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I am working on an interpreted quant finance library for rapid prototyping of equity derivatives mostly. I do not have any experience with such languages (I've heard of Goldman-Sach's Slang, but have never seen it).
What sort of functionality is found in such languages, and do they have some unique features which correspond to the financial markets?
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Python, MATLAB and R All three are mainly used for prototyping quant models, especially in hedge funds and quant trading groups within banks. Quant traders/researchers write their prototype code in these languages. These prototypes are then coded up in a (perceived) faster language such as C++, by a quant developer.
C++ is not as popular now but is still used. Since banks still operate legacy systems built on C++, programmers who understand the programming language still carry an advantage. Python, in particular, is important for pricing, risk management, and trade management platforms.
C++ is the programming language of choice in industry for quantitative finance because of its object-oriented nature and its efficiency.
What Programming Languages Do Quants Need to Know? C++ and Java are the main programming languages used in trading systems. Quants often need to code in C++, in addition to knowing how to use tools like R, MatLab, Stata, Python, and to a lesser extent Perl.
Have you ever considered Python? There are many mature libraries that can be used for statistical analysis, data acquisition and cleaning. To name a few:
Numpy - N-dim array objects
Scipy - library of statistical and optimisation tools
statsmodels - statistical modeling
Pandas - data structures for time series, cross-sectional, or any other form of “labeled” data
matplotlib - MATLAB-like plotting tools
PyTables - hierarchical database package designed to efficiently manage very large amounts of data
CVXOPT - convex optimization routines
I've personally implemented some pretty complex derivatives pring models in python, including a jump-diffusion Vasicek interest rate lattice, many stochastic processes, and even managed to write a genetic optimizer.
One of my professors is director of research ( PhD. in math ) at a Chicago hedge fund who uses Python exclusively.
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