Getting Started

The FinMath Toolbox unites a wide set of mathematical and statistical methods destined to analyze and solve the most known econometric problems and focused on operating with time series data.

This User’s Guide does not pretend to be a strong theoretical manual for the methods implemented; the goal is rather to provide the user with the essence of a given approach in the extent just allowing correct using of C# classes and interpretation of the results.

All the tools implemented are grouped in packages either by theoretical family (for instance, Factor Analysis) or by functional scope (for instance, Portfolio Optimization).

Same way the descriptions are structured in this Guide.

As a rule, a description of any model or method includes the following parts:

• Preface which introduces application domain and important details about.

• Formal Specification which is given with possible minimum of mathematical equations and should help to understand class API.

• Implementation and Usage which describes how a given approach or model is mapped onto class methods and properties.

• Code Sample demonstrating how to init a class instance and get the results.

The FinMath Toolbox is rooted in the FinMath namespace.

To access any of FinMath tools in a C# project, specify the FinMath root and the target namespace where the tool is located with using directives:

1using FinMath;//root namespace
2using FinMath.LeastSquares;//target namespace

For computational effectiveness and convenience of using, the Toolbox normally requires input data to be presented as Vector and/or Matrix types, that are C# classes designed for extensive algebraic and pointwise operations.

To access these default input/output general data types, you need also the following directive preceeding a custom code:

1using FinMath.LinearAlgebra;

See detailed about the general data types: Vector Class and Matrix Class

Reference

Other Resources