The book only contains Excel VBA and Matlab codes, right? It seems that he has codes in some of the questions but not for all. And those C++ codes are in his 2004 edition.
I also think Matlab is not as open and client-friendly as R. Hope one day we can use R codes in derivative pricing and credit risk modeling.

Hi thanks a lot for sharing your experience. I'm currently learning the pricing models for CDO, CDS in matlab and C++. I learned the LIBOR Market Model last month. I'm more determined into the area of corporate credit analysis in the fixed income sector.

For safety reason I recommend you to write the code yourself since the ready-made code may not give you the result you want though it is convenient.

It is a little hard at the beginning, but it is worth to spend time on it if really want to be sophisticated in this area. Once you go through all the things yourself, you will get a good command of these stuffs and it is easy to make some proper extension yourself. If you just use the build in function, it is fast but when you want to make modification, it is usually not so easy.

I think one need to have some core technique to survive in the industry. So try to build your own functions and classes. Only when you go through all the things yourself can you go into the deep part of these models and programming.

It is a good starting point for your career and a precious opportunity to make a practice.

Just some recommendation, hope help~