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R and C++

olgenue

Joined
3/25/07
Messages
25
Points
11
I recently have been introduced to R, a statistical programming language and really enjoyed using it for implementing derivatives models. It is just more user-friendly and intuitive as compared to C++.

Of course, implementation can also be done in C++ as well and in fact most firms encourage and prefer C++ knowledge.

My question is, why is C++ the preferred language for financial engineering?

From personal experience, C++ is not the easiest language to learn and as with most languages, one needs lots of practice and playing around with it to become good at it.
 
speed and legacy systems would be my guess, perhaps my better informed classmates can comment further
 
olgenue said:
I recently have been introduced to R, a statistical programming language and really enjoyed using it for implementing derivatives models. It is just more user-friendly and intuitive as compared to C++.

Of course, implementation can also be done in C++ as well and in fact most firms encourage and prefer C++ knowledge.

My question is, why is C++ the preferred language for financial engineering?

From personal experience, C++ is not the easiest language to learn and as with most languages, one needs lots of practice and playing around with it to become good at it.
Click to expand...

Legacy, speed, a vast pool of programmers and designers, OO paradigm... even job security could be added in the mix.
 
Regarding R, companies on the street use S-Plus as implementation of the Statistical language S (the foundation of R). S-Plus is a commercial product while R is the free version. There are are a lot of reasons why free implementations of different products are not widely use.
 
Let's not forget about Matlab.
I have talked to people at hedge funds, trading desk, investment bank and never heard anyone mention R once.
And I heard Excel/VBA/C++/Matlab/SAS/SQL over and over.
There are other things out there like .NET, C#, Java but they are not often associated with front office as far as I know.

Learning R is always a good thing because the knowledge is pretty transferable to another package but be aware of who and where they use that package so you can tailor your job search.
 
I don't think you can do as much using R. C++ allows you to build full programs, you can create dll's to be used with Excel. While you can do many things in R, there are restrictions. For example, the memory is controlled by the software and it won't let you declare a huge matrix, and I don't even know if there is a way to allocate matrices dynamically in R, not even to mention pointers.
 
S language implemented on either the R or S-Plus platform is one of my favourite modeling tools. Used in the right situation can provide incredible boost to one's productivity. Think of it as a tool to quickly prototype and test complex models. It is also used extensively by one of the rating agencies (S&P) AFAIK.
 
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