Many quant developers (in our department) program in c# (for excel
plugin) or build infrastructure code modules around quant lib, but
they don't touch c++ quant business logic classes. C++ quant lib
(model) programming is reserved for the mathematicians, typically
Many of these non-C++ quant developers have good product knowledge and
can sometimes move into business side of trading.
I was told these quant developers don't need advanced math knowledge.
Mostly C++ questions. Most candidates are filtered out here.
2nd group – probability, (different from statistics)
Some finance intuitions (eg — each item in the BS formula)
Some brain teasers
— some typical C++ questions (everything can be found from the Scott
exceptions during ctor/dtor
Given a codebase, how do you detect memory leak
multiple inheritance (fairly common in practice)
[[heard on the street]] and [[A Practical Guide To Quantitative
Another book by Shreve.