Search code examples
c#c++mathdnmath

C# and NMath for Computational Finance and Econometrics


I am currently (mostly) using C++ for computationally intensive econometrics in my research. I have been wanting to move to a more productive environment. D sounds promising, but perhaps not mature enough for me to be fully productive currently. I came across C# and the NMath library recently. It seems very impressive. Is anyone using these to such an end? What are your experiences? I am willing to give up some run-time speed if it boosts my productivity overall (tenure clock is ticking). You thoughts and suggestions appreciated!


Solution

  • I assume you are refering to Centerspace's NMath product?

    We have recently started using them in a production application; albeit very lightly so far (performing a linear regression to determine the relationship between GJ of gas input to a gas turbine vs MW out; technically this is a feature of NMath Stats). It has been a pleasure to use so far, and their support was very quick in responding to an expired evaluation license whilst waiting for our finance department to process their invoice.

    As far as performance is concerned, it does use the Intel Math Kernel Library where it can, so performance should be good; it hasn't caused any negative performance impact for our limited use.

    I'm looking forward to using the library elsewhere in our application as it is appropriate!