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C# Pricing options using the finite difference method

UIN said:
Not sure if this adds to the discussion.
Afaik, running a C++ executable on .Net Managed Code environment will be slow compared to in other environments, like un-managed, ?nix, etc.
Click to expand...
For trading applications this might be slow.

Consider however, MV for which performance is not always the overriding concern. The productivity gains in C# = 4.0 * C++.

MV wants to test many schemes (enter design patterns).
 
UIN said:
Not sure if this adds to the discussion.
Afaik, running a C++ executable on .Net Managed Code environment will be slow compared to in other environments, like un-managed, ?nix, etc.
Click to expand...

It depends. Are you using C++/CLI or a mix of C++ and C# code?
 
TobiAkin said:
...low level...no intermediaries needed...native code...:)
Click to expand...

This is true for the first C# binary execution as the IL has to be compile to native code, however, further executions will run the native code right away.

The C++ advantage over C# is that you are writing native code from the very beginning which is very handy to tweak your app performance. On the other hand the C# language provides other features that not only increases productivity but also performance.

The parallel library is able to run several loop steps in different threads and is smart enough to figure out how many cores are available to create the right amount of threads, everything in a single line of code. I'm unaware if there are any C++ libraries that perform the same function.

My opinion: both languages are valid if you know how to use them.
 
Microsoft's C++ PPL and Intel's TBB libraries have support similart to C# TPL library.
Might be an idea to check them out.
 
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