Speed Matlab vs. C++, and other advantages

hli7 · August 29th, 2010, 1:39 pm

Matlab will be *very* slow if you are doing any MC simulations using the script language.If this is a long term project, you may consider investing in a C++ MC framework. There are some free math libary you may use to save some reinventing-the-wheel, e.g., Boost.

Actuary321 · August 30th, 2010, 12:18 pm

We are doing monte carlo. So I guess Matlab isn't a good choice.But as far as C++, is there a need for MC? you can download the express version for free - visual studio express 2008 is what I am using.Matlab is expensive, I think a license costs ~10K per year, but C++, Vb.net, C# can be had for nothing.

renorm · August 30th, 2010, 12:53 pm

Do you want to price vanilla contracts with 1 factor GBM? No? Then forget Matlab. Any attempt to code a moderately complex project in Matlab will fail miserably. M-script is no real programming language.