Search results

  1. Daniel Duffy

    C++ & Python

    C++ 17 Spaceship 3-way operator <==> serves the same purpose as Python's functools.total_ordering.
  2. 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.
  3. 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)
  4. 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?
  5. 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...
  6. 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)
  7. Daniel Duffy

    C++ Online Certificate Students' intro thread

    That's a great name! MARCO ANTONIO BASULTO VILLEGAS
  8. 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...
  9. 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
  10. 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
  11. Daniel Duffy

    JUST TO PARTICIPATE

    welcome!
  12. Daniel Duffy

    C++ Online Certificate Students' intro thread

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

    COMPARE University College London MCF vs LSE Financial Math

    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.
  14. 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.
  15. 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...
  16. 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?
  17. 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
  18. Daniel Duffy

    Does my Bachelor's have enough mathematics?

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

    Does my Bachelor's have enough mathematics?

    OK. Not sure if this is what I meant. Never mind.
  20. 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.
  21. 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.
  22. 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...
  23. 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...
  24. 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.
  25. 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
  26. 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)
  27. 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...
  28. 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...
  29. 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
  30. 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
  31. 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...
  32. 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.
  33. 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...
  34. Daniel Duffy

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

    Worlk work, work. People should relax more, like doing C++.
  35. 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?
  36. 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:
  37. 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.
  38. 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.
  39. 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?
  40. Daniel Duffy

    Black Scholes equation initial conditions in c++

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

    SHOW ME THE CODE !

    so. don't use auto.😵‍💫
  42. 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...
  43. 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.
  44. Daniel Duffy

    Does my Bachelor's have enough mathematics?

    Baruch is in NYC, not Euroope, right??
  45. 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...
  46. 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.
  47. 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..
  48. 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/
  49. Daniel Duffy

    UCB C++ Programming vs QuantNet's

    C# is a great language. We have used it since 2000 on many projects.
  50. 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
  51. 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...
  52. Daniel Duffy

    Quantlib Installation on Xcode

    OMG, a you tube video :-)
  53. 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?
  54. 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)...
  55. 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
  56. 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
  57. Daniel Duffy

    Quantlib Installation on Xcode

    Maybe https://sourceforge.net/p/quantlib/mailman/quantlib-users/
  58. 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...
  59. 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
  60. 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...
  61. 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.
  62. 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/
  63. Daniel Duffy

    UCB C++ Programming vs QuantNet's

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

    Reviewing some vector calculus

    You don't need this stuff for PDE in finamce.. Are those notes from the pre -LATEX era?
  65. 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.
  66. 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...
  67. 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.
  68. Daniel Duffy

    transition from pure mathematics to quantitative finance

    You might like to have a look at https://www.datasim.nl/
  69. 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.
  70. 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)...
  71. 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...
  72. 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...
  73. 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.
  74. Daniel Duffy

    Reading material

    double post ... see https://quantnet.com/threads/questions-for-quants.51631/
  75. 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...
  76. Daniel Duffy

    SHOW ME THE CODE !

    Or limbo :-)
  77. 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 }
  78. 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...
  79. 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 == ?
  80. 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...
  81. 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...
  82. 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...
  83. 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/
  84. 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.
  85. 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...
  86. 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...
  87. 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
  88. 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.
  89. Daniel Duffy

    Create Your Own MFE Program?

    e.g. https://www.datasim.nl/onlinecourses
  90. 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?
  91. Daniel Duffy

    Create Your Own MFE Program?

    start at the beginning.
  92. Daniel Duffy

    Valid Sudoku - LeetCode

    KKOP has the major ODEs/PDEs you need.
  93. 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...
  94. 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...
  95. Daniel Duffy

    Understanding the industry and it's many moving parts.

    The discussion here might be useful. https://quantnet.com/threads/valid-sudoku-leetcode.51293/
  96. Daniel Duffy

    Valid Sudoku - LeetCode

    Another focused project is Python<->C++ interop. Not many people know this IMO.
  97. Daniel Duffy

    An interview question on Monte Carlo method

    how will this strategy be value -- zero or what value, and why? Can you explain, please https://onlinelibrary.wiley.com/doi/epdf/10.1002/wilm.10647
  98. Daniel Duffy

    Valid Sudoku - LeetCode

    Another 2 projects https://www.datasim.nl/blogs/26/msc-theses-on-machine-learning-and-computational-finance-2019
  99. Daniel Duffy

    Valid Sudoku - LeetCode

    3rd choice; get same results as in this excellent thesis
  100. Daniel Duffy

    Valid Sudoku - LeetCode

    2nd possibility: implement code based on my book https://www.wiley.com/en-gb/Numerical+Methods+in+Computational+Finance%3A+A+Partial+Differential+Equation+%28PDE+FDM%29+Approach-p-9781119719670
  101. Daniel Duffy

    Valid Sudoku - LeetCode

    Here is a possible project "Reproduce and/or improve the results in this thesis by doing it in C++20 (+ Python pybind11)" V1: standard Heston V2: rough Heston https://www.datasim.nl/blogs/29/msc-theses-on-machine-learning-and-computational-finance-2020
  102. Daniel Duffy

    Valid Sudoku - LeetCode

    Not much has changed in the grey matter of software since the 60s...
  103. Daniel Duffy

    Valid Sudoku - LeetCode

    Doing/knowing algorithms is important. Why not start with 1) understanding and b) applying industry standard STL algorithms. Use them on a need-be basis. Writing your own b-tree ADT is nice but very 90s. Leave it to C++ and other experts, just like we don't (usually) write our own matrix...
  104. Daniel Duffy

    Valid Sudoku - LeetCode

    Because Java and Python are much easire than C++. Does Leetcode Inc. have the necessary C++ skills?
  105. Daniel Duffy

    Valid Sudoku - LeetCode

    In the old days there were no sites, so you had to do it yourself. We are in a new phase of software ... the copy and paste generation. I have heard this criticism from at least 6 experienced project leaders /architects in the last months. It's a big problem. I give my first face-to-face...
  106. Daniel Duffy

    Valid Sudoku - LeetCode

    That's a nice one; fixed array + embedded set. Even std::set is good I reckon.
  107. Daniel Duffy

    Why is my C++ implementation of a binomial tree so slow??

    Or my book, chapters 11 + 12 https://www.amazon.com/Financial-Instrument-Pricing-Using-Finance/dp/0470971193/ref=cm_cr_arp_d_pl_foot_top?ie=UTF8 Right now it looks like my vectorized python approach is actually faster than my C++ implementation, which surprises me (maybe it shouldn't?). Can...
  108. Daniel Duffy

    Why is my C++ implementation of a binomial tree so slow??

    Even better: buy Luigi Ballabio's book https://www.implementingquantlib.com/2015/03/chapter-7-part-3-of-6-binomial-trees.html and install Quantlib C++ library. Piece of cake.
  109. Daniel Duffy

    Why is my C++ implementation of a binomial tree so slow??

    Profile your applicaton. Run in Release mode. // Python faster than C++? No way.
  110. Daniel Duffy

    Valid Sudoku - LeetCode

    Analogy The Ariane 5 reused the code from the inertial reference platform from the Ariane 4, but the early part of the Ariane 5's flight path differed from the Ariane 4 in having higher horizontal velocity values. This caused an internal value BH (Horizontal Bias) calculated in the alignment...
  111. Daniel Duffy

    Valid Sudoku - LeetCode

    I don't see why you need those 3 vectors row, col, box. They are just views of board. And where are they initialised? maybe std::array better than std::vector here? // the original Java HashSet is so wrong. And "char"....
  112. Daniel Duffy

    Valid Sudoku - LeetCode

    The specification is ambiguous 1. Is Example 1 an example of a valid board?'OK, yes it is. 2. "Each row must contain the digits 1-9 without repetition." is ambiguous "Each row must contain non-repeating subset digits 1-9 without repetition. Blanks are alowed." 3. It is a compile-time matrix...
  113. Daniel Duffy

    Valid Sudoku - LeetCode

    What problems are you trying to solve? Scary code and it is JAVA!!!! The term cargo cult programmer may apply when anyone inexperienced with the problem at hand copies some program code from one place to another with little understanding of how it works or whether it is required...
  114. Daniel Duffy

    Should I get take this course based on my circumstances?

    Fair enough. C++ then. I was on a stream of consciousness roll ... the genius school kid. (Doing ODE is a bunch of tricks (called methods in maths), C++ is skill). \
  115. Daniel Duffy

    Should I get take this course based on my circumstances?

    Python has its place. If you are doing data science, you can't avoid it. But if your goal is to become a computer scientist or a software developer, it's to be avoided. It can only teach you bad habits and make developing sophisticated software way more difficult than it needs to be. This is...
  116. Daniel Duffy

    Should I get take this course based on my circumstances?

    Ouch. Any concrete examples? Clever kids start their own companies. e.g. https://www.linkedin.com/in/greg-tarr/
  117. Daniel Duffy

    Should I get take this course based on my circumstances?

    From C# to C++ is the wrong direction. Haskell???
  118. Daniel Duffy

    Should I get take this course based on my circumstances?

    I don't think any schools do up to C++20. And if they do, then well done. And few even go to C++11.
  119. Daniel Duffy

    Should I get take this course based on my circumstances?

    I cannot disagree with that, but it's not even wrong. Being bright and having free time is neither necessary nor sufficient to be a "good" programmer. I'm talking writing real code, not copy-and-paste from StackExchange or using Python APIs. It takes anything between 5 and 10 years to become a...
  120. Daniel Duffy

    Should I get take this course based on my circumstances?

    The best course (based on C++ industrial experience since 1992) are the Quantnet C++ courses. In general, HANDS-ON programming as a skill to be treasured is not on the critical path of CS educatiion. Horses for courses. Just saying. Last but not least, QN's TAs provide round-the-clock support...
  121. Daniel Duffy

    SHOW ME THE CODE !

    why += (more appropriate for numeric types) instead of append() ++i is better than i++
  122. Daniel Duffy

    Career advise

    I would learn C++ and after that you will be in a position to embark on useful projects. https://quantnet.com/cpp/
  123. Daniel Duffy

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

    yes, because everything will be transacted in rubles?
  124. 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
  125. Daniel Duffy

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

    "you cannot do that in safe rust" every freaking time from Rust expert, " Rust treats you like a child/criminal. C++ == grown-up adult.
  126. Daniel Duffy

    Lawyer quits his job and wants to become technical. Is he being foolish?

    math kids could teach themselves cs better than cs kids could teach themselves math. Because CS is a subset of Maths, although CS profs will disagree. But the best programmers I have experienced in the last 50 years (i.e. who can build complete systems) are not necessarily maths, CS...
  127. Daniel Duffy

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

    Just thinking about succesful languages ... many of them are based on C syntax style. Even Java has it. Rust seems to have gone its own way ... so developers have to change gears in learning new syntax.
  128. Daniel Duffy

    Aspiring quant in need of advice

    Prego, I can only say what technical projects might be interesting, e.g. PDE, Monte Carlo, ML I have have some recent theses www.datasim.nl For maths, my recent book is useful...
  129. Daniel Duffy

    Aspiring quant in need of advice

    I would go for Sapienza for maths. Maths in Italy is strong. And learn C++ ASAP, really. Crepi il lupo. // Ho studiato analisi numerica a Pavia alcuni anni fa.
  130. Daniel Duffy

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

    The Beatles also wrote in C, Bach in C# major Be honest: who writes music in Rust? You see, no one.
  131. Daniel Duffy

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

    And we can add C++/CLI. BTW What about Ada (a well-kept secret?) https://www.adacore.com/company/our-customers https://en.wikipedia.org/wiki/Ada_(programming_language) Because of Ada's safety-critical support features, it is now used not only for military applications, but also in commercial...
  132. Daniel Duffy

    AI and the Future

    Hugely embarassing and counter-productive for AI as a technology. I hate all those buzzwords. You would expect thsese "emiinent" computer scientists to behave better.
  133. Daniel Duffy

    AI and the Future

    What would it take for artificial intelligence to make real progress? https://nautil.us/deep-learning-is-hitting-a-wall-14467/ Geoffrey Hinton, “Godfather” of deep learning, and one of the most celebrated scientists of our time, told a leading AI conference in Toronto in 2016. “If you work as...
  134. Daniel Duffy

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

    People are very clannish. I like all languages that begin with a C.
  135. Daniel Duffy

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

    A random guess is that C++ is a good candidate for Blockchain work.
  136. 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...
  137. Daniel Duffy

    C++ Multithreading in Boost

    These days C++ has support for parallel processing and multithreading. Also, PPL has ready-to-use parallel design patterns. https://en.wikipedia.org/wiki/Parallel_Patterns_Library...
  138. Daniel Duffy

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

    It would be for kiddy stuff in C++. My biggest disappointment was someome telling me that I should learn Rust. I said NO and he got angry :ninja::ninja: At least he didn't mention GO. People can get up tight about languages. Funny old world.
  139. Daniel Duffy

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

    C++11 https://en.wikipedia.org/wiki/C%2B%2B11 Not C++11 == (C++20 + C++17 + C++14) - C++11
  140. Daniel Duffy

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

    https://www.open-std.org/jtc1/sc22/wg21/docs/papers/2021/p2186r2.html This status-quo hasn’t changed in 12 years. The maintenance burden on the Standard is near minimal, and we hope the Committee spends almost no time agreeing to remove this unused and unimplemented feature, despite its origins...
  141. Daniel Duffy

    AI and the Future

    https://www.engadget.com/google-fires-ai-researcher-over-paper-challenge-132640478.html The company hasn't detailed why it fired Chatterjee, but told the Times he'd been "terminated with cause." It also maintained that the original paper had been "thoroughly vetted" and peer-reviewed, and that...
  142. Daniel Duffy

    Berkley MFE pre-program reqirements

    My ODE/PDE is recommended by UCB MFE preparation. For undegrad, no feedback but it would not be a bad idea (I am a bit biased :))
  143. Daniel Duffy

    Berkley MFE pre-program reqirements

    An observation on PDE/SDE books and courses is that the focus is centred around the mathematical foundations (nothing wrong with that). However, these paper models are only a 1/3 of the story because we need numerical solutions which we then implement in C++. It is a kind of anti-pattern...
  144. Daniel Duffy

    Berkley MFE pre-program reqirements

    Just out of curiosity, could you program Black and Scholes PDE using Crank Nicolson (plain and American call/put) using C++? How long would it take you?
  145. Daniel Duffy

    Berkley MFE pre-program reqirements

    Fair enough. FYi I have heard many unis don't teach PDE at BS level. BTW can you "program" PDEs in FDM? I have not seen any course that does Black Scholes PDE A-Z. I do it all as well as FDM and C++ for PDE/FDM...
  146. Daniel Duffy

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

    It all sounds a bit fuzzy Are you employed to develop software for research? Are you spending more time developing software than conducting research? Are you employed as a postdoctoral researcher, even though you predominantly work on software development? Are you the person who does computers...
  147. Daniel Duffy

    Berkley MFE pre-program reqirements

    These are hardly trivial. My ODE/PDE is on the UCB site. https://www.datasim.nl/application/files/9015/4809/1157/DL_Ordinary_and_Partial_Differential_Equations.pdf
  148. Daniel Duffy

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

    I did a critique of software for COVID-19 that falls into the bespoke category. Very depressing https://onlinelibrary.wiley.com/doi/epdf/10.1002/wilm.10890
  149. Daniel Duffy

    Berkley MFE pre-program reqirements

    What kind of "trivial stuff"?
  150. Daniel Duffy

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

    My 2 cents Titles and badges mean nothing. Can you program real applications?
  151. Daniel Duffy

    Seeking advice on prerequistes for MFE and Ms application prep

    I am the originatior of 2). For MFE students. Parts A,B,F and G and doing exercises are good for Certificate. I personally coach students and this is the only course that also does ODE/PDE for fiinance. I even wrote a book as support (which students receive :)) It is a hands-on course...
  152. Daniel Duffy

    Undergraduate Financial Engineering

    Measure Theory topics discussed here. https://www.datasim.nl/application/files/1315/5947/7165/DL_Pure_Mathematics_Foundations.pdf MT is a bridge too far without proper mathenatical backgound and training.
  153. Daniel Duffy

    Aspiring Quant

    And who knows, in a few years the world will have changed into one big blockchain..
  154. Daniel Duffy

    Aspiring Quant

    You asked about what next 1. More techniques and tricks, always possible. 2. Group theory and geometry https://ekhukhro.files.wordpress.com/2017/07/group-theory-17.pdf I did 2 at 16 .. for you it would be a good "sabbatical". You learn new mathematical ideas.
  155. Daniel Duffy

    Aspiring Quant

    Flattery will get you nowhere with me. :thumbsup: I like your sense of humour.
  156. Daniel Duffy

    Aspiring Quant

    Robert Boyle! Take care of your punctuation.
  157. Daniel Duffy

    Aspiring Quant

    Wow, a man for all seasons.
  158. Daniel Duffy

    Aspiring Quant

    What about a career in Greek (Ancient, of course) and Politics?
  159. Daniel Duffy

    Aspiring Quant

    But I met the scholars.
  160. Daniel Duffy

    Aspiring Quant

    Yes. It's people I don't understand. You are quite precocious for a 16-year old. Are you at a public school.
  161. Daniel Duffy

    Aspiring Quant

    You're too young. What do you do for fun?
  162. Daniel Duffy

    Aspiring Quant

    Are you really only 16? BTW your questions are chaotic.
  163. Daniel Duffy

    Aspiring Quant

    16 (school kid) and you know about PDE and Paul Wilmott? 🙂 for PDE this book is most up to date https://www.wiley.com/en-gb/Numerical+Methods+in+Computational+Finance%3A+A+Partial+Differential+Equation+%28PDE+FDM%29+Approach-p-9781119719670
  164. Daniel Duffy

    How can I improve my profile?

    If I were a student this course would be a priority. I'm a bit biased.
  165. Daniel Duffy

    How can I improve my profile?

    Absolutely! I've originated this course exactly for you :-) best on planet + great TA support. https://quantnet.com/cpp/ @APalley
  166. Daniel Duffy

    How can I improve my profile?

    Can you program in C++, Python ..
  167. Daniel Duffy

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

    Something that is not widely known .. There is a third way between searching for an explicit solution (a big favourite!) and a numerical solution In mathematics, the qualitative theory of differential equations studies the behavior of differential equations by means other than finding their...
  168. Daniel Duffy

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

    My alma mater has PDE I and II, watered-down compared to my day https://www.maths.tcd.ie/undergraduate/modules1617/MA342T.php And much less than my online ODE/PDE https://www.datasim.nl/onlinecourses/97/distance-learning-ordinary-and-partial-differential-equations What is PDE without FDM...
  169. Daniel Duffy

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

    Where will the rocket scientists come from??? Early 20th century things started going wrong Mathematical Physics experienced a schism into Mathematics and Physics ... beginning of the end. The mathematicians fell in love with symbols and the physicists lost touch with reality. Grosso modo.
  170. Daniel Duffy

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

    remark: every uni should have PDE courses. It's kind of fundamental. Without PDEs where would we be? https://en.wikipedia.org/wiki/Navier%E2%80%93Stokes_equations
  171. Daniel Duffy

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

    My own background has been heavily influenced by pure maths, numerical analysis and PDE research and industrial 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...
  172. Daniel Duffy

    I have a pure math degree and will go for a masters program in applied/computational math. Is becoming a quant worth trying in my situation?

    PDE is kind of specialised, indeed. And in C++. From your list, I think this shortlist .. getting a job is never a guarantee of course. My 2 cents o Scientific Computing with Python (and C++) o Monte Carlo Simulation o Mathematical Computation III: Numerical Methods for PDEs o Numerical...
  173. Daniel Duffy

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

    Some unis request it https://www.datasim.nl/onlinecourses/97/distance-learning-ordinary-and-partial-differential-equations
  174. Daniel Duffy

    I have a pure math degree and will go for a masters program in applied/computational math. Is becoming a quant worth trying in my situation?

    are almost all pure math courses That's fine, but I would focus now on "applied pure maths" aka numerical maths.
  175. Daniel Duffy

    I have a pure math degree and will go for a masters program in applied/computational math. Is becoming a quant worth trying in my situation?

    I am not the best person for this but all I can say is you have a fighting chance with the above topics. My new pde is out, might be useful to look at TOC. It's PDE A-Z for finance...
  176. Daniel Duffy

    Why banks need C++ developers more than ever

    https://appinventiv.com/blog/best-blockchain-programming-languages/ "C++, introduced back in 1985 by Bjarne Stroustrup, is the best programming language for cryptocurrency development. "
  177. Daniel Duffy

    Help for Dissertation Topic

    Isn't it a tutor's job to help you?(?) Or maybe they want you to research into this short-list?
  178. Daniel Duffy

    Interview question: "What is your greatest weakness"

    Overestimating your ability/underestimating complexity, for example in software.
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