Search results

Can you tell who is the tutor of the post-doc ? Personal website? Thanks.

I think I need to consider different currencies, not just USD. Maybe I also need to set an upper limit? Is there a STL / string function to directly convert digital number (maybe also plus decimal point) to double number?

Part of my course project (simulate a payment system) requires me to write a C++ code to implement following: ----------------- Accepts a string (input), judge whether it is a valid currency amount or not. ---------- I hope you guys can give me suggestions for: (1) What kind of possible input...

Hi Andy, Thank you for valuable input. I am hesitating in learn Perl or Python, and your input is really helpful. I already learned SQL, playing all commands under SQL command line. Now, I think maybe it is time to play with some SQL programming. I am familiar with C++, but looks like, from...

I just want to practice some SQL programming...what language do you recommend for SQL programming? Python, C++?

Can you give some hints for importing csv to MySQL? Thanks a lot.

Hi, I am learning SQL programming with Perl. Is there any free MySQL database of financial data that I can download to my computer and practice programming with it? Thanks.

The Mosek link libraries are only in folder ''C:\Program Files (x86)\Mosek\6\tools\platform\win32x86\bin'......so I think I set correctly ---------- Post added at 08:05 PM ---------- Previous post was at 07:46 PM ---------- Found the reason: I should input "C:\Program Files...

So, you mean people don't like Visual studio? ---------- Post added at 07:03 PM ---------- Previous post was at 06:57 PM ---------- I downloaded a student evaluation copy of Mosek. First thing is test with example codes. In Visual studio, I set correctly 'additional library directories' and...

Which packages in GSL that you used for optimization? I quickly browsed the reference manual, looks like the 'simulated annealing' and 'Multidimensional Minimization.' are relevant. However, looks like their functions are limited in term of solving nonlinear optimization (comparable to Matlab...

Thanks for replying. All these are commercial codes. Anyone ever tried some open source libraries providing relatively nice optimization capability (certainly may not as powerful as those commercial ones)?

Thanks a lot, ramnik. I am curious about how the portfolio optimization is implemented with C++ in those algorithm trading companies. They wrote their own 'efficient' library to do optimization calculation?

Something like Matlab Fmincon or fminsearch, which can do constrained / unconstrained nonlinear optimization? I mean, the C++ optimization lib used in industry, not just the google search results. Thanks for inputs.

Thanks a lot, iddqd, you gave me a nice starting point.....

Since I works under Linux and sometimes back to windows, I prefer the method is system independent. So, I guess the best way is to convert the excel to csv file. Anyone has suggestion about how to read CSV file? I can practice different method, but if someone has good idea, that may save me...

According to the download page: --------------------------------- It will write banner in first row of each spreadsheet and it will be able to read only 100 cells (first row is unavailable). Buy a license key to remove banner and reading restriction. ---------------------------------- So...

I have an EXCEL spread sheet containing 50 columns, and 23 columns are for numerical data, and 27 columns are for texts. What I want to do is to extract the numerical data from the spreadsheet, use one vector to hold one column of numerical values. Previously I used Matlab to do the...

When registering on Barclay website, following question needs to be answered: From the research that you have done on our industry, how does Barclays Capital differentiate itself from our competitors? Anyone can give some hints? Thx.

Anyone can recommend nice paper(s) or book(s) about HJM model, especially including practical implementing of the model, such as calibration....... Brigo's Interest rate book gives nice talks about BGM model, but not HJM. Thanks a lot for your input.

That make sense ...... But, a little funny thing is, some famous quant recruiters referring US students to NYC firms are London-based ........

Will companies and recruiters in London might consider job applicants in US? Onsite interview is both expensive and inconvenient for them, right?

I did lots of furve-fitting in my Engineering PhD study, and the nonlinearity of function is very high. Sometimes the function may includes integration or differentiation. I seldom used curve-fitting function in Matlab. I always used either FMINCON or FMINSEARCH to do fitting via optimization...

Hi all, Generally what C++ lib is most used in quant area for implementing numerical computing? For example, for linear algebra, BOOST, LAPACK++, Armadillo, Eigen, Seldon, Blitz, SparseLib++, IML++, SL++,......., which is widely accepted in performance, efficiency, accuracy, and convenience...

Two following questions: (1) Looks like MS SQL server is popular, but that is only limited to Windows, right? I thought lots of financial companies are using Linux/Unix.... (2) How is PostgreSQL used in financial industry?

MySQL, PostgreSQL, Oracle,...... ?

Hi Lugh and elliot, Thank you very much for answering my question. Different people have different learning preference, so I am glad both of you recommended your preferred book, which gave me a chance of more choices. I got both books of Josuttis and Austern from our school library. Looks like...

How is the book about STL? Using the STL: The C++ Standard Template Library

Thanks in advance.

Great, thanks a lot for your suggestions!

So your opinion is to stick with container provided by C++ standard library, right?

Hi Eugene, thanks a lot for reply. From the viewpoint of application, what's the difference between linked data structure, and containers? From my understanding, the data structure can be programmed by both linked data structure approach and container approach, but I feel like using class to...

In C++ textbook, there are topics in sequential container, associative container, generic algorithms. Do you guys often use these for data structure in your work? Or, linked data structure construced with class is sufficient for programming on data ?

Hi guys, thanks a lot for replying. I ever used an open-source CMS to develop dynamic website. In order to custumize the appearance and functions of the sites, I learned some PHP + MySQL. I have Visual studio installed in my PC and I think Access is included, but I never used it. I am just...

Looks like, for quant job, knowing database is not a MUST but a PREFER. If I want to learn database, how shall I start? Any book to suggest? is it necessary to learn how to use C++ to work with database? Thanks.

Is it necessary to install BOOST before installing QuantLib?

Eugene, Thank you sooooooo much !

I hope to find a book to learn quickly, not for becoming expert, just for interview. Also, if the book touches finance, that would be nice. Thanks a lot.

This is not a meanful answer to such a question, which is a real interview question from a wallstreet bank.....Anyway, thanks for suggestion.

Array-sorting question GIven a special programming language, no for or while loop, but you are given function that can add an element in front of array, and a function comparing two elements. Can you use this language to sort an array? BTW, any idea about using European option to replicate...

It's at the end of October. I already registered online. Any guy ever attend last year job fair? How was it?

So, write data from C++ to a data file, then plot with excel, matlab, gnuplot ........good idea! why I havn't think about this, damn! :) When an artist paints, he always put a mirror before the board. Even though he paints on the board, he watch on the mirror to see his painting. Just...

Indeed, the final goal of my question is not how to plot in C++. Instead, I mean, after you use C++ calculated numerical results, such as arrays x[] and y[], how did you visualize y~x? such as something like plot(x,y)?

What C++ library you generally use for plotting scentific data?

My original understanding is Boost is a general lib, but Quantlib is specific to FE, but didn't know that Boost is required by QuantLib. I just begin learning how to implement C++ in finance......so, a newbie question :)

Curious about ---- which is more used for quant jobs? Or combining both?

Hi, I am from purely engineering area and only used C++ and Matlab in my PhD study. Can someone tell me what's the function of UML in quant jobs? Relation with C++ or Matlab? Plan to grab a UML book to read, but can not find a book telling how UML is used for finance. Thanks a lot.

cool, thanks a lot.

Hello all, I have been using C++ in my PhD study (mechanical engineering) for a few years. My question is, to become a quant, what kind of specific C++ skills are required, or recommended, for finding a quant job? Thanks a lot for your input. Regards, Derek

Thank you so much, parisjohn. Your input is very very helpful!

Hi, I already finished modeling short rates of USD and GBP using Hull-WHite model. Now I need to model exchange rate between USD and GBP. Anyone can give me some suggestions about this? such as recommending some good papers, books, published models....... Thanks a lot.

Any one can give me suggestions? Still waiting ...... Thanks a lot.

Hi Pulco, Thanks a lot for your reply. The two parameters that I obtained from calibrating Hull-White model is: ($a=0.068$) ($\sigma=0.015$) These two parameters give good fitting to swaption volatility data, and also they match the data range recommended by John Hull. I ever tried...

I increase the number of path to 100,000,still got almost same result.

Thanks a lot for your helpful answer. So, I assume generally you get smooth rate curve, that's why you suggest more path, right? I will try with more path. However, by tuition, I think too smooth curve may not be realistic, since market volatility shall 'distort' the curve......maybe I am wrong.

Hi, I need to model currency exchange between USD and GBP. I already have models of instantaneous spot rates for the two currencies. Can anyone recommend models for simulate currency exchange? Thanks a lot.

Hi all, I am using Hull-White model to simulate short interest rate. I already built LIBOR curve (from LIBOR data, Euro-future data and swap data). I also obtained parameters by calibrating H-W model based on market swaption data. Now what I am doing is to use the obtained H-W model parameters...

Free access to financial data Hi All, I need bond price data of the day of May 5, 2009. Since this is history data, I guess it shall be available somewhere on the internet, no need to bother with Bloomberg. Generally, what website(s) you use frequently for retrieve those financial data...

I am 80% in Linux (Ubuntu and Redhat), and 20% Vista. I am gradually giving up Windows, but may not 100% switch to Linux due to VBA. The reason I am still using Windows is, I am writting my PhD thesis. After I generate PDF file from Latex, I have to convert it to Word file so that my advisor can...

Got it! Nice clarification, Thanks a lot!!!

I am learning LDN now..... But......I am new to this area, so I am still confused why we bother with LDN ....... For example, suppose I need to use Monte Carlo simulation for valuing a 30-year contract. I plan to run 10,000 times of calculation and find average. Using dt=1 day, I need to...

Can you explain in more detail about 'equally' distributed? Thanks a lot.

Thank you so much, Peter. I will learn something about LDN ...

I checked MATLAB manual, it says that the default random stream is Mersenne twister (used by default stream at MATLAB startup), which has the property of: Approximate Period In Full Precision = 2^19936 -1 Since this full period value is much larger than the number of random number that I need...

I figure out what the problem with the code now. Even though each loop of the code gives different random number, everytime run the code still give same sequence. So, skip my previous question. Now, my question is: I need to generate 10,000*10000 =10^8 random numbers, how can I make sure this...

Hi, I plan to do 10,000 runs and then calculate average as expectation. For each run, I have 10000 steps, therefore I need to generate 10,000*10000 normally distributed numbers. I am using MATLAB for coding. I heard from someone (a class that I attended) that However, I tried following...

Hi Bob, Thanks for your reply. I think you are right, since a quant from the company (we are doing project for this company) told me that the stike shall be the forwared rate at the time of option expiration, whcih is same as what you said. Thanks a lot.

Thanks for replying. I communicated with Bloomberg help desk, and was told that 'he/she have no idea about this.' Really not confident about Bloomberg's help desk.

Anyone has idea about this? Still waiting online....thanks.

Hello, I am doing a MFE course project involving Hull-White short rate model. (dr=[\theta(t)-a\cdot r]dt+\sigma dW\(t\)) Currently we are assuming (a) and (\sigma) are constants and plan to use market swaption data to calibrate the model to obtain these two parameters. For H-W model, there...

Hi, I am a PhD student in computational mechanics, focusing on finite element methods (FEM), also a dual degree 1st year student in MFE. I ever used both finite difference method (FDM) and FEM, and know much about the comparisons between these two numerical methods. However, all these...

Cool. Thanks a lot!. Now focus on R ......

I know Alain answered, but he may represents his own company. I just want know more opinions. This shall be reasonable, right? I shall mention that Alain is greatly appreciated for his answer.

I made google search,....someone said it is better that SAS appears in resume than R does. Do you guys agree with this? For a student, I need to select the one good for job hunting.

I am in school now, and both R and SAS are available. So from what you said, maybe I shall start with SAS? At the end of this year when I graduate from my MFE program, I will look for quant job. Which coding skills will be better, from the view point of recruiter?

I have used both R and SAS for a while in school. Now I plan to choose one from them and learn in depth. Anyone can give me suggestions about the choice, form the view point of quant job? For R and SAS, which is more used among quants? I know R is very powerful, can do almost all things that...