Programming language of choice

[zeppellin]

Browsing through school websites for the MFE program, I have received a lot of mixed information regarding the programming language of choice in the curriculum. C++ and VB seems to be fairly frequent, but I also came across several top schools that only teach/ use MATLAB. I was interested in knowing from all you Quants out there employed in the industry or those who have a good knowledge about the industry as to what seems to be the Programming language of choice.

The reason I ask is, even though I have done extensive program in High School and my undergratuade years in C/C++ and MATLAB, that type of programming would not even fare close to what would be required in the industry. As as result, I wish to update my skills and gain additional knowledge in the language that the industry speaks prior to applying to schools. Any suggestions? Also, what depth of programming is necessitated (development level or just knowing my functions, structures, classes etc. is sufficient?)

Thanks.

 

[Andy Nguyen]

It puzzles me why "top programs" uses Matlab instead of C++. My guess is that it's easier to learn and teach it than C++. The problem is that for students coming in without prior C++ knowledge, they don't have a chance to learn programming language the hard and right way. Instead, they got to do thing the easy way.
As a fact, the number of quant job with C++ requirement outnumbers those with Matlab.
There are plenty of C++ books. My suggestion would be to start with some basic books like those from Walter Savitch and then move to Joshi book.

The link to the master list of all the book is in my signature.

 

[Daniel Duffy]

C++ is the language of choice for this industry. The mismatch is that universities do not teach C++ as a vital/integral part of the curriculum. The consequences are that 1) students not knowing C++ are at a disadvantage at inteviews and 2) the transition to object-oriented C++ and big applications is very difficult.

Learning C++ by osmosis is not effective IMO.

 

[DominiConnor]

I am a headhunter, my word is learn more C++. Then when you've done that learn more C++
Matlab questions at interview are rarer than a rare thing that they don't make any more.

 

[Telecaster]

Just out of curiosity, why is C++ considered so much above Matlab in finance? Throughout my 4 years of electrical engineering I have come to absolutely hate C++ and love Matlab. I admit that my point of view is quite biased, but the flexibility and ease of use of Matlab are what make of it the gold standard in electrical engineering. It lets you do so much in so little time and with so little effort compared to C++. Nobody in his right mind choses to simulate things in C++ if they are allowed to use Matlab. And if you have some experience with Matlab you can write pretty efficient code without using a single loop (which is one of the weaknesses of Matlab). From my experience, whenever the emphasis is on the application rather than on the coding itself, Matlab is the way to go. So could somebody tell me why C++ has become the gold standard in finance?

 

[DominiConnor]

Just out of curiosity, why is C++ considered so much above Matlab in finance?

Several parts to the answer.

Firstly, Matlab has issues that does not make it suitable for many production environments. Matlab has strengths in finding the answer, but is far weaker for the more comnmon quant task of making something others can use.

Second your difficulties with C++ are pretty standard. That means people who master it are seen as better with computers than those who don't. 60% of quant work is some form of programming, weakness is not good.

Matlab is very common in finance, but it is of relatively little use in helping you get a job, partly because it is relatively easy.



Nobody in his right mind choses to simulate things in C++ if they are allowed to use Matlab.
And if performance is not critical, and if you can restart it as necessary, but yes, it's great for your sort of simulations, but not so strong on actually doing it.

The final reason C++ is the standard is that it has been the standard. Out there you will find VBA, C# and F#, SQL, Perl, and Ruby. I even occasionally come across people using Java, but it has only just overtaken SmallTalk in quant work.