First of all, I apologise if similar questions have already been asked; I've googled around but most similar questions aren't focused on developing specifically quant-friendly programming skills.

I'm a final year undergrad (physics) in the UK. As I enjoy programming, I've decided to apply to Master's courses in CS or Machine Learning/Data Science and I'm thinking about quant-like roles after that.

However, while I basically know how to program, I'm not sure what sort of things I should try or projects I should get involved with to help prepare me for this line of work, or any job which involves a mixture of math and coding.

I've used Python to solve the first 50 Project Euler problems, and I recently completed Andrew Ng's online Machine Learning course. A few years ago I took a course which culminated in using Java to simulating the major bodies of the Solar System. This semester I'm taking a course in numerical computing that involves things like DFT's, numerical integration and Monte Carlo simulations. I'm able to use Python if I want for this, although I'm tempted to try using C++ (even if it means I get a lower grade).

What do you guys suggest I do beyond this?


To test your programming skills, try QuantLib. Can you do interest-rate modelling with QuantLib? Can you debug the 10-level C++ template? Do you know how to use day count? Do you know how to use business calendar? Do you know how to link a forward curve with a LIBOR market index? Do you know how to calibrate a model?

If you could, you have proven yourself a real professional.

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