Do you know whether numerical analysis has improved with .NET? I know Morgan Stanley was evaluating it a few (4? yow) years ago, but there were two main problems:
- There were very few numerical libraries, and those that existed either had a high overhead (compared to, say, calling NAG from C++), or weren't very robust (didn't degrade well in edge cases).
- A windows license for a server machine with > 32 GB of RAM cost an arm and a leg, so server farms got very expensive very quickly. (Oddly, the price of the license depended on the RAM of the machine involved.)
It looks like NAG now has a .NET version, so hopefully things have improved. For a while, it seemed like math in .NET was strictly amateur hour, but I'm sure it's better now. I don't have the strength of will to research if the licensing cost has improved at all.
"A windows license for a server machine with > 32 GB of RAM cost an arm and a leg, so server farms got very expensive very quickly. (Oddly, the price of the license depended on the RAM of the machine involved.)"
FWIW, you now have these options in Windows Azure:
- Memory Intensive VM (4 x 1.6GHz CPU, 28GB RAM, 1,000GB Storage) : $0.90/hr
- Memory Intensive VM (8 x 1.6GHz CPU, 56GB RAM, 2,040GB Storage : $1.80/hr
Interesting. I've heard good things about the Windows Azure program, but I don't think any cloud-based option will work for finance. People generally want to keep their servers and data in-house, for trade secret protection and regulatory purposes.
Most quants use functional programming to some degree when not locked down into C++, be it in a specifically funcational language or not. At least in London F# is commonly used in Credit Suisse, Barclays and UBS that I know of. Heard that Morgan Stanley uses it a bit too but didn't sound very widespread there.
Me, I use it mostly as a better scripting language.