36 minutes ago, Fulcrum.013 said:Really it much easier tasks than graphis programming,phisic simulations and so on. I has worked as Lead Engeneer-Programmer on accounting departament 3 years while studing. Lead mean that i has to project and implemented myself factory wide accounting systems for datacentre of factory with 40k+ employes. After get a diploma i has been promoted to Intern Engineer-Programmer of FA departament. And it really has been a promotion (salary 2 times higher.) and field much harder to understand while software critically responsible instead of accounting software.
For some years, I worked in mission critical distributed computing systems in Investment Banks.
At one point I was responsible for the system side (the code for the distributed computing engine, data gathering and such) of a system that ran on a farm of 2000 machines and did distributed calculations of the value of custom Financial Instruments (specifically, Over The Counter Stock Derivatives) which were held in the books of Traders in a whole department of the bank (total values adding up to many millions, even billions of dollars). Each node in our farm had a calculation engine which implementated the formulas that calculated the estimated values of those financial instruments (as they where not in an open market so their values had to be estimated), said calculation engines done and maintained by a team of specialists called Quants, which were more Mathematicians than Programmers.
One day, just before the crash of 2008,our whole computing farm went down. We would restart it and after a while all nodes would die. It turns out, the calculation engine in the nodes was crashing and taking down the rest of the program. The night before, the value of Bear Stearns stock had gone down massively and the whole company became worth something like 1 dollar (not 1 dollar per-stock, 1 dollar for ALL stocks), so I suggested that maybe some of the calculations used the first order derivative of the price of that stock, which because of the extremely fast and big change was basically infinity, thus causing either a crash directly or if used in the wrong side of a division would cause a divide-by-zero error which would crash the calculation engine (which was a C++ library).
The Quants checked it and I was right. Their reason for not having put an exception check around the code that used that 1st order derivative was "we never thought this would happen" (Yes, the very same excuse for most of the massive losses in the 2008 crash).
So THIS is what Advanced Financials is and this is also my example of how a programmer who wasn't even on the Mathematical heavy side, by knowing Mathematics saved the whole team a lot of time and headaches and possibly saved the banks millions (as that calculation engine was mission critical and it being down meant that the Traders would not know what was the right price to sell or buy certain things).
That said, the bank is was working with, Lehman Brothers, went bankrupt a week later, so it didn't really matter all that much in the end ?
(not copy the code, but copy the formulas. In some sites they explain how the formulas were obtained. If I read that explanation, i would understand how they work, but i just don't need to do that.)
