Category Archives: Numerical Analysis

Approximate Bayesian Computation

Greetings, my blog readers! This is my first post in 2018. In this post I will share with you a very simple way of performing inference using Approximate Bayesian Computation (ABC) – not to be confused with Approximate Bootstrap Confidence … Continue reading

Posted in Numerical Analysis, Python Programming | Tagged ,

Absolute vs. Proportional Returns

Greetings, my blog readers! It will be a safe assumption to make that people who read my blogs work with data. In finance, the data is often in form of asset prices or other market indicators like implied volatility. Analyzing … Continue reading

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Computing Bond Yield with Newton’s Method

In fixed income analysis it is often required to calculate the yield of some coupon paying instrument, for example a bond. Very simply, an yield of a bond is defined as a single rate of return. Under continuous compounding, given … Continue reading

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Linear and Cubic Spline Interpolation

In this post on numerical methods I will share with you the theoretical background and the implementation of the two types of interpolations: linear and natural cubic spline. These interpolations are often used within the financial industry. For example, discount … Continue reading

Posted in Numerical Analysis | Tagged , | 1 Comment

Using Boost Math Library in C#

Hello, In this post I will share with you a lazy way to expose boost.math library to a C# project using C++/CLI. It is lazy and very wrong to do it this way, but I would like to share it … Continue reading

Posted in C# Programming, Numerical Analysis