C++ course (Datasim or Baruch)

[willmlee]

Hello friends, I am trying to decide between:

1- Distance Learning - Computational and Quantitative Finance in C++ on Datasim course
2- C++ Programming for Financial Engineering (BARUCH)

3 - Also considering jumping directly to FDM Advanced course from DataSim (I have no experience with C++ though)

Can you share your experience with both programs? As a background, I am currently working in the derivs trading desk and I am trying to learn C++ to better understand the models constructed for exotic options. Also open to other suggestions

Tyvm

 

[Daniel Duffy]

Datasim C++ assumes C++ knowledge.
I recommend QN C++, it is appropriate in your case. And great support for those w/o C/C++ knowledge.

FDM is fine but ODE./PDE is an essential precondition (essentially parts A,B,F,G)

Online Courses :: Datasim

www.datasim.nl

I am the originator of these courses.

Good luck.

Testimonials :: Datasim

I could tell why the course is famous and recommended by the renowned MFE programs. The homework questions are well-organized and extremely helpful in learning important C++ concepts. Although the homeworks were challenging for me, as a beginner in C++, I found the time investment worthwhile and...

www.datasim.nl

"Actually I've searched a few PDE online courses, most of them are not closely connected to computational finance, while the DataSim course is designed for it and very well structured."

 

[willmlee]

Datasim C++ assumes C++ knowledge.
I recommend QN C++, it is appropriate in your case. And great support for those w/o C/C++ knowledge.

FDM is fine but ODE./PDE is an essential precondition (essentially parts A,B,F,G)

Online Courses :: Datasim

www.datasim.nl

I am the originator of these courses.

Good luck.

Testimonials :: Datasim

I could tell why the course is famous and recommended by the renowned MFE programs. The homework questions are well-organized and extremely helpful in learning important C++ concepts. Although the homeworks were challenging for me, as a beginner in C++, I found the time investment worthwhile and...

www.datasim.nl

"Actually I've searched a few PDE online courses, most of them are not closely connected to computational finance, while the DataSim course is designed for it and very well structured."

Thank your for your insight @Daniel Duffy . QN C++ looks very good but , DataSim C++ course seems to have more practical application content in my case. Comparing both syllabus. I am planning to study some C++ and then jump directly to DataSim C++ course. Do you think it is doable if you have basic (intermediate) c++ experience to catch up with datasim course

 

[Daniel Duffy]

I am planning to study some C++ and then jump directly to DataSim C++ course.

What's your plan, precisely? BTW you need to get to QN C++ (or equivalent) level to do Datasim C++. Otherwise coaching you would be sub-optimal for both of us.

Studying "some" C+ sounds a bit a la carte TBH.

Compare to judo; you are white belt in C++, my course is (almost) black belt.
And .... some knowledge of C is a prerequisite for C++.

 

[willmlee]

I am planning to study some C++ and then jump directly to DataSim C++ course.

What's your plan, precisely? BTW you need to get to QN C++ (or equivalent) level to do Datasim C++. Otherwise coaching you would be sub-optimal for both of us.

Studying "some" C+ sounds a bit a la carte TBH.

Compare to judo; you are white belt in C++, my course is (almost) black belt.
And .... some knowledge of C is a prerequisite for C++.

Thank you for the direct and pragmatic response. My main goal here is to learn more in depth the pricing algos used in c++ (I want to be exposed to C++ and at the same time understand better the models). I already have some knowledge on ODEs/PDEs from CQF course.

So I think the main question here should be. Is it doable to follow/understand the exotic options models of Advanced FDM course with basic/intermediate C++ knowledge?

 

[Daniel Duffy]

Thank you for the direct and pragmatic response. My main goal here is to learn more in depth the pricing algos used in c++ (I want to be exposed to C++ and at the same time understand better the models). I already have some knowledge on ODEs/PDEs from CQF course.

So I think the main question here should be. Is it doable to follow/understand the exotic options models of Advanced FDM course with basic/intermediate C++ knowledge?

Your requirements seem to be changing..
FDM has nothing to do with C++. I wrote a book in 2022 on FDM.

Here is a link to some C++, PDE, FDM.

Thread 'Blog: Articles on C++11 and Computational Finance (by Daniel J. Duffy)'

10/29/17

On this blog I would like to share some of my work.
Feedback relating to these topics very welcome.

• Daniel Duffy
• Replies: 155
• Forum: Computing

• 

 

[Daniel Duffy]

https://onlinelibrary.wiley.com/doi/epdf/10.1002/wilm.10620

 

[willmlee]

Okay, understood. If I may, now that I reviewed DataSim website I am wondering if we are talking about the same course:

Online Courses :: Datasim

www.datasim.nl

"This practical, hands-on course teaches you C++ - from the fundamental to advanced level and how to use it to create flexible and robust applications in computational and quantitative finance. Some key features of the course are:"

Prerequisites

Ideally, we assume that the student is working in finance and is acquainted with derivatives modeling. Knowledge of at least one high-level language is recommended but it is not necessary to know C.



From the website it looks like C++ can be learned throughout the course. Obviously I am not questioning the prerequisites of the course you built @Daniel Duffy . I am just wondering how can I make this works for me. I want to be able to complete the DataSim course and learn with you, but I dont have the resources to do both QN C++ and DataSim C++

 

[Daniel Duffy]

I am trying to help. But I need to know more. DM/PM me is an idea.
I have a repeatable process/best practice.
See QN C++ Testimonials.

 

[willmlee]

Thank you will see the testimonials

 

[willmlee]

I am trying to help. But I need to know more. DM/PM me is an idea.
I have a repeatable process/best practice.
See QN C++ Testimonials.

I am joining the QN C++ today . Looking fwd to learning with you @Daniel Duffy !

 

[Daniel Duffy]

I am joining the QN C++ today . Looking fwd to learning with you @Daniel Duffy !

Fantastic!
Actually, there are 2 modules on Monte Carlo and FDM 101 to do in C++.

After that you are ready for Adv FDM and I can coach you how to set up the fancy schemes and program them in "C++" if you like idea.

 

[willmlee]

Fantastic!
Actually, there are 2 modules on Monte Carlo and FDM 101 to do in C++.

After that you are ready for Adv FDM and I can coach you how to set up the fancy schemes and program them in "C++" if you like idea.

@Daniel Duffy I loved the idea tyvm! So, I will reach you out once I am ready for the Adv FDM course, looking fwd to it

 

[Andy Nguyen]

Confirm @willmlee enrolled today to the QuantNet C++ course.
Welcome to the course and I'm pretty sure with the help of our TA @APalley and the extensive community, you will find it the learning experience very rewarding.

 

[Daniel Duffy]

My 2022 book on PDE/FDM for finance is useful in this context
And I have C++ code for all schemes.

Upcoming Book on PDE Methods in Finance (planned date December 2021)

NUMERICAL METHODS IN COMPUTATIONAL FINANCE A Partial Differential Equation (PDE/FDM) Approach Daniel J. Duffy Part A Mathematical Foundation for One-Factor Problems 1.

www.linkedin.com

 

[Daniel Duffy]

In the QN C++ course we use Euler scheme for Black Scholes. It's easy but 1st order.
Now, ADE is just as easy to program. Could be an exercise next version? Let me know.

Unconditionally Stable and Second-Order Accurate Explicit Finite Difference Schemes Using Domain Transformation: Part I One-Factor Equity Problems

We introduce a class of stable and second-order accurate finite difference schemes that resolve a number of problems when approximating the solution of option p

papers.ssrn.com

@APalley
@Paul Lopez