NAG numerical library

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Overview

By utilizing NAG’s software in financial modeling critical business applications can be built more quickly, essential in today’s ever changing and volatile markets. And by embedding NAG software within financial applications, analysts and software engineers are able to spend more time in other areas of their work, and so ultimately improve productivity and time management.

NAG’s extensive mathematical and statistical software can help bring quicker solutions in many areas including:

  • Portfolio Optimization
  • Quantitative Analysis
  • Risk Management
  • Trend Forecasting
  • Portfolio Enhancement
  • Index Tracking
  • Derivative Pricing

Key Features

Numerical facilities

  • Optimization, both Local and Global
  • Linear, quadratic, integer and nonlinear programming and least squares problems
  • Ordinary and partial differential equations, and mesh generation
  • Solution of dense, banded and sparse linear equations and eigenvalue problems
  • Solution of linear and nonlinear least squares problems
  • Curve and surface fitting and interpolation
  • Special functions
  • Numerical integration and integral equations
  • Roots of nonlinear equations (including polynomials)
  • Option Pricing Formulae
  • Wavelet Transforms

Statistical facilities

  • Random number generation
  • Simple calculations on statistical data
  • Correlation and regression analysis
  • Multivariate methods
  • Analysis of variance and contingency table analysis
  • Time series analysis
  • Nonparametric statistics

The software in the library is accompanied by acclaimed online documentation giving you the detailed information you need to carry out your work quickly and effectively.

To ensure that we meet your existing and future requirements, the library is regularly updated with new and enhanced algorithms for use in evolving business areas. If you have suggestions for new routines please contact us.

When you subscribe to our dedicated Customer Support Service, not only will you automatically receive any update that is produced, but you will have access via the NAG Response Centre to our experts, who are there to assist you with your technical queries or difficulties.

Key Benefits

  • Developing routines is time consuming and costly; using the NAG Library saves time and reduces maintenance costs.
  • Expand the capability of existing or new applications involving numerical computation
  • Leads to more effective, faster prototyping
  • Improves application robustness
  • Reduces key person dependency
  • Allows more time to concentrate on the specialist aspects of your application

Product/Service details

User Suitability (Capital Markets & Investment)
Asset Managers, Trading firms
Geographic Availability
Asia-Pacific, Europe, North America
Asset Class Coverage
Bonds, Commodities & Energy, Equities, Foreign Exchange (FX), Funds, Futures, Options and other Derivatives, Money Markets, Structured Products