Mathematics, Probability and Statistics Libraries for .Net

The Quant Express Math, Probability and Statistics Libraries are powerful scientific C# math libraries suitable for developing applications in all areas of science such as Math, Physics, Chemistry, Engineering, Statistics and Financial Applications.

The libraries features hundreds of powerful and essential mathematical classes and functions in the following domains:

STATISTICS

PROBABILITY
  • Regressions
    • Ordinary Least Squares (OLS)
    • Robust Linear Univariate Regressions
    • Weighted Regressions
    • Multivariate Regressions
    • LOESS and Robust LOESS (Locally Weighted Regression)

  • Descriptive Statistics such as:
    • Average, Standard Deviation, Variance, Skewness, Kurtosis
    • Median Absolute Deviation (MAD), Average Absolute Deviation, General Moments
    • ...

  • Statistical Tests such as:
    • TTest for Means
    • Chi-2 and F Tests for Variance
    • and other key statistical tests
  • Over 35 continuous distributions including
    • Alpha, Anglit, ArcSine, Beta, Cauchy
    • Chi-2, Exponential, Extreme I and II
    • F, Frechet, Gamma, Gumbel, Kernel
    • Logistic, LogNormal, Normal, Pareto
    • Student, Wald, Weibull

  • Many discrete distributions including
    • Binomial, Discrete Logarithmic
    • Geometric, Hyper Geometric
    • Negative Binomial, Poisson

    Distribution fitting from data is supported where possible using the Moments and the Maximum Likelihood Estimations. Best of Fit distribution is supported using the Kolmogorov-Smirnoff goodness of fit test
  • Copula Engine for Multivariate Simulations

LINEAR ALGEBRA - MATRIX

OPTIMISATION
  • Cholesky decomposition
  • QR decomposition
  • LU decomposition & LU Inversion
  • Matrix inversion
  • Gauss-Jordan Elimination
  • ...
  • Bisection with Deep Search
  • Newton-Raphson
  • Fixed Point iteration solvers
  • Brent optimisation
  • Golden Search
  • Differential Evolution
  • Nelder Mead (downhill simplex)
The user can specify at runtime its own function thanks to the QuantExpress Mathematical Parser.

INTEGRALS & DIFFERENTIALS

OTHERS
  • Integrals:
    • Simpsons
    • Gauss Legendre
    It is possible to specify 1 or 2 functions (compatible with the Quant Express Math Expression Parser) when there is a need to calculate an integral under a specific density of probability.
  • Univariate and Multivariate Differentials
  • Standard Functions such as:Beta, Gamma, Incomplete Beta, Incomplete Gamma
  • Random Number Generators: ran0, ran1, ran2, Mersenne Twister
  • Mathematical Expression Parser

 


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Get the QuantExpress Documentation & Demo Application for free Now!

 

All our libraries are written in 100% safe and native C#. They are compatible with the .Net framework 2.0 upwards.

Why using our components?

  • Reusing professional components helps maximise return on investment, deliver projects on time, concentrate on key architecture aspects.
  • All our components are systematically and thoroughly tested with NUnit.
  • Our open source model means you can easily understand, extend any of the functions if you ever need to and easily port and test the code to another language or platform.
  • With our friendly support and services team you are guaranteed an answer to questions very quickly.

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