I am currently starting to develop systems using OpenQuant and am looking for some more robust statistics/math packages to plug into it for results analysis. Does anyone know of .net based math or stats packages that seem to work well for this type of application? Thanks, Eric
Hi Eric, What I've done in the past for prototyping is utilize MatLab. You can do this through their COM server or their .NET Builder.
I am not sure if they have any .net compatible packages but here is another company focuses on financial modeling. http://www.nag.com/ regards, suri
I also posted this question on another forum and received the following responses. Thanks for the list of initial recommendations. A couple of links to actively developed open source Numerical libraries written in C#/.NET and/or capable of integrating with .NET. ILNumerics.Net - the .NET library for numerical computations "ILNumerics.Net is a class library for .NET software developers. It greatly simplifies the implementation of all kinds of numerical algorithms." http://ilnumerics.net/ QuantLib A free/open-source library for quantitative finance "The QuantLib project is aimed at providing a comprehensive software framework for quantitative finance. QuantLib is a free/open-source library for modeling, trading, and risk management in real-life." http://quantlib.org/index.shtm Numerical Recipes in C# It used to be here: http://won.hongik.ac.kr/~mhchung/index_files/Software.htm but looks like its been taken down since. Let me know if someone finds a live link to it... Altaxo plotting mathematical core Commercial Offerings: Extreme Optimization Numerical Libraries for .NET "Build financial, engineering and scientific applications faster" http://www.extremeoptimization.com/default.aspx Other useful references:: IBNet This project aim to provide an open source, full implementation of IB's Trader Workstation (TWS) API protocol. The library is writeen in c# 3.0, although it is fully compatible with the .NET 2.0 framework at runtime. The library provides: Client API (The ability to connect to TWS servers) Server API (The ability to mimic TWS servers for other client) Record/Playback (The ability to record the incoming network stream and play it back at a later date for strict simulation purposes) http://code.google.com/p/ib-net/ Subversion Version Control System for OpenQuant strategy code: Why Use it: BetterExplained A Visual Guide to Version Control OpenQuant strategy code and version control: http://www.smartquant.com/forums/viewtopic.php?p=18856#18856 There is also the MATH.NET Project: http://mathnet.opensourcedotnet.info/