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ojAlgo v26: Maths and Optimisation for Finance

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New release and updated features/performance comparison

ojAlgo is Open Source Java code that has to do with mathematics, linear algebra and optimisation particularly (but certainly not exclusively) suitable for the financial domain.

The core of ojAlgo is a linear algebra framework complete with various matrix decompositions and the ability to use double, BigDecimal or ComplexNumber (an ojAlgo implementation) as matrix elements.

The framework is built using highly efficient multidimensional arrays.

On top of the linear algebra framework ojAlgo contains models and solvers for quadratic optimisation problems, and on top of that finance specific models/solvers for portfolio selection. Among other things there are implementations of the Markowitz and Black-Litterman models.

There's lots more; time series, random numbers, stochastic processes, polynimials as well as code to interact with Yahoo Finance, Google Finance, Excel, JFreeChart and AMPL.

What's new?

How does it compare to other linear algebra libraries?

Published at DZone with permission of its author, Anders Peterson.

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