boost library for C++ computational finance applications

boost library for C++ computational finance applications

Postby Cuchulainn » Mon Apr 13, 2009 5:53 pm

This threads invites you to post questions, proposals, criticisms, suggestions etc. on how to apply boost to finance applications.



Suggestions?
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Postby Cuchulainn » Sat Apr 25, 2009 12:09 pm

One project is to create a robust, yet minimal Linear Algebra package based on UBLAS library since the latter supports much of the necessary plumbing. So, for matrix solvers I have already are:



1. LU decomposition (and Cholesky)

2. Jacobi, SSOR, PSOR

3. Conjugate gradients





Any wishes?
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