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suraj89
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Joined: March 10th, 2007, 3:28 pm

Interest Rate Derivative Trading - Programming Skills?

May 22nd, 2007, 3:06 pm

Hi,I'm looking to pursue a career in interest rate derivative trading. Just wondering, how important is having programming skills/experience for this type of role.Thanks
 
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Gmike2000
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Interest Rate Derivative Trading - Programming Skills?

May 22nd, 2007, 4:29 pm

It is as important as having two legs if you want to pursue a career in soccer.There is absolutely no f*cking way you can do this job without at the very least knowing VBA. There is absolutely no arguing about this either. Folks who started 15 yrs ago can still sort of cruise by without having those skills, but they got other things to compensate for that (experience). Anyone else who starts these days...you gotta have programming skills. Period.What programming? Here we go:VBA is a must. C++ is almost a most....it increases your salary by perhaps 30%. Java is going to be the new VBA in a couple of years. Matlab is ok, but it is going to be out of fashion soon due to unrealistic pricing policies by mathworks.
 
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unkpath
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Joined: January 13th, 2004, 8:44 pm

Interest Rate Derivative Trading - Programming Skills?

May 23rd, 2007, 12:20 am

QuoteOriginally posted by: suraj89Hi,I'm looking to pursue a career in interest rate derivative trading. Just wondering, how important is having programming skills/experience for this type of role.Thanksin brief, it is totally inessential and no one will care if you know programing or not. that other guy is obviously f.o.s.to expand this a little more, ir derivs trading is very vast. if you are a buy side trader, some programing skills would be handy, but it is something you might not be able to prepare efficiently for, because the environment will be strongly dependent on the company, they might have you do SAS, say, or VBA in an excel driven environment, etc, etc.... for a sell side trader, dude, I really don't see how you could possibly care for writing your own code, that's a waste of time, ask someone below who can do it better, faster and will maintain it for you.
 
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suraj89
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Joined: March 10th, 2007, 3:28 pm

Interest Rate Derivative Trading - Programming Skills?

May 23rd, 2007, 2:58 am

Sorry, should have been more specific. I'm referring to buy-side interest rate derivative traders. Thanks for the replies so far.
 
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Dakinemon69
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Joined: May 17th, 2007, 10:08 am

Interest Rate Derivative Trading - Programming Skills?

May 23rd, 2007, 11:30 pm

Depends on the type of company you work for and the IT that works there. At my last firm, all the good traders wrote all their own C++ libraries to build curves and custom functions. They had no IT to help them and had to develop the skills themselves.At my current firm, most traders have no idea how to program anything, IT does it all for them.
 
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arkestra
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Joined: November 25th, 2005, 9:59 am

Interest Rate Derivative Trading - Programming Skills?

May 30th, 2007, 9:33 pm

At the very least, you should aim to be part of an operation that has a sussed attitude towards its usage of quant and IT resources. That's not the same thing as every trader having to be able to do the quant modelling and the IT realisation of maths. But any desk dealing in exotics is going to struggle to get past a certain point unless they have a strong linkage to the quant/IT axis.Ideally this means the desk will have traders with solid relevant experience. Maybe the chief trader of one major book spent some time being a quant, and another spent some time managing the development of the risk/pricing system. Or maybe one or more traders did both those things at some point in their career. People who are clever enough to be senior in a serious exotics trading operation will have the capacity to do such things, and they will also have a healthy appreciation of how important it is that efforts in the (90%) part of the organisation that lies outside the desk are aligned with the desk's goals.Another way to get this kind of linkage is to have people explicitly working with the business as a bridge with the quant/IT area, some kind of desk quant/quant dev role. But this is expensive and further away from the ideal of concentrating the knwledge in as few brains as possible.Moral: if you're one of the people who knows about programming, this will make you a lot more valuable. VBA is fairly widely used still but does not scale or age gracefully. I'd say learn VBA (for spreadsheets, but be aware of its limitations), C++ (for quant code) and a functional language such as Haskell (because maths is transformational/functional and not stateful/imperative, so there's a lot of thought going into using functional approaches for exotics). If you can't even understand VBA then you can still prosper as long as there are enough people close to you in the business who can make the link with technology. But those others will be more valuable than you.
 
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rwinston
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Joined: February 15th, 2007, 5:48 pm

Interest Rate Derivative Trading - Programming Skills?

June 23rd, 2007, 8:50 pm

Excellent reply arkestra. I think functional languages may yet have their day in these types of systems.
 
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u418936
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Joined: October 28th, 2003, 9:31 pm

Interest Rate Derivative Trading - Programming Skills?

June 23rd, 2007, 10:01 pm

While knowing how to program would definitely be helpful, I don't think it's a requirement.If you're on the buy-side, it's highly unlikely that you'd be building your own pricing models. Unlike dealers, you won't have access to a live vol grid, and you won't be able to see what's happening to skew in real-time. Even if you need a real-time pricing model that incorporates what little information you do have, you can just buy it instead of writing your own programs.On the other hand, it'd be good to have a working knowledge of some computer language, so that you can build and test your own trading models. When you have a good idea (or you found something good in an academic journal), it's probably best to try to implement it yourself, so you can understand it better and get a sense of how well it works. If you don't write the code for your own models, you probably won't understand them very well. Knowing how to program helps a lot here.Even with crappy programming skills, I can do 90% of what I need in Matlab. Once I've built a crude model that I like, I hand it over to the quants to make it fast and user-friendly.
 
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TraderJoe
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Joined: February 1st, 2005, 11:21 pm

Interest Rate Derivative Trading - Programming Skills?

June 24th, 2007, 12:22 am

QuoteOriginally posted by: u418936While knowing how to program would definitely be helpful, I don't think it's a requirement.If you're on the buy-side, it's highly unlikely that you'd be building your own pricing models. Unlike dealers, you won't have access to a live vol grid, and you won't be able to see what's happening to skew in real-time. Even if you need a real-time pricing model that incorporates what little information you do have, you can just buy it instead of writing your own programs.On the other hand, it'd be good to have a working knowledge of some computer language, so that you can build and test your own trading models. When you have a good idea (or you found something good in an academic journal), it's probably best to try to implement it yourself, so you can understand it better and get a sense of how well it works. If you don't write the code for your own models, you probably won't understand them very well. Knowing how to program helps a lot here.Even with crappy programming skills, I can do 90% of what I need in Matlab. Once I've built a crude model that I like, I hand it over to the quants to make it fast and user-friendly.You too, huh ? (I usually give mine to toofish )
Last edited by TraderJoe on June 23rd, 2007, 10:00 pm, edited 1 time in total.
 
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newbanker
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Joined: June 10th, 2007, 6:30 am

Interest Rate Derivative Trading - Programming Skills?

June 27th, 2007, 1:37 pm

.Gmike 2000: Matlab is ok, but it is going to be out of fashion soon due to unrealistic pricing policies by mathworksA language doesn't get out of fashion only because some of its speakers are unrealistic, not to say ignorant.I wouldn't neglect Matlab. There are many good packages (statistics, for one) that one may need to use.Especially in calibrating interest rate models.
 
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player
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Joined: August 5th, 2002, 10:00 am

Interest Rate Derivative Trading - Programming Skills?

June 29th, 2007, 12:43 pm

if anything the use of matlab is increasing rather than decreasing
 
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milosh
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Joined: June 28th, 2007, 5:59 pm

Interest Rate Derivative Trading - Programming Skills?

June 30th, 2007, 6:45 pm

So what's the consensus? If you were to pursue a career as atrader would it hold any weight if you had knowledge(even basic) of C++ on your resume? I'm an undergrad studying CS. Java and C# are part of my curriculum but as i understand C++ would be more usefull to know?
 
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Martinghoul
Posts: 3256
Joined: July 18th, 2006, 5:49 am

Interest Rate Derivative Trading - Programming Skills?

August 3rd, 2007, 6:11 pm

I don't think you'll find any consensus...My background is electircal engineering and I know how to program using, gasp, Assembly. C is like mother's milk to me... On the other hand, I have a couple of colleagues who probably think a compiler is some sort of an exotic bird of prey or something...So, I'm afraid you won't find an answer here... Let me just say that understanding of programming and ability to use VBA, Matlab (which is C, anyway) is one of the features you can use to sell yourself to any desk...My 2c
Last edited by Martinghoul on August 2nd, 2007, 10:00 pm, edited 1 time in total.
 
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eredhuin
Posts: 263
Joined: July 14th, 2002, 3:00 am

Interest Rate Derivative Trading - Programming Skills?

August 6th, 2007, 3:38 am

I would argue C++, or at a bare minimum, VBA, is a an absolute necessity - for a quant. If you're a bond trader or a swaps trader, maybe not. But if you're here, asking this question, I would argue C++/VBA definitely.
 
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arsenalboi
Posts: 75
Joined: July 9th, 2007, 9:47 pm

Interest Rate Derivative Trading - Programming Skills?

August 10th, 2007, 4:05 pm

I don't know too much of VBA or Java, but I will have to learn one of them pretty soon. Which one would you advise to start learning. I just wanted to know which one you feel is more valuable and will it be used more extensively in the future.
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