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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, 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.

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.

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.

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

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...

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

Thanks in advance.

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 ?

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?

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.

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.

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

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.

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...

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...

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...

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...