The best advice I can give you is: read Nuclear Phynance. It's a truly great forum for practitioners:

http://www.nuclearphynance.com

There you can read a lot about implementing numerical software in the "real world". My perception is that C# is starting to take C++'s place. But, then, it's just a perception. Moreover, take a look at LAPACK, LAPACK++, BLAS, and the like...