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Search results

  1. Daniel Duffy

    Frequently asked questions, remarks about C++

    The holy grail of C++ templates is C++20 Concepts which is a game changer https://en.cppreference.com/w/cpp/language/constraints Not easy, so I don't see much being written about it. Simple, toy examples will not do it justice.
  2. Daniel Duffy

    Frequently asked questions, remarks about C++

    wow, I spent 20 years trying to learn this stuff. I reckon these courses are like intros?
  3. Daniel Duffy

    Frequently asked questions, remarks about C++

    As C++ developer you need to be to communicate with your buddies via UML https://en.wikipedia.org/wiki/Class_diagram
  4. Daniel Duffy

    Frequently asked questions, remarks about C++

    All the patterns and applications are finished in C++, C# and Python (Harold and I have been doing design patterns in industry since 1994). When you start thinking like a designer you are not confined by the language in use.
  5. Daniel Duffy

    Frequently asked questions, remarks about C++

    Learning generic programming, code structure, design, and honing debugging skills are far more important than learning most of the new language features. Most books do not adequately cover any of these topics. It might be interesting to know that I am writing a book with Harold Kasperink (who...
  6. Daniel Duffy

    Frequently asked questions, remarks about C++

    Once you learn C++ then it is time to do real applicatiion programming A-Z on concrete examples, some examples here https://quantnet.com/threads/blog-articles-on-c-11-and-computational-finance-by-daniel-j-duffy.32237/ Stackoverflow is OK I suppose (I never use it myself), preferring...
  7. Daniel Duffy

    Blog: Articles on C++11 and Computational Finance (by Daniel J. Duffy)

    theses on ML etc. https://www.datasim.nl/blogs/29/msc-theses-on-machine-learning-and-computational-finance-2020 https://www.datasim.nl/blogs/26/msc-theses-on-machine-learning-and-computational-finance-2019
  8. Daniel Duffy

    Frequently asked questions, remarks about C++

    Life is not simple. There's a number of gotcha catch 22 pitfalls. Feedback welcome. 1. FACT: You need to know some C SYNTAX and savoir-faire before C++. 2. Can learn C++ w/o C but the experience can be painful. 3. C++03 was up until 2000; then came C++11 -> C++17 -> C++20 --> C++23. 4. Can...
  9. Daniel Duffy

    UCB MFE Waitlist Decision Update

    My ODE/PDE coursse is on the list of UCB their pre-program courses. https://www.datasim.nl/onlinecourses/97/distance-learning-ordinary-and-partial-differential-equations
  10. Daniel Duffy

    How can I up my chances?

    AFAIK I thinks they like C++.
  11. Daniel Duffy

    Career Move

    How is it possible to work on derivative pricing models without C++ and/or Python know-how?
  12. Daniel Duffy

    Blog: Articles on C++11 and Computational Finance (by Daniel J. Duffy)

    Programming Language Wars https://cs.wellesley.edu/~cs251/f17/assignments/antics/StefixHanenbergLanguageWars.pdf
  13. Daniel Duffy

    Machine Learning, Deep Learning and AI: Perspectives

    https://aibusiness.com/nlp/meta-s-galactica-ai-criticized-as-dangerous-for-science Renowned software engineer Grady Booch, one of the trio that developed the Unified Modeling Language, also had concerns. He described Galactica as “little more than statistical nonsense at scale.” Prof. Emily...
  14. Daniel Duffy

    Machine Learning, Deep Learning and AI: Perspectives

    From 2014 to 2021, Kite was a startup using AI to help developers write code. We have stopped working on Kite, and are no longer supporting the Kite software. https://www.kite.com/blog/product/kite-is-saying-farewell/ The future is bright We can’t wait for AI to revolutionize programming...
  15. Daniel Duffy

    Build and Debug Excel add-in using XLW Project and Visual Studio 2022 C++

    I don't use XLW myself but maybe Quantlib is a bit more friendly? https://www.quantlib.org/quantlibxl/
  16. Daniel Duffy

    Learning Partial Differential Equations and Numerical methods

    Gilbert Strang of MIT - who incidentally is my academic grandfather - has many great lectures. He developed the Strang splitting method that I discuss in my 2022 PDE book.
  17. Daniel Duffy

    Learning Partial Differential Equations and Numerical methods

    When solving maths problems, I strongly recommend this approach. Can't go wrong. https://en.wikipedia.org/wiki/How_to_Solve_It
  18. Daniel Duffy

    C++ Online Programming Cert Testimonials

    Congratulations. You communicated very well on this forum. I doubt there is any course on the planet where you would get the same level of attention as you got from the TAs here.
  19. Daniel Duffy

    Learning Partial Differential Equations and Numerical methods

    Here's a representative set of exercises (1st batch of the course) on ODEs.
  20. Daniel Duffy

    Learning Partial Differential Equations and Numerical methods

    You're welcome, all set up to lift-off. Good luck!
  21. Daniel Duffy

    Learning Partial Differential Equations and Numerical methods

    and, and this book on gettiing NUMBERS out of ODE/PDE https://www.amazon.com/Schaums-Outline-Numerical-Analysis-Francis/dp/0070551979
  22. Daniel Duffy

    Learning Partial Differential Equations and Numerical methods

    yep, get that great book by Bronson. You are ready to go, fasten seat belts and lift off.
  23. Daniel Duffy

    Learning Partial Differential Equations and Numerical methods

    This book is probably good enough for self-study, It's green/blue belt level...
  24. Daniel Duffy

    Learning Partial Differential Equations and Numerical methods

    Of course, I'm not the only person on the planet who writes books on PDE.
  25. Daniel Duffy

    Learning Partial Differential Equations and Numerical methods

    SO, I searched randomly on Amazon for books to learn PDE, I came across this book ‘Finite Difference Methods in Financial Engineering: A Partial Differential Equation Approach (The Wiley Finance Series)’ by Daniel J. Duffy. I bought this book now. I understand from the content that this book...
  26. Daniel Duffy

    VBA Question

    I also remember vaguely VBE http://www.cpearson.com/Excel/VBE.aspx
  27. Daniel Duffy

    VBA Question

    I once did VBA with Excel but it was a while back ... it's a bit hazy .. At the time the stuff by Axel Vogt was very useful https://newtonexcelbach.com/2010/04/01/some-vba-maths-resources/ There might be something useful in there.
  28. Daniel Duffy

    Python vs MatLab

    No problem. It's good that the new MFE generation don't think that programming is a dawdle.
  29. Daniel Duffy

    Python vs MatLab

    Yeah, but how does one become "conscious about design choices", sounds a bit of a dumbing down, no? You learn by making mistakes. It takes years to be good at software design. For production, I suppose time to market might have a high priority. BTW this discussion from me is not about...
  30. Daniel Duffy

    Python vs MatLab

    kdmfe, Since you are doing my numerics course you can send me your ODE questions.
  31. Daniel Duffy

    Python vs MatLab

    Go for Python. Many do Python these days. https://www.datasim.nl/onlinecourses/106/distance-learning-applied-numerical-methods-with-python-and-python-libraries https://www.datasim.nl/onlinecourses/106/distance-learning-applied-numerical-methods-with-python-and-python-libraries...
  32. Daniel Duffy

    Interview with Barclays team

    No problem; my post was not a sales pitch as such. It was meant to give an overview of what you can possibly expect at an interview. C++ tests are like jumping through hoops and not a lasting skill.
  33. Daniel Duffy

    Interview with Barclays team

    No, I don't do interviews. But I do know the possible buzzwords https://quantnet.com/cpp/
  34. Daniel Duffy

    Interview with Barclays team

    How can one have a C++ interview like this? It suggests interviewee does not know C++.
  35. Daniel Duffy

    Interview with Barclays team

    it's called inheritance..
  36. Daniel Duffy

    Blog: Articles on C++11 and Computational Finance (by Daniel J. Duffy)

    class Programmer : SE { doit() { // program that stuff } }
  37. Daniel Duffy

    Blog: Articles on C++11 and Computational Finance (by Daniel J. Duffy)

    Merriam-Webster has defined Software Engineering has "a branch of computer science that deals with the design, implementation, and maintenance of complex computer programs." So, a software engineer who cannot program should be the exception, not the norm. Since you say the term "programmer" is...
  38. Daniel Duffy

    Blog: Articles on C++11 and Computational Finance (by Daniel J. Duffy)

    Doing maths in C++20 // Test001.cpp /* (C) Datasim Education BV 2022 2022-10-20 DJD #8 Super-strippped down sample code to model all kinds of mathematical functions that are neeeded in numerical applications. Here we reduce the scope by introducing scalar-valued functions of a scalar...
  39. Daniel Duffy

    Blog: Articles on C++11 and Computational Finance (by Daniel J. Duffy)

    Here's an excellent MSc thesis I supervised. Chun got the job done :ninja: https://www.datasim.nl/application/files/3516/0614/0758/Finalthesis.pdf He applied good design and programming skills.
  40. Daniel Duffy

    Blog: Articles on C++11 and Computational Finance (by Daniel J. Duffy)

    Excellent, Dr.Duffy. However, Black's assumption makes your modification of the heuristic method restrictive or limited. Counterexample: Considering that Black assumes that the option holder cannot exercise the option before the expiration date, which would make the heuristic method fail for an...
  41. Daniel Duffy

    Blog: Articles on C++11 and Computational Finance (by Daniel J. Duffy)

    Not sufficient and possibly not necessary: "data structures and algorithms" can mean anything. Here is a test: reproduce the results in this article in C++. So, design and implement a solution...
  42. Daniel Duffy

    Blog: Articles on C++11 and Computational Finance (by Daniel J. Duffy)

    All these IT terms are terribly overloaded I am an architect
  43. Daniel Duffy

    Blog: Articles on C++11 and Computational Finance (by Daniel J. Duffy)

    Nice thing about definitions is so many to choose from. Just curious, what level of expertise in programming would you consider sufficient for a Quant? Too ambiguous. Can you take a concrete case. e.g, create a C++ class library for interest rates. Write a blockchain.
  44. Daniel Duffy

    Blog: Articles on C++11 and Computational Finance (by Daniel J. Duffy)

    1. I have resolved the flaws in heuristic methods for Black as discussed in the article and book. 2. Can you be more precise? BTW "software engineer" is a meaningless term. Some don't even (know how to) programmer. Programmer is nicer. A bit dated, but humorous...
  45. Daniel Duffy

    Blog: Articles on C++11 and Computational Finance (by Daniel J. Duffy)

    A Short History of Computational Finance 1990-2020, a Partial Differential (PDE/FDM) Approach DANIEL J. DUFFY'S HISTORICAL REVIEW FOCUSES ON THE APPLICABILITY OF PARTIAL DIFFERENTIAL EQUATION (PDE) TECHNIQUES AND RELATED NUMERICAL METHODS, PARTICULARLY FINITE DIFFERENCE METHOD (FDM) THAT ARE...
  46. Daniel Duffy

    Blog: Articles on C++11 and Computational Finance (by Daniel J. Duffy)

    TEST STUFF template <typename T> class PhilipsSensor { private: public: PhilipsSensor() {} void start() { std::cout << " Philips start\n"; } void process() { std::cout << " Philips process\n"...
  47. Daniel Duffy

    Blog: Articles on C++11 and Computational Finance (by Daniel J. Duffy)

    // An example of a Bridge pattern. // // 2022-10-16 DJD #7 // The Bridge structural pattern models abstractions (defined in class hierarchies, // for example). Each class can have several (volatile) implementations which are also // usually defined in a class hierarchy). The two class...
  48. Daniel Duffy

    Blog: Articles on C++11 and Computational Finance (by Daniel J. Duffy)

    I am writing a book with co-author HK who took my patterns course in 1992. He is now a 30 year expert, so together 60 years. C++, C# and Python + applications Due Q3 2023.
  49. Daniel Duffy

    Blog: Articles on C++11 and Computational Finance (by Daniel J. Duffy)

    Hi Devon, Yes, Visitor 21st century and multimethods. And there's more ... I am resuccitating the GOF Pattern intp C++20 style. I'll keep posting here. C++20 Concepts really tax my brain. Why? 7 plus or minus 2. https://en.wikipedia.org/wiki/The_Magical_Number_Seven,_Plus_or_Minus_Two
  50. Daniel Duffy

    Blog: Articles on C++11 and Computational Finance (by Daniel J. Duffy)

    // DJD 2022-10-9 version 0.9 #6 // (C) Datasim Education BV 2022 /* A really modern implementation of a generic Visitor pattern that is an improvement on other approaches in C++: 1. std::visit() and std::variant() 2. Traditional Acyclic Visitor using subtype...
  51. Daniel Duffy

    Blog: Articles on C++11 and Computational Finance (by Daniel J. Duffy)

    21st century C++: Design Pattterns, C++20 Concepts and multimethods This code contains: 1. Visitor pattern based on C++20 Concepts (provide-requires contracts). 2. Multimethods (the Holy Grail) .. what C++ tried for 30 years. 3. Multimethods with variadic parameters, a)...
  52. Daniel Duffy

    SHOW ME THE CODE !

    Start with chapter 1, 2 up to 7. Try to program Black Scholes PDE. Other books are referenced as needed. Just start.
  53. Daniel Duffy

    John Hopkins Online Fin Math

    https://www.datasim.nl/onlinecourses
  54. Daniel Duffy

    SHOW ME THE CODE !

    21st century C++: Design Pattterns, C++20 Concepts and multimethods This code contains: 1. Visitor pattern based on C++20 Concepts (provide-requires contracts). 2. Multimethods (the Holy Grail) .. what C++ tried for 30 years. 3. Multimethods with variadic parameters, a)...
  55. Daniel Duffy

    LaTeX addin for MS Office (esp. Word)

    I am looking for an easy way to import TEX formulae into Powerpoint presentations. At the moment we use Aurora but it does not always work the way we want. Are there other options?
  56. Daniel Duffy

    Laptop Recommendation for Financial engineering grad student

    Yeah, stop watching movies and learn a skill, like woodwork or C++.
  57. Daniel Duffy

    Laptop Recommendation for Financial engineering grad student

    You don't need 1 terabyte of hd space -> stop downloading movies. 🤣
  58. Daniel Duffy

    SHOW ME THE CODE !

    I just want to say one word to you. Just one word. Yes, sir. Are you listening? Yes, I am. Concepts. Exactly how do you mean? There's a great future in C++ Concepts. Think about it. Will you think about it? Stay tuned for BREAKING NEWS.
  59. Daniel Duffy

    An Honest Review of the QuantNet C++ Programming Certificate

    Why hasn't the course been updated in several years? C++ 98 is the same as 10 years ago. We have advanced C+11 - C++20 course, Why haven't corrections been made to typos in lecture notes and homework assignments? Good question. I think the answer is from TA and QN admin. I am not involved...
  60. Daniel Duffy

    An Honest Review of the QuantNet C++ Programming Certificate

    Don't worry, I am not feeling defensive. I do take issue with some of your comments that are not not correct. For example: 1. AFAIR we do C syntax, control in modules 1 and 2. 2. "Computer science course that teaches C++", where. 3. This is a hands-on progamming/engineering course, not CS with...
  61. Daniel Duffy

    An Honest Review of the QuantNet C++ Programming Certificate

    Thank you for the feedback. Regarding VIsual Studio, do you expect me to create new videos, each time Microsoft comes up with a new version? VS environment and C++ are independent. Some students use gcc. We have been giving C++ courses since 1994 all kinds of industry, finance and of course...
  62. Daniel Duffy

    Suitable roles for a PhD graduate (in computational fluid dynamics)

    Energy markets might be worth looking into: (spread-style ) options and risk but more complex than in finance. // Python ML not there yet. Statistics always important!
  63. Daniel Duffy

    Berkeley Haas MFE pre program courses.

    https://www.datasim.nl/onlinecourses/97/distance-learning-ordinary-and-partial-differential-equations is on the UCB list. We offer a student price.
  64. Daniel Duffy

    Transition from PhD Astronomy to Quant

    https://quantnet.com/courses/ My feeling is MECH is out on a limb these days,
  65. Daniel Duffy

    How to feature your C++ certificate on LinkedIn

    LinkedIn is a great medium. I used to to let my work be known to professionals, for example here https://www.linkedin.com/pulse/compendium-my-books-2004-2022-daniel-j-duffy-datasim-/?trackingId=wiMvLZXuezd3xUcf%2BSCWXg%3D%3D...
  66. Daniel Duffy

    Top math PhD looking for advice

    Prediction is difficult, especially predicting the future. Never too olld to change careeer. Many people do it. 3 years in PhD land is long time; it is not like doing an MSc.
  67. Daniel Duffy

    Top math PhD looking for advice

    Sorry, can't comment on life after 40/45, how long is a piece of string? If you keep alert, you can move in your career I would say. But you are a long way off from 45. In the short term there's a lot to do. Differential geometry is quite far away from the kind of maths used and applied in...
  68. Daniel Duffy

    Top math PhD looking for advice

    What kind of PURE maths? At the moment my coding skills and my knowledge of stats are both very basic, but, if I decide to go down this route, I believe that three years is enough time for me to improve. A rough guess is that quants (even Serie A ones) spend > 70% of their time programming...
  69. Daniel Duffy

    QuantNet Best-selling Quant Books of 2017

    Update: My C++, C#, PDE/FDM, Boost C++ bookcase https://www.amazon.com/Daniel-J.-Duffy/e/B001IQZ9JC%3Fref=dbs_a_mng_rwt_scns_share
  70. Daniel Duffy

    C++ Online Certificate Students' intro thread

    End of September 2022?
  71. Daniel Duffy

    what, wristwatch is this?

    He says “an inexpensive Russian-made watch.”
  72. Daniel Duffy

    what, wristwatch is this?

    He speaks better Cyrillic than Latin, methinks
  73. Daniel Duffy

    Reality Check: Fall 2023 (MFE)

    I did not enjoy the software engineering aspect. May I ask, what did you not like? content, style, teacher?
  74. Daniel Duffy

    UCB MFE where to take math prerequisite courses?

    My ODE/PDE course is on that list https://www.datasim.nl/onlinecourses/97/distance-learning-ordinary-and-partial-differential-equations
  75. Daniel Duffy

    Big Data and Deep Learning, a technology revolution in trading or yet another hype?

    https://garymarcus.substack.com/p/did-googleai-just-snooker-one-of?r=8tdk6&utm_medium=ios
  76. Daniel Duffy

    Should I start an MFE at the age of 35?

    Fairly experienced Matlab, very limited experience with Python. However, I am good at coding, so I think I can pick up Python and C++ quickly. Matlab is not much good for C++ or (even) Python, methinks.
  77. Daniel Duffy

    Code from Introduction to C++ for Financial Engineers by Duffy

    Fundamental data structures, including arrays, lists, stacks, queues, trees, hash tables, and graphs. Algorithms for searching and sorting. Introduction to analysis of algorithms. Applications of these data structures and algorithms. We do these as part of the QN C++ courses, including...
  78. Daniel Duffy

    Code from Introduction to C++ for Financial Engineers by Duffy

    That course sounds very exotic and somewhat diffuse. What are the prerequisites? https://www.datasim.nl/application/files/4715/3069/5621/DL_Advanced_C___course_contents.pdf // I don't have any opinions on Rust vs C++. // Such discussions are not productive.
  79. Daniel Duffy

    Code from Introduction to C++ for Financial Engineers by Duffy

    OS and Computer Networks course in C++ I'm just wondering what one can do in C++ for OS topics. Kind of tenuous? Booast C++ asio?? Just curious.
  80. Daniel Duffy

    Code from Introduction to C++ for Financial Engineers by Duffy

    Principles of Software Design - Brief overview of typical software development lifecycles. Systematic methods for designing large-scale, quality software. Concepts such as abstraction, modularity, and software modelling will be covered. Designing for non-functional properties of software will be...
  81. Daniel Duffy

    Code from Introduction to C++ for Financial Engineers by Duffy

    Ok. Here's the specification for the binomial method. A nice exercise is to map it to C++ or Python. https://en.wikipedia.org/wiki/Binomial_options_pricing_model
  82. Daniel Duffy

    Code from Introduction to C++ for Financial Engineers by Duffy

    Depends on what you learned in those 3 (!) courses. How do they compare with QN C++? Were they syntaxy stuff w/o real examples? Just asking. https://quantnet.com/cpp/ TBH are you able to design a binomial solver from scratch given your current knowledge? @APalley
  83. Daniel Duffy

    Code from Introduction to C++ for Financial Engineers by Duffy

    Depends; how is your C++ knowledge? none, a little, novice,,,? // my books are on Amazon.
  84. Daniel Duffy

    Code from Introduction to C++ for Financial Engineers by Duffy

    Wiley used to give a CD with the book... Your university needs to contact me. And the 2006 book is a long time ago. Go for my new stuff, e.g. QN C++ course.
  85. Daniel Duffy

    Code from Introduction to C++ for Financial Engineers by Duffy

    Hope you are doing well since the last reply. I'm not dead yet 😱 I need proof of purchase. Thank you. BTW the C++ compiler has changed a bit. My 2018 C++ book does lattices etc.
  86. Daniel Duffy

    C++ Online Certificate Students' intro thread

    Sounds like a Dutch name! I live in Koedijk 😀
  87. Daniel Duffy

    Do "research software engineers" make good candidates for quant research positions?

    “As time passes, the system becomes less and less well-ordered. Sooner or later the fixing cease to gain any ground. Each forward step is matched by a backward one. Although in principle usable forever, the system has worn out as a base for progress. ...A brand-new, from-the-ground-up redesign...
  88. Daniel Duffy

    UK programs (LSE and Imperial)

    yes! Unfortunately, some teachers (w/o programming experience, maybe) don't really know C++ and have even less interest. Now, a really exciting and NOT monotous course is this. I can vouch for it because I originated it https://quantnet.com/cpp/ It is the best investment ever. I'm very...
  89. Daniel Duffy

    UK programs (LSE and Imperial)

    In general, your attitude to programming means that you are limiting your chances. Everyone codes and programs these days.
  90. Daniel Duffy

    Do "research software engineers" make good candidates for quant research positions?

    In my 45 years in software I have never heard this term before. It is pure fantasy. RSE is someone who writes (readable, reusable and maintainable) They are looking for someone to clean the mess? Yes GIGO "A Big Ball of Mud is a haphazardly structured, sprawling, sloppy...
  91. Daniel Duffy

    Math Courses/Prerequisites for MFE

    I give these. e.g, ODE/PDE is on UCB list. The only PDE course dealing with finance. And I am originator of QN C++. https://www.datasim.nl/onlinecourses
  92. Daniel Duffy

    C++ & Python

    C++ 17 Spaceship 3-way operator <==> serves the same purpose as Python's functools.total_ordering.
  93. Daniel Duffy

    what, wristwatch is this?

    I used to be OK at 2). Haven't had a watch since 1976. I just ask someone if I want to know how late it is. There are many proxies.
  94. Daniel Duffy

    Books/Materials about Term Structure Payoffs implementation

    What research have you done into this? Or is it brainstorming at this stage? Your question is kinda general. Why not purchase a commercial package? edit: for swaptions, see "C# in Financial Markets" by Duffy and Germani (Wiley, 2013)
  95. Daniel Duffy

    Books/Materials about Term Structure Payoffs implementation

    Just out of curiosity, is your question from a personal (student) perspective or for production software?
  96. Daniel Duffy

    Books/Materials about Term Structure Payoffs implementation

    Well, first there are not many books in C++ for quant finance (most authors of finance books don't know/do C++). Second, PDE methods have traditionally been for equities although they can and have been applied to fixed income (CIR, Hull White), convertible bonds and such-like. Some chapters are...
  97. Daniel Duffy

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

    What aboit GO as the C++ killer? (I apologise for posting this)
  98. Daniel Duffy

    C++ Online Certificate Students' intro thread

    That's a great name! MARCO ANTONIO BASULTO VILLEGAS
  99. Daniel Duffy

    Blog: Articles on C++11 and Computational Finance (by Daniel J. Duffy)

    Flow charts are very generic and have many specialisations. All kinds of enginers and busines analysts use it in one form or another. DFD are cool and useful and Missing In Action as we see a process of widespread deskilling in software expertise during recent years. Software development savvy...
  100. Daniel Duffy

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

    EXCELIMPORTS FAQ https://quantnet.com/threads/resolved-office-2016-numerous-errors-on-excel-tlh.46879/#post-307520 @APalley @WZhang
  101. Daniel Duffy

    Blog: Articles on C++11 and Computational Finance (by Daniel J. Duffy)

    FLOW CHARTS are useful techniques to sketch the design of a program before coding in C and C++ https://en.wikipedia.org/wiki/Flowchart
  102. Daniel Duffy

    JUST TO PARTICIPATE

    welcome!
  103. Daniel Duffy

    C++ Online Certificate Students' intro thread

    3 weeks? That's very ambitious. It does not have to a 100 meter sprint.
  104. Daniel Duffy

    LSE MSc Financial Maths or UCL MSc Computational Finance?

    My 2 cents A school that doesn't do programming (or coding as it is quaintly called) is not exactly future-proof. ML and DS are trendy, but how widespread is it really? I have no idea... I would learn C++ and Python.
  105. Daniel Duffy

    Does my Bachelor's have enough mathematics?

    I agree. But that is not the point. The style of the book is outdated and does not have decent examples/applications.
  106. Daniel Duffy

    Does my Bachelor's have enough mathematics?

    Fair enough. I'll post soon a nice example of an ordinary differential equation (ODE) from Rudin (1964) himself; page 102, exercis 17 page 156, exercise 22. The exercises are incomplete as he is essentially trying to jam ODE into 2 exercises, something 1st/2nd year undergrad will not grasp...
  107. Daniel Duffy

    Does my Bachelor's have enough mathematics?

    not to say there aren’t pieces that are constructive that's Double Dutch :whistle: I can't proceed with a reply. the nature of the subject is it?
  108. Daniel Duffy

    Does my Bachelor's have enough mathematics?

    Most real analysis is non-constructive in contrast to Computable Analysis https://en.wikipedia.org/wiki/Computable_analysis A great example is https://en.wikipedia.org/wiki/Banach_fixed-point_theorem
  109. Daniel Duffy

    Does my Bachelor's have enough mathematics?

    For the record, I said nothing about Ahlfors, just Rudin.
  110. Daniel Duffy

    Does my Bachelor's have enough mathematics?

    OK. Not sure if this is what I meant. Never mind.
  111. Daniel Duffy

    Does my Bachelor's have enough mathematics?

    I'll be 70 in a few weeks and even I knew in 1972 that Rudin was not useful. I wonder how many students get burned on Dedekind cuts (chapter 1)...... If Rudin is all you know then there is little hope to understand more advanced and applied topics.
  112. Daniel Duffy

    Does my Bachelor's have enough mathematics?

    A good exercise is to compute the Lebesgue integral NUMERICALLY of y = f(x) by hand from 1st principles, i.e. upper and lower sums. By doing this, you also learn what a level set is and how Lebesgue differs from Riemann. e.g. y = x on (0,1), exact = 1/2.
  113. Daniel Duffy

    Does my Bachelor's have enough mathematics?

    Unfortunately, that is not so. Been there, done that. OK, I had a look again at baby Rudin, in particular chapter 10. Long story short ... it does a great disservice/injustice to the topics of Measure Theory and Lebesgue integration. We used our lecture notes as basis for the real thing...
  114. Daniel Duffy

    Does my Bachelor's have enough mathematics?

    This book contains the standard 1st year graduate material on Real Analysis.A very solid background in undergraduate analysis is required to get started in reading and working through this book.In the United States one rarely finds a graduate level math textbook with solved problems...
  115. Daniel Duffy

    Does my Bachelor's have enough mathematics?

    It was a special honours degree in general. Actually, the dept prof gave those courses .. he was a PhD student of William Feller at Princeton so we were set high targets. 3rd and 4th years were even more intensive :) 50 students entered in year 1, 6 finished in year 4.
  116. Daniel Duffy

    Does my Bachelor's have enough mathematics?

    https://www.amazon.com/Problems-Variables-Lebesgue-Integration-Applications/dp/0070602212/ref=sr_1_19?qid=1659213620&refinements=p_27%3AMurray+R.+Spiegel&s=books&sr=1-19
  117. Daniel Duffy

    Does my Bachelor's have enough mathematics?

    We can agree to differ. I'm not joking about Schaum. Have you seen that book or is it a knee-jerk reaction? I did Rudin R & C in 2nd year undergrad :) (in Europe)
  118. Daniel Duffy

    Does C++ has a data structure similar to Python Pandas' DataFrame?

    AFAIR I do Bimap in my Adv C++ course.?? @APalley // TestDNS.cpp // // Simple DNS lookup with IP addressing and domain names. // // (C) Datasim Education BV 2014 // #include <boost/config.hpp> #include <iostream> #include <string> #include <boost/bimap/bimap.hpp> #include...
  119. Daniel Duffy

    Does my Bachelor's have enough mathematics?

    I don't agree that it is a good book in the sense that you claim. We used Asplund/Bungart and Riesz-Nagy, among others, I never used Rudin after 1st year! (btw I had 4 years of Measure, Lebesgue, Functional Analysis and related Probability, challenging stuff). PhD math >> Rudin. BTW his Real and...
  120. Daniel Duffy

    Does C++ has a data structure similar to Python Pandas' DataFrame?

    And for SQL-style searching you can use Bimap with Boost Multiindex https://www.boost.org/doc/libs/1_79_0/libs/multi_index/doc/index.html
  121. Daniel Duffy

    Does C++ has a data structure similar to Python Pandas' DataFrame?

    I'm pretty sure that it is all doable. Also, Boost Serialization might be useful as a simple DATA STORE. https://www.boost.org/doc/libs/1_79_0/libs/serialization/doc/index.html A nice Adv C++ project if you have time to spare. @APalley
  122. Daniel Duffy

    Does C++ has a data structure similar to Python Pandas' DataFrame?

    Standard C++ not, but it seems you are interested in heterogeneous data types (tuples!), Pandas is jut a whacky name for tuples aka structured or tabular data, yes? If yes, then Boost C++ might come to the rescue https://www.boost.org/doc/libs/1_79_0/libs/fusion/doc/html/ As sidekick Boost...
  123. Daniel Duffy

    Does my Bachelor's have enough mathematics?

    Rudin dates from 1958. It's stodgy. Been there, done that. Do people really use it? In my day it was for special honours maths degrees for those who do PHD later.
  124. Daniel Duffy

    SHOW ME THE CODE !

    yeah, but it gives a warning!!! warning C4244: 'return': conversion from 'double' to 'int', possible loss of data This is taboo in production software. I suspect truncation/rounding rules...
  125. Daniel Duffy

    Blog: Articles on C++11 and Computational Finance (by Daniel J. Duffy)

    Worlk work, work. People should relax more, like doing C++.
  126. Daniel Duffy

    Blog: Articles on C++11 and Computational Finance (by Daniel J. Duffy)

    Did they give reasons or was it just "mentioned"? And now you're asking me?
  127. Daniel Duffy

    Do "research software engineers" make good candidates for quant research positions?

    4. does that include the person who keeps the network and printers working? :giggle:
  128. Daniel Duffy

    Monte-carlo simulation (Stochastic calculus)

    I have written several books in C++ and C# for this stuff. See also. https://onlinelibrary.wiley.com/doi/epdf/10.1002/wilm.10647 MC is also done in the 2 Quantnet C++ courses. For MC foundations, Glasserman 2004.
  129. Daniel Duffy

    Blog: Articles on C++11 and Computational Finance (by Daniel J. Duffy)

    UML class diagrams for Gang of Four (GOF) Design patterns. Handy card.
  130. Daniel Duffy

    The Coming Glut of Financial Engineers

    Any updates from QN members? How's ML/AI/DL etc. progressing?
  131. Daniel Duffy

    Black Scholes equation initial conditions in c++

    OK, now you want to do this code in C++? What's C++ got to do with it?? Do you have a clue what this UNDOCUMENTED code is doing?
  132. Daniel Duffy

    Black Scholes equation initial conditions in c++

    ?? what is this?? Matlab?
  133. Daniel Duffy

    SHOW ME THE CODE !

    so. don't use auto.😵‍💫
  134. Daniel Duffy

    The changing face of New York

    BRESXIt is the root cause. The Tories want a Singapore in the North Sea and if they have to break International Law, so be it. The Europeans have left, and for a reason. The Blairite version of this was the belief that universities were the key to prosperity; and so they set about converting...
  135. Daniel Duffy

    Does my Bachelor's have enough mathematics?

    www.nuclearphynance.com www.wilmott.com might be useful. But their halcyon days are no more.
  136. Daniel Duffy

    Does my Bachelor's have enough mathematics?

    Baruch is in NYC, not Euroope, right??
  137. Daniel Duffy

    Does my Bachelor's have enough mathematics?

    The list is a bit of a disjointed hotch-potch TBH. Some of the books have a cargo cult feel (e.g. Lewis). IMHO is was not quants who caused the crash. It was coming from 2006 (in fact) but no one was interested in knowing. So why have a book reference? S. Patterson:The Quants, the maths...
  138. Daniel Duffy

    Does my Bachelor's have enough mathematics?

    It's not for me to say which book. For my courses, I use several. https://www.datasim.nl/onlinecourses/103/distance-learning-pure-mathematics-foundations Nothing wrong with ambition, but legwork is needed. 2-3 years of maths. And have you a gift for maths? Imperial is top-notch.
  139. Daniel Duffy

    Does my Bachelor's have enough mathematics?

    The book by Rudin is severely outdated. I used it at maths undergrad level in 1972. For economics background, it will be a bridge too far. Imperial might be also too ambitious..
  140. Daniel Duffy

    Projects in Quantitative Finance

    I recomend literature research based on reactions from people here. The rest is up to you. In business, an employer would expect the same. e.g. for starters https://corporatefinanceinstitute.com/resources/knowledge/valuation/option-pricing-models/
  141. Daniel Duffy

    UCB C++ Programming vs QuantNet's

    C# is a great language. We have used it since 2000 on many projects.
  142. Daniel Duffy

    UCB C++ Programming vs QuantNet's

    My Datasim ODE/PDE online course is on the UCB list. https://www.datasim.nl/onlinecourses/97/distance-learning-ordinary-and-partial-differential-equations
  143. Daniel Duffy

    Projects in Quantitative Finance

    two goals 1. learniing maths/algo 2. learning a language what is important for you. With Python a. using numpy, scipy out of the box. b. using a bit of Python (user coding) c. More extended Python. learn a bit C++ perhaps superficially) C++ is everything or nothing. It cannot be half done...
  144. Daniel Duffy

    Quantlib Installation on Xcode

    OMG, a you tube video :-)
  145. Daniel Duffy

    Projects in Quantitative Finance

    Are you a reasonably good Python coder?. Can you design/translate algorithms into Python? Black Scholes exact Monte Carlo a bit of Machine Learning etc. numpy, scipy?
  146. Daniel Duffy

    Quantlib Installation on Xcode

    anyways, those undefined symbols mean boost lib and ql lib must be linked with your project. I'm sure it's standard. .... cmake maybe?? Maybe this is useful (caveat: I not use linux since a while)...
  147. Daniel Duffy

    Quantlib Installation on Xcode

    OK, five Euro, just kidding 🖖 Some top guys are Luigi Ballabio and Peter Caspers. They are on LinkedIn. good luck
  148. Daniel Duffy

    Blog: Articles on C++11 and Computational Finance (by Daniel J. Duffy)

    One way is to describe a course at two levels. https://www.datasim.nl/onlinecourses/97/distance-learning-ordinary-and-partial-differential-equations @APalley @Andy Nguyen
  149. Daniel Duffy

    Quantlib Installation on Xcode

    Maybe https://sourceforge.net/p/quantlib/mailman/quantlib-users/
  150. Daniel Duffy

    Blog: Articles on C++11 and Computational Finance (by Daniel J. Duffy)

    For me videos are not an efficient way of studying/learning (there probably a few are exceptions, i.e. How will you learn C++ otherwise? random internet copy and paste? My videos are in 1:1 correspondence with code reality. Study them and then start coding. Be patient. Get it working then Get...
  151. Daniel Duffy

    Blog: Articles on C++11 and Computational Finance (by Daniel J. Duffy)

    Where I find an outline of the things which are taught in the course? There is a detailed TOC for sure, I can't seem to find it. @APalley
  152. Daniel Duffy

    Blog: Articles on C++11 and Computational Finance (by Daniel J. Duffy)

    Well no, it is not outdated, We do up to C++20. The two QN C++ courses are state-of-art. They are used by many univesities. There are zillions of C++ books out there, some better than others (most are outdated) . BTW you don't learn C++ by reading, but by doing. There are onlne C++ courses but...
  153. Daniel Duffy

    Notable Financial Mathematicians in Academia

    Instead (or as well) of looking for famous names, why not draw up a list of the best universities and their PhD programs. I am sure there are many top professors out there at the hieight of their intellectual powers.
  154. Daniel Duffy

    Blog: Articles on C++11 and Computational Finance (by Daniel J. Duffy)

    The 2006 C++ book is based on C++03/C++98 standard. C++ has been changed; the current version is C++20. For beginners the Quantnet C++ course is optimal. If you are (really) serious about C++ then it the best investment of a lifetime https://quantnet.com/cpp/
  155. Daniel Duffy

    UCB C++ Programming vs QuantNet's

    For QN C++, having TAs is worth its weight in gold.
  156. Daniel Duffy

    Reviewing some vector calculus

    You don't need this stuff for PDE in finamce.. Are those notes from the pre -LATEX era?
  157. Daniel Duffy

    UCB C++ Programming vs QuantNet's

    half?? not quite 895 versus 1450 That's 39% cheaper. BTW QN has embedded C minicourse + TA support. Is there a detailed outline? i.e. the precise contents etc.
  158. Daniel Duffy

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

    Update on ExcelDriver Microsoft can and does chang the API, so be warned. https://social.msdn.microsoft.com/Forums/office/en-US/7f26c4ea-d2db-486d-a1cd-5f3dc1a4ec35/excel-2010-c-integration-changes-in-put-methods?forum=exceldev...
  159. Daniel Duffy

    Blog: Articles on C++11 and Computational Finance (by Daniel J. Duffy)

    Thank you. This article is part of my 2018 C++ book. A related book is my 2022 Numerical Methods PDE/FDM book.
  160. Daniel Duffy

    transition from pure mathematics to quantitative finance

    You might like to have a look at https://www.datasim.nl/
  161. Daniel Duffy

    transition from pure mathematics to quantitative finance

    Can you pogram stuff? e.g. C++, Python. Differntial geometry is a bit out on a limb.
  162. Daniel Duffy

    Blog: Articles on C++11 and Computational Finance (by Daniel J. Duffy)

    # PingPong.py # import asyncio # Ping-pong/chess example, like a state machine async def pong(c): print(c, end = "") await asyncio.sleep(1) async def ping(c): print(c,end="") await asyncio.sleep(2) async def ping2(c): await SubPing(c) async def SubPing(c)...
  163. Daniel Duffy

    Blog: Articles on C++11 and Computational Finance (by Daniel J. Duffy)

    Coroutines for Design Patterns # PAC.py # # Simple example of Presentation-Abstraction-Control pattern. More generally, coroutines are # a better mechanism for event-driven behaviour than OOP design patterns (State, Observer, Mediator, # Blackboard, Layers, MVC). # EXX. take OOP patterns and...
  164. Daniel Duffy

    Blog: Articles on C++11 and Computational Finance (by Daniel J. Duffy)

    I am writing a new book on parallel programming/paralllel design patterns + applications in C++23, C# and Python. The software tools and cheap multi-core processors make this endeavour feasible. One new feature in C++20 is coroutines, which have many uses...
  165. Daniel Duffy

    Profile Evaluation (Math Research to Quant)

    Regarding the QN C++ course(s) (I am the originator) the examples and projects are finance-focused, e.g. Monte Carlo, PDE, numerics.
  166. Daniel Duffy

    C++ Financial Engineering Certificate - Letter of Recommendation (LOR)

    IMO (I only originated the course) if you successfully complete the course then you know your stuff. The TA and coordinator has the last word, of course.
  167. Daniel Duffy

    Reading material

    double post ... see https://quantnet.com/threads/questions-for-quants.51631/
  168. Daniel Duffy

    Questions for quants

    6) 2022 style state-of-art PDE/FDM (subumes all pde books in finance). https://www.wiley.com/en-gb/Numerical+Methods+in+Computational+Finance%3A+A+Partial+Differential+Equation+%28PDE+FDM%29+Approach-p-9781119719670...
  169. Daniel Duffy

    SHOW ME THE CODE !

    Or limbo :-)
  170. Daniel Duffy

    SHOW ME THE CODE !

    Cute. It depeds on the context. It should be (easy to modify when requirements change) if (c == true) { /// code } else { /// code }
  171. Daniel Duffy

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

    On a possibly analogous historical precedent: in the 80s C++ emerged and it could compile C code. Saved new investments. On migration, C developers created structs + pointers to them. Later they became OO classes etc. The chances of porting C++ libraries to Rust is well nigh impossible for...
  172. Daniel Duffy

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

    C++ == Bjarne Stroustrup Python == Guido van Rossum C# = Anders Hejlsberg Rust == ?
  173. Daniel Duffy

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

    Good couple of posts! Taking a contrarian viewpoint again, what's the point of Rust wrappers for Tensorflow etc. when we alreay have them in Python? On a follow-on, I would hope that function signatures/calls for Rust-TensorFlow are exactly the same as with Python. Otherwise, a new learning...
  174. Daniel Duffy

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

    sparser math libraries (ie I don’t know if there’s a good Eigen substitute, over time this has been improving), and in general the lack of industry experience around it. On a follow on question. does Rust have support for mathsy stuff like Python numpy/scipy or Julia...
  175. Daniel Duffy

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

    The Rust mindset of trying to outdo C++ is stoopid. The Java/C#/C++ languaage wars ended a long time ago. Now it should be Rust's turn to accept the status quo. All I hear at this stage is that Rust is for HFT, a very specific area. It's a low-level language. Rust is not for all things; be...
  176. 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/
  177. Daniel Duffy

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

    It does not have OOP or generics, its just different from C++ I agree. It feels like a step backwards to the 1980s.
  178. Daniel Duffy

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

    I would also say its a gross simplification to say "stone-age applications" 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...
  179. Daniel Duffy

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

    Main downsides of rust are it’s poor OOP support (ie polymorphism and inheritance is doable in rust, but harder), poorer generics/ templating support (this is actively improving), sparser math libraries (ie I don’t know if there’s a good Eigen substitute, over time this has been improving), and...
  180. Daniel Duffy

    Create Your Own MFE Program?

    Can't go wrong wiith KKOP https://www.amazon.co.uk/Introduction-Analysis-Ostberg-Perkins-Kreider/dp/B0062EK4TK
  181. Daniel Duffy

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

    I know 0.01 Rust but all languges are based on C and it compares itselt to C++ (they all do :-). Someone told me I should move to Rust but did not give any reasons... Thus, until further proof I see it as just another language. It's a cotrarian viewpoint.
  182. Daniel Duffy

    Create Your Own MFE Program?

    e.g. https://www.datasim.nl/onlinecourses
  183. Daniel Duffy

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

    1. What are the compelling reasons for using Rust? 2. Compare and contrast Rust's features with those of C++. 3. Is Rust trying to be a (C++)++, i.e. a better C++? 4. Which applications is Rust good at? 5. When will it take off into the mainstream? 6. Can I port C++ code to Rust?
  184. Daniel Duffy

    Is this a good math/programming strategy for a prospective MFE applicant?

    Sure! DM or dduffy@datasim.nl are both fine.
  185. Daniel Duffy

    Create Your Own MFE Program?

    start at the beginning.
  186. Daniel Duffy

    Valid Sudoku - LeetCode

    KKOP has the major ODEs/PDEs you need.
  187. Daniel Duffy

    Valid Sudoku - LeetCode

    And BEST book ever for folk like your good self is KKOP .. get it ASAP https://www.amazon.co.uk/Introduction-Analysis-Ostberg-Perkins-Kreider/dp/B0062EK4TK That's all your need. You gotta know a bit of finance as well. It is for (aspiring) quants. And program up the stuff .. staring at...
  188. Daniel Duffy

    Valid Sudoku - LeetCode

    This book is too theoretical and long-winded for the current context. In a more math degree it would be OK but it too has prerequisites. No free lunch. My objective was to have my book as self-contained as possible!! Good practical books...
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