FinMath update announcement
Since we have been moving forward with library improvement process, we are glad to announce that the RTMath team has finalized a software update for FinMath. The product is continually being upgraded with new modules. In this latest software update, you will find the following enhancements:
- Switched to .NET Framework 4.0.
- Upgraded to Intel C++ Composer 2013 Update 2 (with Intel MKL 11 Update 2) with resulting performance increases.
- Introduced solvers for sparse linear and convex quadratic problems that use sparse BLAS and PARDISO. These solvers can provide 100 times speed up for sparse problems.
- Added ability to retrieve dual variables (Lagrange multipliers) in solvers for linear and convex quadratic problems.
- Introduced classes for performing statistical tests:
- Pearson 's Chi Squared Test
- Chi Squared Variance Test
- Kolmogorov-Smirnov Test
- Two-Sample Kolmogorov-Smirnov Test
- Two-Sample T-test
- Wald–Wolfowitz Test
- Entropy-based Runs Test
- Wilcoxon Signed Rank Test
- Wilcoxon Rank Sum Test
- KPSS (Kwiatkowski, Phillips, Schmidt and Shin) Test
- ADF (Augmented Dickey-Fuller) Test
- Various improvements and bux fixes.
Follow the link https://www.rtmath.net/download/latest_finmath/ to download the latest FinMath version. Note that you must be logged in to access the download page.
Time To Choose RTMath
Mathematics experts in quantitative finance
All RTMath components provide excellent computational efficiency and memory utilization, they are easy to use, and well documented. The installation includes API references with the description of classes and class members combined with detailed code samples.
Huabin Shen, Bond Trust: The FinMath library provides a comprehensive set of tools for our research and its execution efficiency impressed us. Excellent product, highly recommended.