Fixed Income Research (exc. derivatives) and C++

[Alexander Golinsky]

Hi all!! Please help.

I'm working at Fixed Income Research department of one of the leading Investment companies in CIS. Quantitative methods are not used in our research. I have a option and desire to start developing this area. I know that C++ is must-have today for quants but i dont see how C++ can be used within our work area. We don't deal with derivatives and analyse only eurobonds and local bonds (credit analysis, strategy.. no mbs, no abs, no cdo)

So the question could be formulated by two forms:
1. If i study C++ how can i possible use it for our needs (especially for strategy needs)?
or
2. What done in the area of fixed income (excluding derivatives) that requires C++.

in fact, I've already deeply in C++ issues but i dont see where i can use it for our needs. I'm looking for something that allow me to practice C++ and will be essentially needed for our department.

I hope that some answers will be of the follow form: "You can build ... model that should be done in C++, and ... analysis typically implemented in C++ and so on"


Hoping for your help, Thanks in advance!!!

 

[shivgan joshi]

Hi all!! Please help.

I'm working at Fixed Income Research department of one of the leading Investment companies in CIS. Quantitative methods are not used in our research. I have a option and desire to start developing this area. I know that C++ is must-have today for quants but i dont see how C++ can be used within our work area. We don't deal with derivatives and analyse only eurobonds and local bonds (credit analysis, strategy.. no mbs, no abs, no cdo)

So the question could be formulated by two forms:
1. If i study C++ how can i possible use it for our needs (especially for strategy needs)?
or
2. What done in the area of fixed income (excluding derivatives) that requires C++.

in fact, I've already deeply in C++ issues but i dont see where i can use it for our needs. I'm looking for something that allow me to practice C++ and will be essentially needed for our department.

I hope that some answers will be of the follow form: "You can build ... model that should be done in C++, and ... analysis typically implemented in C++ and so on"


Hoping for your help, Thanks in advance!!!

What is CISA?

Although I am a newbie myself and seniors might help you on this, what I think is that:

Everything in fixed income is Quants and every fixed income financial instrument is priced using complex quant. Even if you use Euro bonds and Local bonds their pricing is done by Interest rate models and other theories that may involve copulas to find the distributions of defaults probabilities.

C++ is faster, easier, effecient, reusable whereas VBA might seems to be easy for non-coders but it no the preferred choice for coders.

Every instrument if requires complex maths and computation power can be done on C++. All depends on where you are planning to land whether to learn C++ or VBA or C#.

You can build nearly all models that are on in C++ in VBA for data in Excel.

 

[Alexander Golinsky]

Thanks for your reply Shivgan Joshi!

1st: CIS - Commonwealth of Independent States: Russia, Ukraine, Belarus, Kazakhstan and so on.

2nd: I study now C++ and when i finish I want to use it for our needs. If something can be done (without waiting more than 5 min) in Excel, i prefer it to be done in Excel. So the question is as future quant where should i use C++. and please be more specific: pluses of C++ over vba are clear, what important models C++ allows to build is much less clear.

 

[Daniel Duffy]

An idea could be to use C# as a suitable language for fixed income, especially Excel and database integration. Here is the TOC in the recent book by Andrea Germani and Daniel J. Duffy. We discuss bonds, swap, cap, floor (single and multi curve).

If you know C++ well you will have no problems learning C#.

http://www.wilmott.com/messageview.cfm?catid=10&threadid=57264

Here is a blog on C++ compared to C#

http://www.wilmott.com/blogs/cuchulainn/index.cfm/BK

You can build nearly all models that are on in C++ in VBA for data in Excel.
Or everything in C# and declare victory.

 

[Alexander Golinsky]

Thanks for reply, Daniel Duffy!

The problem is that i'm going through "Introduction to C++ for financial engineers" and since i've started it i want to have it done and use it. I just have no idea how exactly i'll use it given the specification of our department.

 

[shivgan joshi]

An idea could be to use C# as a suitable language for fixed income, especially Excel and database integration. Here is the TOC in the recent book by Andrea Germani and Daniel J. Duffy. We discuss bonds, swap, cap, floor (single and multi curve).

If you know C++ well you will have no problems learning C#.

http://www.wilmott.com/messageview.cfm?catid=10&threadid=57264

Here is a blog on C++ compared to C#

http://www.wilmott.com/blogs/cuchulainn/index.cfm/BK

You can build nearly all models that are on in C++ in VBA for data in Excel.
Or everything in C# and declare victory.

Hi Daniel,
If I say that C# nearly gives you the power of C++ still let you remain close to excel like VBA due to .NET framework would this be a right quote?


Thanks!

 

[Alexander Golinsky]

GUYS, please anyone on my original question?????

 

[Daniel Duffy]

Thanks for reply, Daniel Duffy!

The problem is that i'm going through "Introduction to C++ for financial engineers" and since i've started it i want to have it done and use it. I just have no idea how exactly i'll use it given the specification of our department.

You probably know this support site

http://www.datasimfinancial.com/forum/viewforum.php?f=17&sid=8a1a68b8fe9407b7f51ecf88493db8ed

 

[Daniel Duffy]

GUYS, please anyone on my original question?????

So the question could be formulated by two forms:
1. If i study C++ how can i possible use it for our needs (especially for strategy needs)?

DD Anything can be done in C++ but it depends on what the requirements are. Can you say a bit more?

or
2. What done in the area of fixed income (excluding derivatives) that requires C++.

DD Again, very general question. You can do it without C++, but do you want to?

 

[Alexander Golinsky]

Thanks for helping!

i'll to be more clear:

1. I want to become quant and started to learn C++
2. When I'll finish the book, hopefully, i will use C++ for our needs
a. The needs can be summarised by credit analysis and strategy
b. No derivative are covered.
c. Nothing quantitative is done
3. The question is about future implementing C++ for our needs:
a. Assumption: if all C++ is a standard for quants then must be something that is preferably done in C++
b. If nothing quantitative is done the question then is as follow:

"What models should i build, that would be good start for quantitative research at my department and that should be done in C++ and excel, rather then vba and excel?"

p.s.: i have encountered the limits of excel in the past, while trying to fit sovereign spot curve by modified Nelson-Siegel (6 parameters) for each one of 365 days at the same time. At minimisation sum of errors stage it took app 3 minutes for Solver to minimise on day. And minimisation itself was not reliable.

Plus, if something can be done in excel, and both time of calculations and file size is acceptable, i can't see why one would code it in any other language (Generally, KISS rule)

Hope, i'm clear and specific enough.