no point rewriting them in C++ or Python. https://sites.engineering.ucsb.edu/~shell/che210d/f2py.pdf f2py
  4. Daniel Duffy

    C++ will be used for the next 50-100 years in financial services

    In 100 years time we will be saying "Starship Holodeck: C++ inside". Fortran is not a good analogy (it's mostly in academia and besides it's hiding in numpy and scipy). Cobol was born 1959 and still in use. Probably 90% of all business software runs on Cobol. No kidding. For the record, 100...
  5. Daniel Duffy

    Is the programming language Rust just "new wine into old wineskins"? Discuss

    ...are the best you can get out of rust In my experience of 45 years in very many areas (e.g. 1st C++ programmer in NL in 1989, before that Fortran, Cobol, SQL) , it is NOT a gross simplication. It might be good in trading (I'll take your word for it), but in other areas, C++, C# and Java...
  6. Daniel Duffy

    How mandatory is it to have PDE courses in undergrad to apply for MS QF.

    ...work since 1973. In those glory days of oii and gas, semiconductors and engineering using FEM and FDM had lots of jobs, but you needed Fortran on mainframes. My PhD was on PDEs which I later realised subsumed Black Scholes PDE. What a coincidence. BTW ODEs are also very important. For a...
  7. Berenger

    Transitioning into Quant Roles from Enterprise Risk

    Fortran conjures up the idea of punch cards and non-OOP programs of 10 thousand lines of code... CFD and Fortran go together, too much legacy code and Fortran is damn good at what it does. A part of course the happy few that use C++ with OpenFoam. There is also people who use Python, but I...
  8. P

    How to transition from postdoc in applied maths/physics to quant research?

    I have basically no experience using it. The only programming languages I am comfortable with are Fortran, Python and a more obscure one called IDL.
  9. Andy Nguyen

    C++ will be used for the next 50-100 years in financial services

    ...not going to change anytime soon. "When I first started studying mathematics in 1994, my professor said to me that it wasn't worth learning FORTRAN," says Grimm. "He said FORTRAN wouldn't be used much in the future, but there's still plenty of FORTRAN around now. He said much the same about...
  10. P

    How to transition from postdoc in applied maths/physics to quant research?

    I was thinking of reading Mark S. Joshi's 'C++ Design Patterns and Derivatives Pricing' after I finish with 'The concepts and practise'. Would you say that was a good idea? Or are there different books you would recommend?
  11. Daniel Duffy

    How to transition from postdoc in applied maths/physics to quant research?

    Fortran is great, but very very niche. Python is popular. C++ is a skill. background is in applied maths, physics and numerical analysis. I know a lot about solving differential equations and high-performance compute I have a new PDE/FDM book (Wiley) coming out in a few months, so right up...
  12. Daniel Duffy

    Review

    A follow-on remark is that everything is built on C++, Fortran and COBOL. All (?) the Python libraries are C++ and Fortran wrappers.
  13. longgamma

    which is more useful in the real world? Python or C++...

    Lot of numpy is also written in C!
  14. Daniel Duffy

    Transitioning into Quant Roles from Enterprise Risk

    My guess would be knowing computational fluid dynamics and Fortran would make an impression.
  15. Daniel Duffy

    which is more useful in the real world? Python or C++...

    An interesting follow-on remark is that all the numerical linear algebra code in Python is all Fortran. https://en.wikipedia.org/wiki/Fortran Standing on shoulders of giants.
  16. Daniel Duffy

    Advanced Calculus or Numerical Linear Algebra

    An interesting follow-on remark is that all the numerical linear algebra code in Python is all Fortran. https://en.wikipedia.org/wiki/Fortran Standing on shoulders of giants.
  17. Daniel Duffy

    From Academy to Quant research

    ...of code. People code in Python but more accurately they write scripts (nothing wrong with that!) that use Python libraries with C++ and Fortran inside. At some stage, what do you do if you find that a TensorFlow library doesn't work in your application? You will need a guy or gal who knows...
  18. Berenger

    PDEs or Stochastic Process? - Question from an Econ&Fin Undergraduate

    ...also treat finite differences schemes for hyperbolic equations in your book? Riemann Discontinuity problems, Flux splitting schemes, Lax-Friederich scheme, Chakravarty-Osher ... that's the most interesting stuff, where Fortran is still heavily used. But I don't see them in the table of contents.
  19. micawberw

    Quant View on Pure Math

    ...although the course I'm starting in September covers this content, so I wasn't sure if I'd be better off practising algorithm analysis/LeetCode style problems as interview prep. I'm familiar with basic C++ syntax, although all the formal training I've had in numerical programming is in...
  20. C

    From Academy to Quant research

    Again, you are very focused on pricing which is these days not the main focus of front many office quants even in the options space. The section you are quoting is referring to the tasks other than pricing which are mentioned in the sentence before. And yes, pricing libraries are still typically...
  21. E

    Should I even bother applying?

    ...(GPA 3.8/4) MS in Aeronautical Engineering (GPA 4/4 + honors), both from a good Italian university. Good matlab, python and C++ (also Fortran but I don't think anybody cares lol) Pretty decent knowledge of numerical methods for PDEs, I wrote a bunch of programs to solve Black-Scholes and...
  22. Daniel Duffy

    PDEs or Stochastic Process? - Question from an Econ&Fin Undergraduate

    1) You mean, 1 factor? this approach is limited. It's a 1-trick pony. Besides, it has an analytical solution, so why bother? 2) no, because they don't crop up in finance. Lax-Friedrichs is only for advection PDE and is not unconditionally stable. Lax-Wendroff is mentioned for Asian option PDE...
  23. V

    C++ Online Certificate Students' intro thread

    ...Pre-MFE/MFE program application Programming Experience: Currently dabbing with VBA, R, python. Further, I have done academic courses on Java, Fortran, Matlab, LabVIEW eons back. Current Placement: Quantitative analyst. Intended Pace: Hopefully by Feb'21. This is the first time I am doing a...
  24. Daniel Duffy

    Advanced Calculus or Numerical Linear Algebra

    ...Algebra" and has algorithms for a wide range of problems and applications all over the place, e.g. PDE, ML. Finally, these algos are in Fortran, C++ and Python. Each part of the jigsaw is needed. Some topics https://www.datasim.nl/onlinecourses/101/distance-learning-applied-numerical-methods
  25. Berenger

    Don't use non-western alphabets

    I am not that young myself, I can code in Fortran which is kind of a giveaway, modern fortran nonetheless. Nowadays the number of things one has to know is staggering. I am going to take a test as part of the interview process, with a guy that is scouring the stack site for c++ developers to...
  26. Daniel Duffy

    The Coming Glut of Financial Engineers

    In the history of computing the ISO/ANSI languages (such as Fortran, Cobol, C) are the ones that survive. Add C++ to the list.
  27. Berenger

    What chances nowadays to get into Quant Developer roles with a PhD in Computational Mech. Eng.

    Very good for C++ but a bit late, Fortran got coarrays hardcoded way before. Seen the trend one reads in those C++ do's and don't's, best holy practices, etc, is towards demonising C-style pointers (never ever use a new even with a delete, you could need a delete[] instead and that will toast...
  28. Daniel Duffy

    Compile Errors != Linker Errors, BTW why do I get Linker errors?

    yes, it's ancient, but updating it is a time-consuming project. On an off-topic: much of the Fortran cod embedded in Python libraries was written in the 1970s. Production systems create wrappers around legacy code. One client in offshore in Rotterdam still uses Microsoft VC++ 6.0 for their...
  29. L

    C++ Online Certificate Students' intro thread

    ...program in the future. I guess this course is also something nice to do during quarantine. Programming experience: Matlab, Stata, Python, Fortran, R, C#, HTML. But I only know a little bit of each. Current work: Recently graduated from MS in Finance in Baruch. Unemployed :( Intended pace...
  30. Daniel Duffy

    C++ Online Certificate Students' intro thread

    C# is in some ways similar to C++. But C++ demands you manage memory yourself.
  31. ExSan

    Compile Errors != Linker Errors, BTW why do I get Linker errors?

    I made that mistake long time ago, I refused to transport my VC++ 6.0 code to updated versions. Then I faced the big struggle to go over the whole of it (+60K lines of code C/C++). Now every time there is another version of VS I do transport it right away, VS does all the job. Currently...
  32. Daniel Duffy

    Corona Virus discussion

    For sure. I have seen dozens drop in their steps.. Care to draw up a shortlist (C++ excluded)? I started on Fortran IV/66 for semiconductors and Boltzmann radiation problems in a large multinational Dutch company, then in CAD. The Achilles heel was no contact with the underlying hardware. Enter...
  33. Daniel Duffy

    Speeding up scipy.integrate.dblquad for updating Bayesian priors (credit rating probability of default model)

    page 268, BTW (not sure if your link is ethical.. have you checked copyright???). Can you post the core code to give an idea how you are doing it? You might be using QUADPACK wrong because Fortran is the fastest language on the planet.
  34. longgamma

    Corona Virus discussion

    Just curious, didnt you feel frustrated to learn new programming languages and their quirks? Or did you like your work so much that you didn't mind investing time in a new language. I wonder how Python would fare a decade into the future. Would it be relegated to the fate Perl has suffered? I...
  35. longgamma

    COMPARE CMU MSCF (NY Campus) vs UCB MFE

    I think my undergrad college can top that. They taught us Fortran 95 back in 2004 for our CS101 and vim as the only IDE. Some hard core CS profs who genuinely enjoyed torturing the entire undergrad batch. From what I hear, they thankfully moved to Java later on and now Python, but I can relate :)
  36. Daniel Duffy

    Corona Virus discussion

    Over a period of 40 years I stuck to Fortran, C/C++ and C#. Lately Python but it's easy. So, 1 language per 10 years :) I dabbled in other languages but many were culled before they wasted my time. e.g. I ditched Java in 1997. I am not a CS language fan as such, as languages for me must fit into...
  37. Daniel Duffy

    Speeding up scipy.integrate.dblquad for updating Bayesian priors (credit rating probability of default model)

    ...as C++ and C# force you to be disciplined but in Python you can do anything at any time, anywhere. This is a maintenance concern going forward if you want to support "production" Python code. Plan B; find Python library (C++, Fortran) that does the job and use it with scripting commands.Horror
  38. Daniel Duffy

    Just started my Msc.Finance . Which programming language do I learn ?

    R is not a programming language as such. In that sense it won't really help you to become a skilled programmer. Nor will Python although it has useful libraries (written in C, C++, Fortran). Maybe Python and C++ does no harm.
  39. L

    Transitioning into Quant Roles from Enterprise Risk

    ...and optimizing new numerical non-linear PDE discretizations (energy/entropy-stable methods). During my master's I coded mostly in MATLAB, FORTRAN, bash, and some C++. After I graduated I obtained a position in enterprise risk for a large bank in Toronto, Canada doing model implementation for...
  40. Daniel Duffy

    What chances nowadays to get into Quant Developer roles with a PhD in Computational Mech. Eng.

    Most of the Python libraries are user-friendly fancy wrappers for Fortran and C++ libraries, e.g. LAPACK, QUADPACK etc. etc. On a general note 1. Subtype inheritance has fallen out of fashion somewhat which means less pointers to base class. 2. C++11 has a new memory model...
  41. L

    Transitioning into Quant Roles from Enterprise Risk

    ...and optimizing new numerical non-linear PDE discretizations (energy/entropy-stable methods). During my master's I coded mostly in MATLAB, FORTRAN, bash, and some C++. After I graduated I obtained a position in enterprise risk for a large bank in Toronto, Canada doing model implementation for...
  42. Daniel Duffy

    which is more useful in the real world? Python or C++...

    ...initial impressions: The code is easy to port (algorithmic code is almost 1:1). I find Python 'layout' style quite quirky. Reminds me of Fortran IV in some ways. Very easy to prototype 'proof of concept' algorithms. The run-time code is inefficient (BTW I have not tried to optimize the...
  43. pingu

    Just started my Msc.Finance . Which programming language do I learn ?

    IMHO, R is a programming language but we can probably call it a Domain Specific Language a-la SQL although you can do more things with R now a days. Since this person is in this forum, I don't think he/she wants to code for a living but work in finance.
  44. pingu

    Tips for an entry level C++ quant dev interview

    LAPACK does. Neither Boost nor Eigen rely on FORTRAN.
  45. Quasar Chunawala

    Tips for an entry level C++ quant dev interview

    I see. That's something insightful and new I learnt today. Out of curiosity, the BOOST, Eigen, LAPACK libraries - under the hood, they may be using many numerical algorithms originally implemented in good old FORTRAN, that were memory efficient & super-fast. Is that accurate?
  46. pingu

    which is more useful in the real world? Python or C++...

    Great Daniel! I'm glad you are giving it a try. This is usually what you are going to do at the beginning. I used to do that until I started to think more like a python developer The layout has some getting used to it. You will see that it's an advantage Biggest advantage Performance in...
  47. Daniel Duffy

    Tips for an entry level C++ quant dev interview

    AFAIK, not Boost but certainly NAG, LAPACK etc.
  48. Daniel Duffy

    Tips for an entry level C++ quant dev interview

    Actually, IMO OOP is the wrong paradigm for numerical computation. FORTRAN is best. Or these days functional programming model.
  49. ExSan

    Quant programming languages of 2016? and GPU-wise: CUDA or OpenCL?

    does Fortran handle float better than C? please explain. salut !
  50. Daniel Duffy

    Quant programming languages of 2016? and GPU-wise: CUDA or OpenCL?

    Fortran starts at index 1, C at offset 0, what a pain when coding. Another difference; I started with Fortran 66 and C has no (HOLLERITH) punch cards http://i.ebayimg.com/images/i/201312335276-0-1/s-l1000.jpg Short history of IBM
  51. Berenger

    What chances nowadays to get into Quant Developer roles with a PhD in Computational Mech. Eng.

    ...codes for solving PDEs), and coding numerical algorithms in the object-oriented paradigm, C++98 mainly, and in the procedural one, Matlab and Fortran. My background is in Mechanical Engineering, and I am by now in my thirties. Since I got my PhD and cut my further ties with the University...
  52. Daniel Duffy

    Quant programming languages of 2016? and GPU-wise: CUDA or OpenCL?

    If you can't do it in FORTRAN, do it in assembly language. If you can't do it in assembly language, it isn't worth doing. Seriously, I don't know the answer. Why do you want to know?
  53. Daniel Duffy

    Quant programming languages of 2016? and GPU-wise: CUDA or OpenCL?

    It has been predicted that by the year 2250 there will be no more compilers any more except FORTRAN which is needed for Finite Element stress programs.
  54. Daniel Duffy

    Quant programming languages of 2016? and GPU-wise: CUDA or OpenCL?

    Depends on what you want to do. Exsan hasn't told us. Fortran >> C + C++ for maths.
  55. PepeQuant

    which is more useful in the real world? Python or C++...

    ...(it will be faster than your loop in C++. try it yourself)... Basically all these packages in Python are wrapping all these famous fortran/C/C++ packages such as nlopt and blas whcih were writen by numerical experts for decades and there is no way you can write codes faster than that in C++...
  56. pingu

    Quant programming languages of 2016? and GPU-wise: CUDA or OpenCL?

    for maths... floating point support is more or less the same
  57. Daniel Duffy

    From PhD in mathematical physics to Quant?

    ...long-terms and large software systems in Python is well-nigh impossible. In fairness, Python wasn't built for that, in contrast to Ada, Fortran and Cobol. Rumour has it that Guido van Rossum invented Python during the Christmas break once at the University of Amsterdam. I think Python is...
  58. M

    Reputation of Max Planck Society vs. Ivy League PhD

    ...based methods (kernel ridge regression, Gaussian process regression, support vector machine) I have worked a lot on compressed sensing. One skill I would mention is the ability to tackle data science problems from scratch. I have mainly used python (daily) and also some fortran...
  59. ExSan

    Quant programming languages of 2016? and GPU-wise: CUDA or OpenCL?

    now they are talking about Go
  60. pingu

    Python Questions

    ...pip. The advantage of using conda is that it will try to install precompiled libraries for your operating system if they are needed (either fortran/C/C++ libraries). If you use pip and you need a package that uses Fortran/C/C++, you will need to have your environment setup with a Fortran or a...
  61. Daniel Duffy

    Quant. job

    Now you're talking :) This is certainly a good basis (speaking as an ex-Fortran66/77 programmer) because it engenders an engineering mindset which is very good. I do know a couple quants who use Fortran but these day it's C++, Python, C# + other languages. Many cold-war quants have written...
  62. binomial-torrent

    Speeding up scipy.integrate.dblquad for updating Bayesian priors (credit rating probability of default model)

    The link is legal, the pdf is made available from the Stanford website. Here is the code:from scipy.integrate import quad, dblquad from math import isnan prev_r2 = defaultdict(lambda: defaultdict(str)) posterior_probabilities_discretized = defaultdict(lambda...
  63. Daniel Duffy

    Modern Computational Finance book

    ...forward (see libraries PPL and TBB). I really like those libraries. I use Boost and open-source libraries in as far as possible. A bit like Fortran mindset. I suppose I am a Lego programmer! C++17 has a lot of large-grained concurrency features coming down the track AFAIR. I used XLL long...
  64. D

    Quant. job

    I have done mostly Fortran coding. But I don't have a solid sound knowledge in statistics. Do these people demand that from Physics folks ?
  65. D

    Quant. job

    As I have done the Fortran, I'm pretty sure I can grasp other languages quickly. But do the recruiters listen to that ? I was applying a bit, but did not a positive reply yet :'(
  66. NI XIAOXI

    C++ Online Certificate Students' intro thread

    This is Xiaoxi. Objective: Improving C++ Programming experience: C, C++, Fortran and VBA Current work: Commodity Quant Intended pace of program: 2 months
  67. M

    From PhD in mathematical physics to Quant?

    This is incorrect for Data Science. Python is regular used to deploy ML/AI models. It is an OOP language. And there are many C/C++ optimisations under the hood in many popular Machine Learning packages. Aside: This is not 2003-2008 you don't automatically get a quant job for having a PhD...
  68. Daniel Duffy

    Quant. job

    Not necessarily. C++ is >> Fortran in difficulty and scope. So, be careful with these unfounded statements, for your own good. I'm pretty sure I can grasp other languages quickly. Then do it. The first few QN C++ (both courses) are free. Let us know what you think.
  69. Ziwei Zhao

    C++ Online Certificate Students' intro thread

    Objective: Learn C++ for future study and employment(quant) Programming Experience: C, Matlab, Fortran and a little bit Python Current Work: A researcher in Industrial Engineering Intended pace: Finish by March Very nice to meet you guys!!!:):)
  70. Daniel Duffy

    Quant. job

    Well, it does no harm. It's just not everyone thinks Fortran is cool. I think proving you can do other stuff as well is good. BTW QN C++ is very popular course :)
  71. A

    C++ Online Certificate Students' intro thread

    Hello everyone, I'm Aziz, Objective: To learn C++ for MFE and become a great quant. Programming Experience: Matlab, C, Fortran Current Work: Researcher in Physics of Fluids + Pre-MFE seminars Intended Pace: Finish within two months.
  72. Daniel Duffy

    Best Programming Language for Finance

    This FORTRAN is no more! He has ceased to be! 'E's expired and gone to meet 'is maker! 'E's a stiff! Bereft of life, 'e rests in peace!
  73. Daniel Duffy

    Programming experience

    ...to design and implement algorithm in a given language. And I am correct in saying that C/C++ is the basis for all modern languages (I exclude Fortran, Cobol and PL/I from this list :D) (not everyone agrees but that's another story; Wiki tells it all). So if you know C++ then C#, Java etc. are...
  74. pingu

    FAQ: Advanced C++ and Modern Design Online Course

    Armadillo Also, ATLAS is not really C++ but a tuned C/Fortran Linear BLAS and LAPACK to the machine. To really take advantage of ATLAS you will need to recompile it from source to your machine. Again, if you already know RcppArmadillo, stick to Armadillo and you will be more than fine.
  75. Daniel Duffy

    Why C++?

    ...take a C++ quant library that has been running for 20 years, are you going to port it to Python or C#? My remarks about Python were anecdotal; the quant writes a POC in Python and then it is ported to C++. Is it fast enough? In a sense, FORTRAN is more appropriate than C++ for number-crunching.
  76. Gavin L

    Quant programming languages of 2016? and GPU-wise: CUDA or OpenCL?

    Fortran is basically obsolete in the non-physics field, last I heard. Python is on the rise, and C++/C# will stay popular I think. Not sure about the other less common languages you listed.
  77. Daniel Duffy

    How to use C++ in real life?

    ...is not a diversity of signs and sounds but a diversity of views of the world. The same is probably true of programming languages' just take Fortran which was created for mathematical formula translation. It is a domain specific language in this sense just like COBOL, R and APL. C++ is a...
  78. alain

    Why C++?

    ...Python is here to stay and for the long haul. It's free. There are tons of libraries for it and it's very easy to learn, read and understand FORTRAN is with us. I don't think FORTRAN is going to be replaced (at least not in the scientific community). I can't say the same about C++. COBOL...
  79. Quasar Chunawala

    How to use C++ in real life?

    So so cool! Enjoyed reading this. :)
  80. Gavin L

    Pros and Cons of Certain Quantitative Languages

    Is Fortran even used anywhere these days? There's a course at my uni that uses Fortran 95 in the context of mathematical programming (root finding etc), heard its quite easy.
  81. Daniel Duffy

    MFE: To do or not to do?

    Agree 100%, Yike. I see history repeating itself; when engineering(oil, gas, semiconductors) was the future in the West newly-minted mathematicians would work on products and they had to become competent in Fortran and C post haste.
  82. Yike Lu

    MFE: To do or not to do?

    ...nothing's learned, and I'm always looking for ways to make my C++ experience less painful. For Python there's... monkey-patching, introspection, metaclasses, C/FORTRAN API calls, Cython, decorator syntax, keyword splatting. C++ has... what? Meta-template programming? Macros? Operator...
  83. Yike Lu

    Pros and Cons of Certain Quantitative Languages

    I don't write it, it's just Numpy is a wrapper for Fortran BLAS libraries.
  84. Daniel Duffy

    Pros and Cons of Certain Quantitative Languages

    Yes, but maybe not so much in finance. No real idea. Same question with COBOL; 80% of all the world's software runs on COBOL.
  85. Daniel Duffy

    C++/Quant Roles with Bloomberg NYC

    No Fortran?
  86. Z

    Is there a place for me in quant finance?

    ...but I don't have a PhD so I know my place and I'm content with that. Ideally I would like to build numerical software in languages like C/Fortran and I'm especially fond of functional programming and Julia, but I don't think those languages are used much (yet). Are there roles in quant...
  87. pingu

    How to use C++ in real life?

    From what I'm reading, it seems to me C++ still hasn't gone as far as I (and my team) can take python and R for daily work. If I want to build a big system, I probably use a mix of languages but so far, it sounds that in my area of finance, C++ is only usable when I need something really fast...
  88. Yike Lu

    MFE: To do or not to do?

    ...is still decent, within a factor of 2]. Remove (3) and you can use classic C. Remove (1) and (2) and you can use Python. Remove (1) and (3), FORTRAN? IMO, C++ is at this point a necessary evil. The evil to me doesn't come from it covering both high and low-level, but rather comes from the...
  89. Daniel Duffy

    Why C++?

    ...code NEVER gets updated. C++ will be here for ever. Python is the new Matlab, nice but not when you are in a storm. I am thinking about GO in 10 years time.https://en.wikipedia.org/wiki/Go_(programming_language) After that ..... cloud computing? BTW I started life on FORTRAN IV (66) and...
  90. Daniel Duffy

    Low level knowledge of C/C++

    FORTRAN is very easy to read. It has great libraries and real programmers use it. And it is fast. Couple weeks ago I wrote Black Scholes in Fortran for the first time in 35 years. Just to test my memory. http://www.wilmott.com/messageview.cfm?catid=10&threadid=98033&FTVAR_MSGDBTABLE=
  91. ShowMeTheLight

    Why C++?

    ...body of HPC libraries, dating back from the 70s (LAPACK, BLAS, MPI) and newer variants like MKL, CUDA libraries, PETSc. These are all either FORTRAN or have C wrappers. If you use interpreted/byte code languages like Java, C#, Matlab or Python, sooner or later you bump up against the...
  92. Ramin Khorasany

    C++ Online Certificate Students' intro thread

    Objective: Learn C++ for admissions into MFE program Programming Experience: Marlab, Fortran, Pascal, R Current Work: PostDoc Intended Pace: 2-3 months
  93. yvonne

    C++ Online Certificate Students' intro thread

    Objective: Learn C++ for admission to MFE programs and use in future project Programming Exp.: Matlab, C( long times ago), Fortran Current Work: Final year biomedical engineering graudate student. Intended pace: Wish to complete the course in early Aug 2015
  94. Yike Lu

    Pros and Cons of Certain Quantitative Languages

    ...about this. Many things can interface with both C++ and databases. I tend to go Python only these days, but a lot of the heavy duty math that my Python code does is ultimately in C or Fortran (conveniently wrapped for me by someone else). I rarely code C++ day to day, but it's an important...
  95. AlexanderMcFarlane

    Quant programming languages of 2016? and GPU-wise: CUDA or OpenCL?

    ...GPU packages used in quant? Should I use CUDA or OpenCL What key programming languages do most firms look for on a CV? I know Fortran & Python and OpenMP / MPI. Should I focus on what I know or branch out into C/C++/Julia/F/ or even Assembler? My gut says C++ & CUDA. I've noticed OpenCl...
  96. mengyuforquant

    C++ Online Certificate Students' intro thread

    Objective: Secure a job in Quant position Programming Experience: MATLAB, C++, VBA, FORTRAN Current Work: Equity Sales Trader Intended Pace: Get done in a month
  97. Daniel Duffy

    Pros and Cons of Certain Quantitative Languages

    ! A fortran95 program for BS option ! By djd ! program main implicit none integer anyKey real*8 S,K,T,r,v real*8 BlackScholes real*8 price S = 60.0 K = 65.0 T = 0.25 r = 0.08 v = 0.3 price = BlackScholes(S,K,T,r,v) write(*,*) price anyKey = system("pause") end ...
  98. niravpatel

    Do quant algo and HF trading jobs still exist?

    ...technique development, and 1 other was on further parallelization of this technique using MPI. However, this codes were written in fortran as used by most scientific computing (because others in group do not understand C++). However, I confident that I can write the same in C++ using Object...
  99. pingu

    Why C++?

    the C++ quant libraries get wrapped in some other language so they stagnate. When it comes to porting, it all depends but C++ it's being left behind. regarding proof of concepts, what I see is the POC get productionized by refactoring the python code and only dropping to compiled language for...
  100. Daniel Duffy

    Quant programming languages of 2016? and GPU-wise: CUDA or OpenCL?

    Do you want to be a quant or more the infrastucture stuff?
  101. Marco Baggins

    C++ Online Certificate Students' intro thread

    Hi guys! Nice to meet you all Objective: learn and improve c++ to enrich my CV, for admission in master programs Programming experiences: Fortran, VBA, C++ (long time ago) Current work: Studying to prepare my application to masters Intended pace: 2/3 months
  102. AlexanderMcFarlane

    Quant programming languages of 2016? and GPU-wise: CUDA or OpenCL?

    thanks for the quick responses. v helpful. totally agree but judging from the previous comment, doing a thesis in Fortran MPI would have limited applicability! I am trying to choose combinations which, to be cynical, will have the highest "buzzword" impact and therefore greatest (probability)...
  103. pingu

    Low level knowledge of C/C++

    I think you might be mistaken. I would guess they rewrote in C most of the FORTRAN they used to run and use a C++ compiler. I can also bet their software is a nightmare.
  104. Xiaobo

    C++ Online Certificate Students' intro thread

    ...To learn C++ for admission to MFE programs and also benefit for long term career in financial industry Programming experience: C, Matlab, some Fortran Current work: research scientist in physics Intended pace of program: As soon as possible. Hopefully finish it by the end of this year.
  105. Daniel Duffy

    Another PhD in maths/stats?

    IMO I think you will do well. Knowing Fortran and C is good; a lot of C++ code looks likes C and Fortran (i.e. algorithms use procedures/modules). You will pick up OOP easily but C++ is a huge language. Yet another PhD is not needed IMO. But maybe also look at some finance applications for...
  106. Daniel Duffy

    Our best traders spend a lot of their time pounding away writing code

    I agree with you - speaking as a Fortran IV programmer and later from the late 70s' - that Fortran is a great language. I loved doing Fortran code. It might even be better than C++ for computational finance. Unfortunately, that's neither here not there in the current environment. I worked...
  107. Daniel Duffy

    MFE: To do or not to do?

    ...telling me (incorrectly) which languages I do know. I won't go into the languages I used since 1972 :) So, what has it that APL, Smalltalk, Fortran, COBOL, Prolog, Lisp, Objective C, C++11, C# and Haskell don't have. ;) powerful high level languages, the best of which combine high level...
  108. Daniel Duffy

    C++: Getting Started

    ...here do C++, preferring Java since it is considered to be <QUOTE> 'pure object-oriented' <UNQUOTE> Speaking as a dinosaur/engineer of the Fortran 66 era I see CS as a branch of engineering. Domain knowledge is the foundation/glue upon which to develop your software skills. We had to...
  109. Daniel Duffy

    Why C++ and not Java??

    Forget all those languages, use Fortran ! A fortran95 program for BS option ! By djd ! program main implicit none integer anyKey real*8 S,K,T,r,v real*8 BlackScholes real*8 price S = 60.0 K = 65.0 T = 0.25 r = 0.08 v = 0.3 price = BlackScholes(S,K,T,r,v) write(*,*)...
  110. C

    Our best traders spend a lot of their time pounding away writing code

    ...in any sort of applied math domain (like molecular dynamics, or fluid dynamics, or computational electromagnetics, etc.), then learning Fortran may be actually a must. This picture of Fortran as dead language, that people tend to have, is rather wrong. It's true that it became niche...
  111. F

    Another PhD in maths/stats?

    Thank you. I had ever hated both C++ and Java .... sorry to myself. btw: My experience in programming started from QBasic and Pascal and F77 actually, about 14 years ago when I was in my high school. The one thing I really like it programming, algorithm, though i am not a graduate in computer...
  112. Daniel Duffy

    C++

    C is faster than everything but Fortran. C++ does everything that C# and Java can do but faster. It just takes a lot longer to write efficient code in C++ than C# or Java. True. What about COBOL?
  113. D

    Recommendation for a C++ or Python beginner?

    ...in MATLAB and basic PowerShell scripts (working for IT industry), but I have not programmed/coded/scripted for a while. I have used Fortran in the past, but my knowledge is very limited in Fortran. I have gone through several posts on QuantNet and came up with a list of websites...
  114. Daniel Duffy

    MSc. Theoretical Physics or Computer Science

    You've done a two week course on MPI in Fortran. Good for you. Go away and write a code which actually does something useful and scales linearly with the number of cores up to e.g. 500k cores. If you say that you know MPI and are good at parallel programming, that's what people expect. MPI is...
  115. Eric D

    C++ Online Certificate Students' intro thread

    Hi everyone. Objective: Learn C++ for future work opportunities. Programming Experience: A little Fortran and VBA, quite a bit of Matlab. Current Work: Aerospace Engineering background. Intended Pace: As soon as possible, but probably sometime in Feb with my current workload.
  116. Daniel Duffy

    Best Programming languages

    Fortran is not popular in finance. It is more popular in universities. Fortran has come a long way from Fortran IV and punch cards (which I liked but it was ages ago...) but I get the feeling that potential employers like to see C++ on CV/résumé.
  117. ndeyerl

    C++ Online Certificate Students' intro thread

    Hi all, BS Mathematics student at University of Hawaii. Objective: Learn relevant C++ for MFE, MQF, etc, career in computational finance Programming experience: Well versed with python, matlab, fortran and java Current work: Full-time Student, Math and Science Tutor Intended pace: ASAP :)
  118. Daniel Duffy

    Our best traders spend a lot of their time pounding away writing code

    IMO the solution is to learn how to apply C++ properly. Remaining in the Fortran sphere is Plan B in most cases. I worked in oil/gas early 90's in NL and Middle East ; even then the simulators were moving to C++.
  119. B

    MSc. Theoretical Physics or Computer Science

    I don't disagree, though it's unrelated to what I said.
  120. F

    Another PhD in maths/stats?

    ...UK 2014. 5 academic papers so far, developed a numerical tool for my phd project, solving odes and doing mcmc simulations.) I can program in fortran, c; I also can program in Python, and in php and mysql (not intensively or sophisticated I knew....). However, I am not strong in C++, because...
  121. A

    C++

    C is faster than everything but Fortran. C++ does everything that C# and Java can do but faster. It just takes a lot longer to write efficient code in C++ than C# or Java. I spend about 50% of my time at work trying to re-factor code written by more experienced actuaries to try to make the code...
  122. B

    MSc. Theoretical Physics or Computer Science

    You've done a two week course on MPI in Fortran. Good for you. Go away and write a code which actually does something useful and scales linearly with the number of cores up to e.g. 500k cores. If you say that you know MPI and are good at parallel programming, that's what people expect. To your...
  123. C

    Our best traders spend a lot of their time pounding away writing code

    ...I can speak from my personal experience only. I recently completed a project for large Oil&Gas company, with critical parts of it written in Fortran - and it was not legacy code, but instead an implementation from scratch of numerical routines used for making decisions where to drill; these...
  124. B

    Profile Evaluation (for an MIT Mfin hopeful)

    ...simulations of neutron transport models and such. Relevant coursework: Calc I - III Differential Equations I-II Statistics for Engineers FORTRAN Other Skills: C++ MATLAB Maple I'm hoping to get a feel for what my chances of gaining admission to MIT's Mfin program would be. If additional...
  125. AlexanderMcFarlane

    MSc. Theoretical Physics or Computer Science

    ...etc.), PDEs/ODEs, Stokes etc. these are all covered in standard BSc physics degrees. @Daniel Duffy I've already done MPI/OpenMP and HPC in Fortran so I'd be doing it all C++ this time round @bigbadwolf I can see where you're coming from but would an MSc in computer science be any better is...
  126. E

    C++ Online Certificate Students' intro thread

    Objective: Refresh on programming, learn C++. Programming Experience: Fortran, Matlab, APL; but all a long, long time ago. Current Work: Investments Intended Pace: Hopefully finish by August!
  127. Daniel Duffy

    Best Programming first language

    Indeed! I used to write FEM codes in Fortran oil/gas and semiconductors in the ole days. But AFAIK Fortran is very niche in QF. Many Fortran applications have also been ported to C. I am casting no aspersions on Fortran. Good language for arrays. edit: On the other hand, I have seen that...
  128. Daniel Duffy

    Learning C++

    Nitin, With C and Fortran you should have a good start. Bruce Eckel "Thinking in C++" is a good one (and has a free legal pdf). I am working on an updated/C++ 11 version of my book, so I would wait a while.
  129. B

    Necessary to learn C#?

    ...to do x task, but I never hear people say "We built our entire product using python and now it's an unmaintainable mess that we have no control over", yet I've heard that several hundreds times w.r.t C, C++, Fortran et al. But then I write another sweet library in python in record time and...
  130. Pkufzn

    What programs do you think will I be accepted by?

    ...I self learnt Stochastic Processes and Introduction to Operational Research. I took two programming courses as well, including Introduction to Computation and Algorithms and Data Structures. I have a good command of C/C++, FORTRAN, Matlab, IDL, Stata and NCL. I sincerely ask for guidance.
  131. Polter

    Why is C++ good for Quantitative Finance? Top 3 reasons

    Indeed, Fortran could be considered a numerics-oriented DSL (although I'd say there's a greater variety in the numerical linear algebra libs in C++ nowadays -- and most of the Fortran libs have a C/C++ version or are accessible from C/C++, while modern, C++ template libs aren't available from...
  132. Gene Boo

    Matrix Inverse Algorithm

    ...slower for me cuz of matrix class calling. Intel vector ya I already have a text but omg the assembly is the nightmare. I understand fortrans fast but I'm limited to c++ for now...n the overhead is from the classes to interface with excel using xlw. I HV tried ublas matrix class but its...
  133. Daniel Duffy

    MSc. Theoretical Physics or Computer Science

    Fair enough. My conclusions remain unaltered. The C code (I don't say C++) I've see in Physics is usually (very)weak and badly designed. In alll fairness, it's not core business. Of course, Physics for its own sake is great fun. As BBW said, it's not numerate or practical enough.
  134. AlexanderMcFarlane

    Quant Intern: What should I read up on

    ...pricing or just give me the names of some currently used industry models that I can investigate? As a guide to the level I'm at in pricing, I've written a binomial tree option pricing model in Fortran and proved it's convergence to BSM and I'm looking for something a bit more intense. Thanks!
  135. njindian

    Learning C++

    Hi Daniel, Thanks for the prompt revert. I have got hold of the pdf of Bruce Eckel's book and will start with it. Thanks again. Nitin
  136. Ann Russell

    [Job] BNY Mellon, Sr. Quantitative Risk Analyst, PA or NYC

    ...quantitative modeling; experience in numerical analysis and computational methods using programming languages (such as C/C++, C#, Java, FORTRAN, MATLAB, SAS) and mathematical/statistical software packages. Must be extremely focused, detail oriented, results oriented and highly productive...
  137. Polter

    Matrix Inverse Algorithm

    ...for this is a 1969 paper by McKellar & Coffman: http://dl.acm.org/citation.cfm?id=362879 This is a reason (one of several) an ordinary Fortran program from the 1970s will be outperforming your implementation (and is, as you have illustrated with your timing results) -- the authors of BLAS...
  138. Daniel Duffy

    Best Programming first language

    Barny, whatever gave you that idea? Did you read my posts? The religious war between C and FORTRAN lovers is an old one, and those of us supporting FORTRAN are often accused of living in an era somewhere between the 1960's and the age of the dinosaurs. Although I do write code in both C and...
  139. Daniel Duffy

    Asian put option using explicit scheme

    ...parallelism on the inner array S for each S mesh point (will have an array of I==A points). 2. Make sure the loop is column-major (Matlab ~ FORTRAN?) 3. Maybe line 37 can be optimised?? A. where are your boundary conditions and how did you discretise dV/dt + adV/dI term? What is I_max?
  140. I

    Advice on preparation

    ...a little bit deeper in those areas during the summer, and later on. I am planning to do the following. Programming I have basic knowledge of FORTRAN and C, but I plan to switch to C++ and stick to it in order to learn it to some extent. I will take a 3-day course in late June that will...
  141. S

    C++ Online Certificate Students' intro thread

    Hi Everyone. Objective: Learn C++ to better improve future job prospects Programming Experience: R, SAS, Fortran Current work: Statistic Modeler Intended pace of program: Completed before 1st of March,2013
  142. ExSan

    Our best traders spend a lot of their time pounding away writing code

    Dear Daniel A friend of mine is doing his Master in Computational Mathematics and he wants to master both languages Fortran and C, is it worth? I already adviced him that C is good enough and he may end in a big confusion with both languages, of course it depends how much proficient he wants to...
  143. B

    Best Programming first language

    You've completely missed the point. This is not FORTRAN vs C. The question is, do you think C++ is the best first language to learn? That is - introducing someone to the concepts of loops, functions, control-flow, (OOP?)?
  144. njindian

    Learning C++

    Hi Daniel, I am in pretty much the same boat as Earl. I did C, Fortran about 13 years ago but didn't use them much. Should I begin from your C++ book or is there any other text that you think I should first go through and then begin with your title. I would be joining MFE this july and was...
  145. Ethan Lim

    Do I need Numerical Linear Algebra?

    ...Visualization - Gerald Farin & Dianne Hansford) 3. Will be taking Numerical Analysis in fall. I am not sure if taking a Numerical LA course would be wasting time and effort or not. P.S. Not that it really matters but the course HW is done submitted in Fortran. Thanks in advance for your...
  146. Daniel Duffy

    Best Programming languages

    ...can be great or small. I sense your frustration, which is understandable. But you should have declined to do it IMO and just stick to Fortran (which is portable). Don't blame C++; blame the person that gave you the crappy code. Maybe a stint in a professional software organisation will be...
  147. Daniel Duffy

    Why is C++ good for Quantitative Finance? Top 3 reasons

    Fortran excels++ at number crunching and has buckets of libraries that exist for > 50 years. It is king. C++ is good for other reasons in addition to 1.
  148. AlexanderMcFarlane

    Student-t Innovation Problems - GARCH(1,1)

    ...I have but I have summarised pretty much everything as concisely as possible and I hope that someone can help me. I'm tidying up a series of FORTRAN 95 modules to create a fast volatility calculator and teach myself the application of quantitative methods. I'll throw it out open source when...
  149. Daniel Duffy

    MSc. Theoretical Physics or Computer Science

    ...about the Lagrange, Hamilton, .... PDE, FDM, numerical analysis are betrer. high performance computing simulations Big chance you will be doing MPI in Fortran, not exactly skills QF is looking for IMO. Physics uses maths it is not 'hard maths' in the technical sense. But better than CS IMO.
  150. B

    Best Programming languages

    What is your point? I have already said that it is straightforward to link python with C++/C/Fortran. You don't have to adopt C++ as your implementation language just for its random number generators.
  151. C

    Best Programming first language

    ...towards C/C++... Many people doing some serious work (Oil&Gas, CFD, CEM, and any other scientific computing discipline) are happily using Fortran on everyday basis, and are making good money on its use. Do you think that such a large Fortran ecosystem would exist if there isn't demand? Take...
  152. Daniel Duffy

    Still worth it to learn C?

    C++ is the new Fortran and it will be here forever. :) Job interviewer say "you know C++". No one cares if you know Java or Matlab. BTW did you know that 80% of running progams are COBOL?
  153. B

    Best Programming first language

    ...The reason is you can do so many useful things which will inspire you, where as it's a long time before you can create a genuinely useful C++ program. Definitely do not start with C++. FORTRAN is a great first language but nobody uses it in finance. I'd start with Python, then move onto C++.
  154. Poomrang

    C#, C++, VBA or Java ?

    sorry, but what do you mean by IMO ? :)
  155. Daniel Duffy

    Still worth it to learn C?

    I wrote my first ever program in PL/I in 1971 , it is (0.25*Fortran + 0.75*Cobol) :D Yike Lu, He does not like Lisp either :)
  156. J

    C++ Online Certificate Students' intro thread

    ...programming in C++ and its various applications in finance industry. Get to know people with similar objectives. Programming Experience: C, Fortran, R, MATLAB, Java Current Work: Graduate student Intended Pace: Still not sure, I will adapt my pace to the difficulty of the topics to ensure...
  157. Daniel Duffy

    C#, C++, VBA or Java ?

    Speaking for myself:) In the 80's I went from from Fortran and Cobol directly to C++. It would have been better if I had first done some C. After C++, C# is useful for quant work IMO.
  158. Pkufzn

    Profile Evaluation

    ...My weakness: 1) lack of internship. 2) My GPA is not high. And some of my math courses got low grades. Computer Language: 1) C/C++, FORTRAN, Matlab, Stata, IDL, NCL. 2) I am skilled with Linux system. Programs I intend to apply: 1) Columbia MFE, City University of New York MFE (These two I...
  159. S

    C++ Online Certificate Students' intro thread

    Hello Everybody, Objective: Learn C++ Programming Experience: Matlab, Gauss, Fortran, VBA, Sql Current Work: Quantitative Trader Intended Pace: Currently work full time, I am intending to complete in couple of months.
  160. alain

    Matrix Classes in 2012

    check these 2 links: http://en.wikipedia.org/wiki/BLAS http://en.wikipedia.org/wiki/LAPACK If you are looking for raw speed in this space, FORTRAN and C are still kings of the mountain. CUDA/OpenCL have their own set of headaches. You will need to be really careful in order to use them...
  161. B

    Best Programming languages

    ...Have you ever experienced the pain of porting a C++ application from one such computer to another, even when only using 'standard' C++? I predict the answer is no. And as a spoiler, I have wasted weeks of my life doing such things. C is 'OK' and Fortran is the best for this kind of thing.
  162. B

    Necessary to learn C#?

    ...in that arena. Of course, there are some applications where you really do need to get as many FLOPs as possible, and in those cases C/C++/Fortran are great. The thing is, very few codes and applications actually need that. Rapid development is usually a more important factor. C/C++ are good...
  163. A

    Anybody know of the best free Fortran compiler currently out ?

    I'm new to fortran and am currently learning the language. Thought my experience would be more pleasant with a a good fortran compiler. Anyone know of any open-source / free compiler and can you please attach the download link. thanks
  164. MiloRambaldi

    Best Programming languages

    You evidently don't know much about random number generation. I looked at the Python RNG library you referenced. It is a dinky (i.e. basic) generator, that is absolutely not suitable for many financial applications. The reasons for this have been discussed at length on Wilmott. This is coming...
  165. B

    Still worth it to learn C?

    Of course the daddy for optimisation is FORTRAN. The most valuable thing you can learn in HPC is to unroll loops by hand and structure code so that it gives the compiler the best chance of optimising. Unfortunately, due to pointer aliasing in C the compiler has little chance. However, there is...
  166. B

    Best Programming languages

    Well, it's part of my PhD, so I don't really have a choice. I needed to use the code, so it had to be ported, and I had to port it :) As to your last point, I don't really get it.
  167. B

    Best Programming languages

    ...number generator in Python? Get off your high-horse, read and understand the thread properly. It is trivially easy to link python with C/C++/Fortran code, which is what any sane person would do if they wanted a 'serious' random number generator. Or, an even more sane person would just use...
  168. Z

    C++ Online Certificate Students' intro thread

    Objective: Learn C++ for consolidating my programming skill Programming Exp.: Fortran (few years ago), Matlab (currently most projects focus on) and R Current Work: registered currently MFE students Intended pace: Hopefully, can finish up by the end of this summer Nice to meet you all here!
  169. J

    C++ Online Certificate Students' intro thread

    Hi all, Objective: Formalize C++ experience for resume and job applications Programming Experience: Python, R, VBA, some C#, and Fortran a long time ago Current Work: Business Analyst at a healthCare company (also doing MS in Comp. Finance at U of Washington) Intended Pace: Not sure, working...
  170. A

    Career advice needed!!!

    ...in short, the solution could run for hours and I needed to find the fastest solver for it. During my project I compared between Matlab, C and FORTRAN for the numerical solution and maybe due to the compilers I used, found FORTRAN to be efficient by running sample solution against each. I have...
  171. B

    2012 Resolution: Start Coding Again

    Does the world really need more HTML, Javascript and CSS programmers? I don't think so. We need more people who understand numerical methods, algorithms and FORTRAN/C/C++.
  172. Q

    [Job] Quantitative Financial Analyst

    ...Engineering, Statistics, or Physics) as well as fluency in at least one programming language is required (C/C++, Python, Matlab, or Fortran). The ideal candidate will possess knowledge of capital markets products, methodologies, and financial analytics. Remuneration is extremely attractive...
  173. Andy Nguyen

    2012 Resolution: Start Coding Again

    MFE programs are doing a stellar job about it, right?
  174. DMD

    C# Pricing options using the finite difference method

    I'm no expert, but I understand most FDS guys use a compiled language like C++ or Fortran for the exact reason that it is MUCH faster and efficient than MATLAB with FDS problems.
  175. I

    "MFE program profile evaluation" master thread

    ...Model Validation Quant (1.5 yrs) - HSBC, Retail Banking Analyst (3 yrs) Others: Certified FRM GRE Q - 170, V - 153, AWA - 3 TOEFL - 105 Fortran, C, VBA, R, MatLab, base SAS Applied/will apply to: CMU MSCF (applied rnd 1) Columbia MFE (applied) Baruch MFE UCB MFE (targeting rnd 2) more...
  176. D

    Anybody know of the best free Fortran compiler currently out ?

    Some excellent technical reasons for Fortran posted here. It's parallel computing and MP features are ahead of the curve. However my most recent search of quant jobs with Fortran as a keyword was a bit disappointing. C++ still seems to be the language of choice in the financial quant world...
  177. Andy Nguyen

    Thoughts on Python

    I don't think R will die. Just look at FORTRAN. If you crave out a niche, you won't die. have you seen http://repl.it/
  178. Shantanu Kumar

    C# Pricing options using the finite difference method

    Matlab is generally optimized for matrix/vector operations as overhead in such cases are negligible.On the other hand things like running multiple for loops etc isn't something that you would like to do using Matlab.That's why i think people recommend using Matlab where your data can be...
  179. D

    Profile evaluation would be greatly appreciated

    ...2 in June 2014 Plan to complete Baruch Certification for C language (not yet confirmed) Familiar with MATLAB, a little bit of experience in FORTRAN Took classes related to probabilistic models (stochastic process), engineering economics, financial statement analysis, investment...
  180. J

    R Programming language?

    ...now, and I love it to bits. Aside from the access to the latest research in statistics and machine learning, you can call your C, C++ and Fortran code from R, so speed is not really a problem (the only one real gripe I have is the generally terse documentation). Also, if you're planning on...
  181. Polter

    Matrix Classes in 2012

    ...Hungarian (not to mention code readability issues necessarily associated with having to stay "within the very tight limits of standard Fortran 77 6-character names"). Even if you're using (and used to) Fortran, I'd recommend a wrapper like LAPACK95 in this environment, at least it improves...
  182. Polter

    Monte Carlo applications

    ...choice here. I can just add that it will offer the most choices in terms of libraries for GPGPU (many, but not all, will also have C or Fortran versions) -- just off the top of my head: CUDA (with higher-level Thrust), OpenCL (with higher-level Bolt), C++ AMP, OpenACC -- and that doesn't...
  183. T

    Best Programming Language for Finance

    The extract from that conversation linked above: Is this true about the popularity of Fortran?
  184. C

    Best Programming Language for Finance

    Yes - Fortran is indeed still popular in specific branches of science (and academia, to the some extent), mostly in the domain of applied math.
  185. X

    Seeking advice for a PhD student in computational chemistry.

    ...about 50 in US, and expected to graduate by April 2015. My current GPA is 3.8, and have programming experience in Python, C++, Matlab, FORTRAN, JAVA, R, shell scripting and parallel computing. I would like to switch to the area of quantitative finance after my PhD, and have made the following...
  186. T

    Do you need access to high-performance computing?

    Fortran is only used for supercomputing I believe.
  187. C

    Anybody know of the best free Fortran compiler currently out ?

    I completely disagree: I think in case OP intend to get involved into any sort of numerical programming, choosing to learn Fortran is very good decision. With all of the recent updates of the standard, Fortran is now a modern imperative programming language, and having built-in, high-performance...
  188. J

    uses of numerical methods/analysis

    ...for a bank :) . So hopefully I'm not leading you astray ; I work in the HF area. What I consider a base language is C, C++, C#, Java, Fortran and some older things (e.g. Pascal). What I consider a scripting language are things like Perl. What I consider an interpreted language is R, Matlab...
  189. Daniel Duffy

    Class in C++

    Attention to good design and parallelisability is important and Fortran is ideal for this. It would help get away from a recipe approach which is not always optimal, especially if you have to write your own algos or the recipe breaks down, What then?
  190. Daniel Duffy

    Class in C++

    I can't argue with any of these statements :)
  191. alain

    Anybody know of the best free Fortran compiler currently out ?

    I will advice you against learning FORTRAN unless the graduate program you are applying requires it specifically or the field of study that you choose has already a big codebase in FORTRAN. As a programming language, FORTRAN is far from ideal.
  192. M

    C++ Online Certificate Students' intro thread

    Hi everybody, This is my first day in the course. Very excited to learn with you guys! Objective: Learn C++ for a career change. Programming experience: Cobol, Java, Rexx, Objective-C, Smalltalk, Fortran Current work: Technical Project Manager, PMP, CSM, MBA Intended pace: Feb 2012
  193. C

    Best Programming Language for Finance

    I'd say you're quite wrong here. There exist lots of high quality numerical codes written in Fortran, still unsurpassed by anything written in C or any other language. And there are new developments in Fortran too, enough of a market that there are dozen or so companies fighting for it with...
  194. B

    Do you need access to high-performance computing?

    What language do you use for HPC? Fortran is the Gold standard for HPC I'm led to believe?
  195. RedPanda

    C++ Online Certificate Students' intro thread

    Hello everyone! I am so excited to start with this group! Objective: Admission to MFE program. Programming experience: Mostly Matlab, Fortran and some C/C++. Current work: Studying to get into MFE program. Intended pace of program: Hopefully by the end of this year.
  196. C

    Anybody know of the best free Fortran compiler currently out ?

    If you're on Linux (or Mac, with Xcode installed) then, as said by previous poster, GCC is already there for you - to call Fortran compiler front-end, use "gfortran" command from the shell. If you're on Windows, and used to Visual Studio, then FTN95 may be interesting for you. Furthermore...
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