Usage of Excel in Rates Trading?
During the summer I'm going to be interning in S&T at a BB on their rates trading desk. I really enjoy VBA and have used it to a fairly advanced level in previous internships, and am just wondering how prevalent VBA is in rates trading nowadays? Are many tools that a rates trading team would use still Excel-based, or are they more sophisticated - e.g. Python, C++, etc? I have a rough understanding of how to interface C++ functions with Excel, but assume this is more on the quant side of things and not something I'd be touching at all over the summer.
I'm really curious about this sort of stuff, so any guidance would be much appreciated. Thanks!
I work in rates trading. I use python, c++, and excel/VBA (c++ for speed if necessary). These are all very advantageous, and honestly I would know all of them if you could. C++ probably being the least priority if your role is not very quantitative.
Super interesting, thanks. Are you able to provide any more granularity on what you actually use C++ for? Is it predominately when you need to write a function where speed is important, so you write it in C++ and then call the DLL from VBA and use the function as a UDF in Excel?
I'm very comfortable with VBA, and also have intermediate Python and C++ skills, so glad to hear they're advantageous on a rates desk.
I don’t really know what you are talking about in terms of interfacing via excel as I have never done that and have no use for that. For example I don’t like our system for pricing caps/floors, so I built a c++ application to do so and will price things there alongside our system. Another example would be building vol analytics tools via python because I think our vol surface/data source is shit so I made my own.
Thanks for the answer. For C++ apps that you build, is it mainly just CLI stuff - or do you sometimes get into making proper user interfaces / GUIs? Just curious about the complexity of programming that is used.
Mainly just CLI. Honestly I am the only one in my group that is technical and so I usability has never been a priority.
Could you elaborate more on what do you usually do with Python/Excel in the context of rates trading? Or for an intern, what are some more specific things I can learn to do in advance with Python/Excel and perhaps add some value to the desk? Appreciate the input.
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