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rashmi
Topic Author
Posts: 8
Joined: February 14th, 2007, 8:39 am

Monte Carlo Simulation

April 2nd, 2007, 12:25 pm

Hi friends ,i hav started as a begginer in finance.Can someone help me in Monte Carlo simulation using Libor Market Model to simulate FRAs (quarterly) , assuming first FRA to be martingale measure.Also i want to ask which is better language to code the simulation in c , c++ or c# ?Thanks for ur help in advance.
 
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mdrand
Posts: 56
Joined: September 27th, 2005, 9:57 am

Monte Carlo Simulation

April 5th, 2007, 7:04 am

hello,my advice is to learn C++ and Matlab.
 
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Aaron
Posts: 6433
Joined: July 23rd, 2001, 3:46 pm

Monte Carlo Simulation

April 5th, 2007, 1:23 pm

All three languages are fine for simulation. C has the least overhead, C++ is the most common in the industry, C# is good if you like C#. mdrand's suggestion of Matlab is also good, if your interest is in finance rather than programming, it will save you time. Matlab is the most common tool for quants.Break this project into two parts. First, code a Monte Carlo simulation of the Libor market model, then worry about pricing FRA's. Both of these projects are straightforward.
 
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DominicConnor
Posts: 11684
Joined: July 14th, 2002, 3:00 am

Monte Carlo Simulation

April 5th, 2007, 6:05 pm

Aaron is right that Matlab being common for quants. As a headhunter I will add that C++ is the best languag for your CV. Most managers see Matlab as "trivial", and thus you don't so many points for it.
 
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rashmi
Topic Author
Posts: 8
Joined: February 14th, 2007, 8:39 am

Monte Carlo Simulation

April 6th, 2007, 4:26 am

Hi everyone !!Thanks to all of you for your valuable suggestions.Will let you of any further help needed.Any further suggestions are always welcome.I have no idea of MATLAB , just heard of it.Could some one please tell nearly how much time will it take to learn MATLAB for a person new to finance (like me) ? I would like to add that i have some knowledge of C ,C++ and have just started with C# . Cheers Rashmi
 
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quantmeh
Posts: 5974
Joined: April 6th, 2007, 1:39 pm

Monte Carlo Simulation

April 6th, 2007, 9:15 pm

QuoteCould some one please tell nearly how much time will it take to learn MATLAB for a person new to finance (like me) ?it takes 15 minutes to start using it, imho. i think that there's a tutorial which comes with it, that has to walk you through the features. i started using matlab in february, it was really easy. though i used other tools like Maple and Mathematica before, so the concept was familiar.
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