New Features and Capabilities in the IMSL .NET / C# Numerical Library 6.5 Include:
Performance and productivity enhancements for Microsoft development environments
- Support for new parallel computing capabilities available in Visual Studio 2010
- .NET Framework 4 and Silverlight 3 and 4 environments
Solutions to generalized Feynman-Kac PDE and Black-Scholes problems
- New class solves a generalized version of the Feynman-Kac partial differential equation that can be used in many financial modeling applications, including the Black-Scholes models.
- Two white papers are available that provide more detail on this algorithm:
Auto_ARIMA
- An “expert system” time series forecasting pre-conditioners and engine for forecasting situations where algorithm automation is desirable.
- Useful for data containing seasonality, level shifts, and outliers
- Automatic selection of model parameters for straightforward usage
Survival Analysis functions
- Cox’s Proportional Hazards model
- Kaplan-Meier (or product-limit) survival probabilities
- Kaplan-Meier reliability function estimates
- Population and cohort life tables
Many other new functions, including:
- Naïve Bayes classification algorithm
- Random Copula methods and distributions
- Two new linear least-squares optimization classes
- Kochanek-Bartels Cubic Splines
- Logistic and Pareto CDFs and PDFs
- Several Non-central CDF and PDF distributions
- Treemap chart type
Treemap chart type
Enhancements to many existing algorithms, including:
- Improved algorithm for finding zeros of a function
- Faster normal random number generation
- Additional 2D tensor-product spline algorithm
- Additional ODE algorithm for stiff initial-value problems