C the future of HPC in finance

Print Friendly, PDF & Email

Graeme Burnett over at Enhyper, a blog focusing on high performance issues in finance, spent some time this weekend thinking about what languages are the future of HPC in finance. His answer? Not C#, C++, or any of the scripting languages that all the cool kids are using these days. Just plain old C.

So, why are all the quantitative libraries in Investment Banks written in C++? And why are they mostly single threaded? The answer is hubris on the part of the programmers and, as previously outlined, the difficulty in coding thread safe libraries.

Well, times have changed I’m afraid. C++ has to die because it does not translate into hardware – a route where tremendous performance gains are to be had. C is looking weak in light of the scalability models which can take advantage of multi-core within the functional languages. The future in the short term is C but watch for the rise of Erlang and Haskell. Their time has come.