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Our popular course Introduction to QuantLib Development will be taking place June 18-20th, 2018.


The NAG C Library


The largest commercially available collection of numerical algorithms for C

The NAG C Library is the largest and most comprehensive collection of mathematical and statistical algorithms for C and C++ programmers available today. Organizations all over the world rely on the NAG C Library because of the quality and accuracy the software gives to their work.

Containing more than 1,100 functions covering a wide range of mathematical and statistical areas, NAG C Library contains algorithms which are powerful, reliable, flexible and ready for use from a wide range of operating systems, languages, environments and packages including Excel, Java, MATLAB, .NET/C# and many more.

NAG Library Contents

The key numerical and statistical capabilities of the C Library are shown below. To learn more about the new chapters and improved routines at Mark 9 follow this link. A complete list of the contents of the Library is available in the online manual.

Key Features

  • Optimization - local and global optimization solvers
  • Ordinary and partial differential equations
  • Wavelet transforms
  • Option pricing
  • Partial least squares and ridge regression
  • Nearest correlation matrix
  • Quantiles
  • Mesh generation
  • Numerical integration
  • Roots of nonlinear equations (including polynomials)
  • Dense, banded and sparse linear equations
  • Eigenvalue problems
  • Linear and nonlinear least squares problems
  • Special functions
  • Curve and surface fitting and interpolation
  • Large scale eigenproblems
  • Large, sparse systems of linear equations
  • Random number generation
  • Simple calculations of statistical data
  • Correlation and regression analysis
  • Multivariate methods
  • Analysis of variance and contingency table analysis
  • Time series analysis
  • Nonparametric statistics
  • Copulas
  • Mixed effects regression
  • Stepwise linear regression

Brief description: The largest commercially available collection of numerical algorithms for C

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Website: http://www.nag.co.uk/numeric/cl/CLdescription.asp

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