Best Programming Language for Finance

[Daniel Duffy]

Many quants use Visual Studio. It is user-friendly and interfaces with Excel.

STL and Boot template libraries.

I suppose Linux is for non-GUI communication and fast stuff.

And then VBA, C#, Java, OCaml ....

 

[Tsotne]

Hello,
Just finished reading this topic. I have questions: What type of C++ and platform quants usually use at work: Visual C++ for Windows or for UNIX, Linux, Free BSD etc? What library, templates do you use? Do you have special IDE's for quants? How about SQL, if yes which one? Do quants develop complete huge 3 tier architecture solutions or they just create small modules for it?
Thanks!

Depends on works. Visual C++ is used on many OSs. .NET platforms are used but not that much as raw C++ algorithms. C++ libraries are typically applied in many computational problems and modeling applications in Excel spreadsheet as well as other programs. As for libraries and templates, there are many custom-made ones in many fields including statistical applications, copula modeling templates for each copula. There is no "special" IDE (if I got the point correctly) for quants. You can find many IDEs useful. Visual Studio environment is most popular I believe. C++ compilers differ as well depending on the type of application that particular workplace is developing like: just writing algorithms, deploying many GUI elements requiring visually heavily loaded compiler, web interaction (for which C++ is less used I believe), etc. As far as SQL is concerned, it depends on many things. Typically all SQL servers are used: MS SQL, MySQL, Oracle database, etc. But TBH it depends on the size of the data the database is expected to store as well as other factors. But SQLs are similar in many things. Once you learn one SQL (MS SQL) for example, then you'll find moving to others' specifics easier.

 

[bilim]

Thank you!

 

[BobArmstrong]

For a lot of complex Financial applications at all scales , the Array Programming Languages virtually have a monopoly .

See http://vector.org.uk/ for current community activity .

Check out the APLs from IBM , Dyalog , APLnext , and the variants J and Kdb ( Q ) . Python , R , and Matlab have implemented a number of ideas from the APL tradition . Morgan Stanley continues to use Arthur Whitney's ( the creator of Q , nee K ) A+ . SmartArrays has a library , interfaced to most standard languages and operating systems , implementing the essential array functions abstracted by a couple of the implementers of the most prominent traditional APLs

 

[Tsotne]

Most applications are made for computational purposes not surprisingly, so feature rich environments in terms of graphics and GUI don't rock here. The power and speed of code algorithms are ones which actually matter (including their libraries support). I recently played a bit with Mathcad and quite liked it (it is not a programming language though).

 

[Andy Nguyen]

http://quant.stackexchange.com/ques...re-most-commonly-used-in-quantitative-finance

 

[Tsotne]

The extract from that conversation linked above:

Fortran is still quite popular in academia, but has only a tiny market share in banks... Much “C++” code in banks is really much like C, and one does see “C++” code that is written using the C subset but trying to be like Fortran.

Is this true about the popularity of Fortran?

 

[cgorac]

Is this true about the popularity of Fortran?

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

 

[Tsotne]

Would most Quants agree that C++ is the best programming language to use to; price and structure financial derivatives?


http://quantlabs.net/blog/2011/05/w...to-price-and-structure-financial-derivatives/

 

[alain]

http://quantlabs.net/blog/2011/05/w...to-price-and-structure-financial-derivatives/

I read around this site and I just found miss-information everywhere. Looks more like random posts with no coherence.

 

[Andy Nguyen]

http://quantlabs.net/blog/about/

 

[alain]

http://quantlabs.net/blog/about/

Oh, I see. Still it's no very coherent. It seems all the posts are from the same user and there is no rhyme or reason why he made some of the comments he made. Well, let's get back to the original thread.

 

[StaceyL]

@tsone: found your previous comment on the various programming languages interesting. Seeing you mentioned MySQL and my organization is beginning to show interest in storing stuff on the cloud -- have you had experience with programming financial systems on/for a MySQL cloud (like this one)? I'm trying to see if these dots connect... --Stacey

 

[Ortnex]

Hi All,

From my experience working in a top tiers bank on the trading floor, SQL and VBA are the must if you want to get an interesting position.

SQL is crucial if you want to know how to manage the data and VBA is still widely used for fast coding.

There are a lot of classes out there you can try, www.vba-finance.com can be a good starter as they mix SQL and VBA in their classes.


Good luck!

 

[Daniel Duffy]

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

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