New Features and Capabilities in the IMSL C# Numerical Library 6.5 Include:

Performance and productivity enhancements for Microsoft development environments

• Support for new parallel computing capabilities available in Visual Studio 2010
• .NET Framework 4 and Silverlight 3 environments

Solutions to generalized Feynman-Kac PDE and Black-Scholes problems

• New class solves a generalized version of the Feynman-Kac partial differential equation that can be used in many financial modeling applications, including the Black-Scholes models.
• Two white papers are available that provide more detail on this algorithm:
• "Integrating Feynman-Kac Equations Using Hermite Quintic Finite Elements"
• "Solving Constrained Differential-Algebraic Systems Using Projections"

Auto_ARIMA

• An “expert system” time series forecasting pre-conditioners and engine for forecasting situations where algorithm automation is desirable.
• Useful for data containing seasonality, level shifts, and outliers
• Automatic selection of model parameters for straightforward usage

Survival Analysis functions

• Cox’s Proportional Hazards model
• Kaplan-Meier (or product-limit) survival probabilities
• Kaplan-Meier reliability function estimates
• Population and cohort life tables

Many other new functions, including:

• Naïve Bayes classification algorithm
• Random Copula methods and distributions
• Two new linear least-squares optimization classes
• Kochanek-Bartels Cubic Splines
• Logistic and Pareto CDFs and PDFs
• Several Non-central CDF and PDF distributions
• Treemap chart type

Treemap chart type

Enhancements to many existing algorithms, including:

• Improved algorithm for finding zeros of a function
• Faster normal random number generation
• Additional 2D tensor-product spline algorithm
• Additional ODE algorithm for stiff initial-value problems