C# or C++?

athletico · Post by **athletico** » Tue Mar 28, 2006 9:35 pm

You could use it for simple QF tasks, but it's really not the forte of the language. You get basic arithmetic functions in Erlang but the standard library has virtually no support for serious numerical work. Erlang really blurs the boundary between traditional programming language and multiprocessing operating system -- THAT is its strength.

Also, for quant work, you'd have to jump through some hoops to call into a dll or .net assembly. It's not as straightforward as it is in VB or C#. You can google for Comet, an Erlang-COM open-source project if you're interested. The Erlang philosophy is to trust no C/C++ code; this ensures the integrity of an Erlang node. And as far as I know Erlang has no concept of a .NET assembly - it's as untrusted as a native dll. Maybe an Erlang.NET is around the corner? Would be very nice.

A more traditional approach would be to create a calculation engine, say an impvol calculator, in C++, then use a simple ipc mechanism to do cross-process calls from Erlang. All data transport and node synchronization happens at the Erlang level.

Here's a white paper on Erlang: Open-source Erlang - White Paper

apine · Post by **apine** » Wed Mar 29, 2006 12:28 am

athletic, tr: thanks for the recommendations. i'll have to look into that. i just find certain things easier with the unix utilities. i think cygwin might be a good way to go.

fdax: easy does it. i think you took that the wrong way. i did not mean it sarcastically. okay, i knew that c# was windows. but i wanted to know why you felt that was the way to go when you are a known mac aficionado. and i am aware of your dismay at apple's "idiocy" at moving to an intel platform.

IAmEric · Post by **IAmEric** » Fri Mar 31, 2006 9:53 pm

Hi hammerbacher,

[quote]
I'm also beginning a project and have free reign in selecting the development environment/statistical tools, so looking for input...

[/quote]

What is the scope of your project? Pricing/modeling? Risk management? Both? I'd be very interested in hearing what you decide on. We are in a slightly similar position. For some risk stuff, we went with Matlab for prototyping and data visualization, but systems are pretty much C#. To integrate Matlab and C#, we plan to use the .NET builder

MATLAB® Builder for .NET 2.0

We'll probably move into more pricing/modeling soon, which brings up the question of whether this development model should be continued or if we'll seek alternatives. One of the things I'm supposed to be looking at is a product by SciComp. You might find it interesting.

Cheers,

Eric

tristanreid · Post by **tristanreid** » Fri Mar 31, 2006 10:30 pm

Dude, you're working too hard. I told them about our setup on the previous page. Tongue out

-t.

IAmEric · Post by **IAmEric** » Sat Apr 01, 2006 1:14 am

tristanreid,

[quote]
I told them about [b]our[/b] setup on the previous page.
[/quote]

Do I know you? Smiley

jsl1 · Post by **jsl1** » Sat Apr 01, 2006 2:47 am

fdax,

could I get a copy of your C# guide as well please ? In my firm development is mainly done in C++ but some parts of the job is now written in C# (GUI and our payout description language), and I am curious to know more.

thanks

FDAXHunter · Post by **FDAXHunter** » Tue Apr 04, 2006 8:04 pm

Sorry dudes (hammerbacher and jsl1) I totally missed you two. I've sent you an e-mail.

rowdyroddypiper · Post by **rowdyroddypiper** » Wed Apr 05, 2006 5:00 am

FDAX, not sure if you missed me, intentionally skipped me or hotmail kept up its practice of putting everything into junk, but could I get a copy of your C# intro. I promise not to ask where to put the code.

FDAXHunter · Post by **FDAXHunter** » Wed Apr 05, 2006 9:13 am

Sorry... brain apparently not working so well anymore.

vitieubaoldk · Post by **vitieubaoldk** » Wed Apr 05, 2006 11:03 am

You can find A LOT of CS e-books here (C#, C++, Java,... included), keep in mind if you do that, you will be robbing publishing houses :-)