Algorithms
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FileHelpers Library The FileHelpers are an easy to use .NET library written in C#. Is designed to read/write data from flat files with fixed length or delimited records (CSV). Also has support to import/export data from different data storages (Excel, Access, SqlServer) Code on GitHub: https://github.com/MarcosMeli/FileHelpers Bugs/Ideas: http://filehelpers.myjetbrains.com/youtrack/rest/agile/FH/sprint
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Analytic Toolkit The purpose of the project is summarising effort from a number of analytic libraries, adding interactive web-based user interface and making a free open source solution for risk analytics and stress testing. Feb 8, 2012 Paul Glasserman's Importance Sampling and Tail Approximations as well as plain Monte Carlo have been implemented for for the widely used normal copula model of portfolio credit risk. The package includes source code, examples, spreadsheet with results and references to the papers.
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