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File Date Author Commit
 Example 2014-01-13 Pierre Delaunay Pierre Delaunay [edbb91] Fix
 Test 2014-01-13 Pierre Delaunay Pierre Delaunay [edbb91] Fix
 build 2014-01-17 Pierre Pierre [534970] fix
 links 2013-12-21 Pierre Delaunay Pierre Delaunay [767ffd] VC compatibility
 old files 2014-01-11 Pierre Delaunay Pierre Delaunay [1e924a] Cleaning
 src 2014-01-17 Pierre Pierre [605752] cleaning
 .gitignore 2013-12-27 Pierre Delaunay Pierre Delaunay [241024] Polynomial II
 LICENSE 2013-12-03 Setepenre Setepenre [618afe] Reinit
 README.md 2014-01-17 Pierre Pierre [5a76b0] Readme

Read Me

vanagandr

Dependencies
- Boost ( Function pointer, Argument Binding, Statistical Distribution )
- Eigen3 ( Matrix Algebra)

Dependencies' Licence
- Boost : http://www.boost.org/users/license.html
- Eigen3 : Free Software. Starting from the 3.1.1 version, it is licensed under the MPL2, which is a simple weak copyleft license.

  • Tested and developed on Linux - Fedora / Windows 7

  • Compiled with gcc / VC2010 / MinGW

  • Latest Addition

  • Future Addition

  • Currently

    • CashFlow (Bond)
    • YieldCurve
    • Option Valuation
      • MonteCarlo
        • European
        • Asian
    • Markowitz Efficient Frontier Computation
      • Minimal Variance portfolio
    • Market Portfolio
      • With Riskfree Asset
      • With/without Borrowing Rate
    • interpolation
      • Polynomial
      • Log/Linear
      • Cubic Spline interpolation (=D)
    • integration
      • rectangle
      • Trapezoidal
      • Simpson
    • polynomial Function
      • Integration (real)
      • Derivate (real)
    • Geometric Brownian Motion