New features and capabilities in the JMSL Numerical Library 6.0 include the following. For more details:

• Read the Press Release
• Request an Upgrade or Evaluation

New class that solves the generalized Feynman-Kac PDE and Black-Scholes problems

• 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 with European or American style exercise opportunities on Calls or Puts. In the case of the Black-Scholes model these functions include many of The Greeks.
• Two white papers are available that provide more detail on this algorithm:
• "Integrating Feynman-Kac Equations Using Hermite Quintic Finite Elements" is a technical white paper that describes the method for solving the Feynman-Kac PDE
• "Solving Constrained Differential-Algebraic Systems Using Projections" is another technical white paper that describes specific software additions to the Differential-Algebraic Equation (DAE) solver code

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

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