NewQuant

NewQuant is a C++ library for data analysis and financial engineering computation. It is in building now, not a completed version. 01.ExceptionClass is finished，it is a self-defined exception class. 02.MathematicsExpression is finished，it helps users to build numerical functors in a convenient way. 03.MatrixComputation，the most important module of NewQuant，is finished mostly，it includes kinds of matrices and kinds of linear-equations solvers. Users can use it to do basic matrix computation，to solve linear-equation，to do matrix decomposition(such as LU decomposition)，to solve least square problem. 04.MonteCarlo，the majority part is finished，it includes kinds of SDEsolvers，users can use it to simulate kinds of SDEs，for example GBM. This module is very useful for financial engineering. 05.Regression is in building now，it is the base of econometrics. 06.SpecialFunction is in building now，it is the base of StatisticsComputation module. 07.StatisticsComputation，is finished partly，it includes kinds of computation about pdf，cdf and quantile now，it is also the base of econometrics. NewQuant is released under BSD license.