Question: how important is VBA and C++?

gabx asks:

Question

How important is the knowledge of VBA and C++ for working as an analyst or as a risk manager in hedge funds.

I would like to develop these skills and bought some books which deal with modelling derivatives pricing in VBA/C++/Matlab.

Do you have in mind a specific book/area I should focus on in Excel/VBA/C++

Thanks for your help.

 

 

Answer

Hi gabx,

Good question. VBA and C++ are both useful skills in such roles within a hedge fund, with each typically used in a slightly different way. VBA is probably more for risk management, as hedge funds tend to be small, and a lot of analytical work is done in Excel. In this case, VBA is used to automate various processes such as position and trade reporting, or various types of simluations for risk management purposes like Monte Carlo.

In contrast, C++ is usually used more frequently when dealing with automated trading in various guises. In this case, the code needs to be very efficient and reliable, and C++ is traditionally a very robust language which helps build production quality tools. There are also many libraries that are useful to traders or risk managers which are then easily integrated. Once a good strategy has been identified, C++ developers come in and produce a high quality solution that executes a particular strategy relentlessly. C++ is sometimes used in a risk management function also, for example when looking at correlations within large portfolios. For this to be reasonably quick, it needs to be done in a way that is responsive, and quickly enough that the results are tradeable.

The popularity of both technologies largely depend on the particular type of hedge fund, more than the function being performed within it. For example, statistical arbitrage houses typically have big server farms, and lots of code which optimize responsiveness. In contrast, a risk arbitrage house or even certain long/short hedge funds invest much more based on equity fundamentals, and there the technology requirements tend to be much lighter at many of these funds.

 

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