You can easily buy a machine with 1 TB of RAM today (for maybe 15k USD?). So you don't really need "bid data" technologies unless you want to use them for their parallelisation capabilities rather then for their data volume handling capabilities.

I would recommend this slide deck for an explanation of the space of SIMD/SIMT/XXXX possibilities and what they mean.

Since C++ packages are directory based and fairly simple general purpose package managers can do the job of managing C++ packages quite well. I quite like NiX

Check that the DLL you built (i.e., the xll file) has the xlAutoOpen function (use a library inspection utility of some sort).

<r>No recompilation should be necessary as Excel add-ins register themselves the functions they want to expose rather than these functions being loaded from the "dll" in some standard way. This means that new add-in functions can be defined at run-time and in the case of Python integration addins th...

QuoteOriginally posted by: farmer At least wait until Deutsche actually sells their software before writing a story about it.This was my indeed my original question -- do people here know of on-the-ground steps taken to follow up on this pronouncement?

<t>Good idea, but I've always been a bit skeptical it will get much traction. However, from FT via FT Alphaville on Friday:QuoteDeutsche Bank is seeking to convince rival investment banks to share markets and trading software in an effort collectively to lower costs for the financial industry, repor...

It can do Taylor expansions, but I have not myself much exercised this functionality.

Works I think in Maxima, see the listing below. And Maxima has the advantage that we can collectively make it better as it is open-source...

The HDF5 library is designed pretty much exactly for this... It has options to memmap files when opening.

<t>If you buy a naked fixed-for-floating swap you are essentially running a synthetic bank, lending at the long term rate and borrowing at short term rates. Does it make sense to talk about return for a bank? How do you account for costs of maintaining a high credit rating and providing suitable col...

See http://www.gotw.ca/gotw/066.htm . Many interview questions derive from GOTW, although sometimes they've been passed down through so many generations that the interviewers do not remember that any more...

You probably want to use something like GLPK (http://ftp.gnu.org/gnu/glpk/) rather than QuantLib for this type of linear programming problem.

<t>Excessive copies is reckognised as one problem in some std:: algorithms. In fact the boost::ref library was written precisely to address this problem in some cases. In your case you would need to use both boost::ref and boost::bind, so that is breaking your constraints, but if you are interested ...

You can use the C# wrap of QuantLib generated using the SWIG program. See Quantlib-SWIG part of the QuantLib repository