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