NAG release Fortran Library, Mark 20Oxford 03 October 2001 The Numerical Algorithms Group (NAG), announced its new release of the NAG Fortran Library. Mark 20 of the Fortran Library offers 95 new routines that extend and improve existing functionality, giving the Fortran Library a total of 1288 user-callable quality routines.
New routines include, Mesh Generation; to aid those working with multi-dimensional partial differential equations, particularly using Finite Element or Finite Volume and Zeros of Polynomials; to solve unique cases of quadratic and cubic equations methods plus many more.
Of particular benefit to the Finance industry, Partial Differential Equations, Black-Scholes Equations, GARCH routines and Quasi and Pseudo-random number generators have been introduced to the library. Black-Scholes Equations have been added to aid the pricing of derivatives, and Quasi-random number generation is particularly suited to Monte Carlo simulation. GARCH routines allow parameter estimation, volatility, forecasting and sequence generation. This functionality is very relevant to a wide range of financial situations ranging from equity modeling to the pricing of financial instruments. Random number generation is a technique that is widely used in financial engineering as means of assessing the level of exposure to risk
Another advance for NAG is the provision of a Fortran library that is now 100% thread safe. This major step forward for the Fortran Library allows users developing multi threaded applications to be completely confident with the results of their computation and eliminating error and thus speeding up development and problem solving.
The Fortran Library is also callable from a broad range of applications and languages such as C, C++, Excel and Visual Basic, so users unfamiliar with Fortran can take advantage of its mathematical capability.
The Fortran Library is available on a wide and evolving range of platforms. Initially, Mark 20 will be available for Windows, Hewlett Packard 9000, Hitachi SR8000, IBM RISC System, Linux Intel, Silicon Graphics IRIX6, Sun Ultrasparc with further platforms being added to this list on a continuous basis. For further details on the NAG Fortran Library please visit http://www.nag.co.uk/numeric/fl/FLdescription.asp.
Ad Emmen |
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