FinMath Benchmarks

• Least Squares

Comparison of performance of our least squares algorithms to Matlab's implementations which is complete analogs.

 

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• Clustering Analysis

Comparison of performance of our SparseAgglomerativeClustering algorithm to Matlab'slinkage function with 'single' method (with default settings) which is equal to our Minimal linkage criteria.

 

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• Principal Component Analysis

In this section we compare performance of our PCA class + Transform operation to Matlab's [W, Y] = princomp(X) function with default settings.

 

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• Statistics

In this section we compare performance of some of our statistical routines with Matlab functions: standard deviation, order statistics, correlation.

 

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• Option Valuation

In this section we compare performance of our Option Valuation algorithms to Matlab’s implementations which has complete analogs.

 

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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.

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