Sunday, October 24, 2010

Scientific Tools for Python
"SciPy (pronounced "Sigh Pie") is open-source software for mathematics, science, and engineering. It is also the name of a very popular conference on scientific programming with Python. The SciPy library depends on NumPy, which provides convenient and fast N-dimensional array manipulation. The SciPy library is built to work with NumPy arrays, and provides many user-friendly and efficient numerical routines such as routines for numerical integration and optimization. Together, they run on all popular operating systems, are quick to install, and are free of charge."

NumPy is the fundamental package needed for scientific computing with Python. It contains among other things:
  • a powerful N-dimensional array object
  • sophisticated (broadcasting) functions
  • tools for integrating C/C++ and Fortran code
  • useful linear algebra, Fourier transform, and random number capabilities.
Besides its obvious scientific uses, NumPy can also be used as an efficient multi-dimensional container of generic data. Arbitrary data-types can be defined. This allows NumPy to seamlessly and speedily integrate with a wide variety of databases.

Sunday, July 25, 2010

Quantitative Finance Resource Links

TA-LIB: Technical Analysis Library (C++) (Java)
JQuantLib is a free, open-source and comprehensive framework for quantitative finance, offering several mathematical and statistical tools needed for financial instrument valuation, calculation of VaR, portfolio valuation, etc. JQuantLib is written in Java and is based on QuantLib, which is written in C++. QuantLib is a de-facto reference implementation for C++ world. Following the steps of its predecessor, JQuantLib aims to become a reference implementation for Java world. JQuantLib does its best efforts to mimic as close as possible the API exposed by QuantLib, offering a smooth transition path for developers and organizations aiming to adopt Java for high performance, low latency applications.

Python and R for quantitative finance

PyCon 2010: Python in quantitative finance > Java > Finance and Economics
The Quantitative Finance Framework (QFF) supports the development of software libraries in mathematical finance. The main field of applications are the pricing of derivatives and the management of financial risks.

Saturday, April 17, 2010

Math Libraries for Java
Commons Math is a library of lightweight, self-contained mathematics and statistics components addressing the most common problems not available in the Java programming language or Commons Lang.
Colt provides a set of Open Source Libraries for High Performance Scientific and Technical Computing in Java.