Role of C++ in quantitative finance
Question
What can you say about how C++ is used in the finance industry?
Short answer
It is the main language for pricing libraries and latency-sensitive systems. Banks build derivatives analytics (Monte Carlo, PDE, tree engines, e.g. QuantLib-style code) in C++ for speed and control over memory, often exposed to traders through Excel add-ins or Python bindings; trading firms use it for low-latency execution. Good answers mention object-oriented design of payoffs and models, templates, numerical stability and maintaining large legacy codebases.
Adapted from Joshi, Denson & Downes, Quant Job Interview Questions and Answers, Q7.9, p.226; question and answer rewritten by SelfMadeQuant.com.
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