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by OOglesby
November 21st, 2011, 1:33 am
Forum: The Quantitative Finance Code Library Project
Topic: algorithms, numerical differentiation
Replies: 24
Views: 21209

algorithms, numerical differentiation

<t>Here is version 0 of the finite difference code. It includes simple functions for central, forward, and backward for an equally spaced grid up to the 3rd derivative. There is additional code for computing a table of finite difference coefficients for a general N-point grid for derivatives 0 to M,...
by OOglesby
November 20th, 2011, 11:03 pm
Forum: The Quantitative Finance Code Library Project
Topic: container bindings
Replies: 120
Views: 22584

container bindings

<t>QuoteOriginally posted by: outrunBlas routines do it like that: they use descriptive info about how the matrix in stored in random access memory. So maybe that's enough? How about these two interfaces for a start:1) we provide (row,col) interface for plain simple non-optimized algorithms, followi...
by OOglesby
November 19th, 2011, 11:16 pm
Forum: The Quantitative Finance Code Library Project
Topic: container bindings
Replies: 120
Views: 22584

container bindings

<t>QuoteOriginally posted by: outrundo we allow layouts of matrices/tensors in memory where multiple matrix elements map to the same single storage elements? Some examples:* A diagonal matrix with configurable "d" value on the diagonal. "d" gets stored in a scalar, and operator()(row,columns) return...
by OOglesby
November 19th, 2011, 5:35 pm
Forum: The Quantitative Finance Code Library Project
Topic: container bindings
Replies: 120
Views: 22584

container bindings

Yes, I like the 3 divisions as well.QuoteWe might also provide self contained versions that own storage themselves, eg use (and allocate) a vector internally.It seems like this concept can be built on top of the other three with out too much trouble.
by OOglesby
November 18th, 2011, 4:19 am
Forum: The Quantitative Finance Code Library Project
Topic: container bindings
Replies: 120
Views: 22584

container bindings

<t>QuoteOriginally posted by: outrunQuoteit should be a 2d iterator that can move in the 2d plane (up,down,left,right,diagonal, cr/lf, top-left, end-of-row) and for which ++, --, begin, end have no meaning because those are 1d dimensional concepts. Using this 2d iterator concept would make matrix al...
by OOglesby
November 16th, 2011, 11:39 pm
Forum: The Quantitative Finance Code Library Project
Topic: General Remarks and so on
Replies: 64
Views: 25467

General Remarks and so on

<t>QuoteRemark 1:Regarding the naming: it's best to follow the STL, boost and google code guidelines:* Type names start with a capital letter and have a capital letter for each new word, with no underscores: MyExcitingClass, MyExcitingEnum* Variable names are all lowercase, with underscores between ...
by OOglesby
November 16th, 2011, 12:45 am
Forum: The Quantitative Finance Code Library Project
Topic: algorithms, numerical differentiation
Replies: 24
Views: 21209

algorithms, numerical differentiation

<t>With regards to the coding standards, much of your comments were due to laziness for composing the message. The primary violation is with the variable names. My actual code ensures const and passing by reference.I fully agree about the compile time computation and sizes. I have a paper that uses ...
by OOglesby
November 15th, 2011, 3:03 am
Forum: The Quantitative Finance Code Library Project
Topic: algorithms, numerical differentiation
Replies: 24
Views: 21209

algorithms, numerical differentiation

<t>For the simple interface, what is the most common highest derivative used in finance applications?Right now, I am the methods I am working on are (with priority to the first two items):3 point, equal spaced central difference - 1st and 2nd derivatives5 point, equal spaced central difference - 1st...
by OOglesby
November 15th, 2011, 2:37 am
Forum: The Quantitative Finance Code Library Project
Topic: container bindings
Replies: 120
Views: 22584

container bindings

<t>So far I like the generic bindings, one concern is that a container and any of its advantages is reduced to a simple C array. This restriction is fine for initial versions, but needs to be addressed in the future.QuoteMy bindings start to look a lot like boost::multi_array_refIn my other thread, ...
by OOglesby
November 11th, 2011, 7:26 am
Forum: The Quantitative Finance Code Library Project
Topic: algorithms, numerical differentiation
Replies: 24
Views: 21209

algorithms, numerical differentiation

Yes, I can. In fact, I was going to start with a uniform grid and simplistic finite differences for simplicity, then expand to more complex algorithms. Plus simpler algorithms mean that I can get code written quicker so I can get feedback on what I am doing.
by OOglesby
November 11th, 2011, 5:26 am
Forum: The Quantitative Finance Code Library Project
Topic: PDE/PIDE (FDM. FEM) methods thread
Replies: 91
Views: 29610

PDE/PIDE (FDM. FEM) methods thread

<t>QuoteOriginally posted by: outrunQuoteOriginally posted by: CuchulainnQuoteOriginally posted by: outrunIndeed! I see two separate (orthogonal) concepts / libraries* generic numerical derivatives* mesh / grid coordinates mappings / transforms. This will be some mapping between S,t "space" and mesh...
by OOglesby
November 10th, 2011, 12:06 am
Forum: The Quantitative Finance Code Library Project
Topic: Choice of matrix library and interface
Replies: 95
Views: 30262

Choice of matrix library and interface

<t>QuoteOriginally posted by: outrunLet's try to keep the choice of container orthogonal. Write generic algorithms that perform operations on matrices via a standardized interface ala the bindings/traits concept. ..so when we write a heat equation solver, we'll have dU/dT = -a dU^2/dX^2we can use a ...
by OOglesby
November 9th, 2011, 4:30 am
Forum: The Quantitative Finance Code Library Project
Topic: Choice of matrix library and interface
Replies: 95
Views: 30262

Choice of matrix library and interface

<r>dlib - <URL url="http://dlib.net">http://dlib.net</URL> Pro - Can use matrices with compile-type sizes Pro - Uses expression templates for delayed evaluation Pro - Boost software license Pro - Actively developed Pro - Simple syntax (similar to MATLAB and Octave) Pro - Many utility functions for m...
by OOglesby
November 9th, 2011, 4:10 am
Forum: The Quantitative Finance Code Library Project
Topic: Choice of matrix library and interface
Replies: 95
Views: 30262

Choice of matrix library and interface

<t>Regarding LGPL, the library can be used in both open source and commercial software. If the LGPL software is modified, then the modified source code must be provided.When I mentioned Eigen does not have parallelization, I was referring to the usage of multi-threated/parallel BLAS/LAPACK implement...
by OOglesby
November 9th, 2011, 12:53 am
Forum: The Quantitative Finance Code Library Project
Topic: Choice of matrix library and interface
Replies: 95
Views: 30262

Choice of matrix library and interface

<r>Trillinos - <URL url="http://trilinos.sandia.gov">http://trilinos.sandia.gov</URL> Pro - Actively developed Pro - Handles all major matrix structures including sparse Pro - Can interface with other libraries Pro - Lots of linear algebra, nonlinear equations, and PDE functions Pro - Natively inter...
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