NAGnews 125 | 18 September 2014
In this issue
- NAG Fortran Compiler (Release 6.0) - News of latest functionality
- Celebrating undergraduate talent at the University of Manchester
- Mark 24 new functionality spotlight: Heston Model with Term Structure
- Developing Parallel Applications on the Intel Xeon Phi™ - NAG and Intel Training Courses
- NAG Training Courses and Events
- Best of the blog
NAG Fortran Compiler - news of latest functionality
We are delighted to announce that the NAG Fortran Compiler has been updated with lots of new functionality. At this latest release (6.0) the Compiler fully supports Fortran 90 and 95. It handles virtually all of Fortran 2003 and OpenMP 3.1, as well as providing partial support for new Fortran 2008 features.
The most important new features introduced in the NAG Fortran Compiler 6.0 are listed here.
- Support for OpenMP 3.1 in addition to OpenMP 3.0
- Maximum rank of an array is increased
- Internal procedures can be passed as actual arguments or assigned to a procedure pointer
- G0 and G0.d edit descriptors, and * (infinite) repeat factor
- CONTIGUOUS attribute and IS_CONTIGUOUS intrinsic function
- ERF, ERFC, ERFC_SCALED, GAMMA, LOG_GAMMA intrinsic functions
- Implied-shape named array constants
- ERROR_STOP statement
- Kind type parameters for derived types
- New interface generator (nagfor =interfaces)
- Additional options within the polisher tool
At this time the Compiler is available for 32- and 64-bit Linux systems and for 64-bit Apple Mac systems. The Microsoft Windows version of the Compiler - NAG Fortran Builder - will be available shortly.
We strongly encourage that users of the NAG Fortran Compiler upgrade their existing software to release 6.0 - you can do this here. Many NAG Library users are entitled to use the NAG Compiler due to its inclusion in their software licence. If you think this could be you, email us and we will check your licence. 30 day trials are also available for the product.
Celebrating great achievements of postgraduates at the University of Manchester
We are always delighted to feature new Student Prize winners in NAGnews. The latest two worthy recipients of a NAG Student Prize were awarded their certificate and voucher at the University of Manchester on the 16 September. Dr Craig Lucas, Senior Technical Consultant at NAG was delighted to present Dalal Alghanim an award for her work during her MSc in Mathematical Finance and Joshua Hellier for his work in his MSc in Applied Mathematics with Numerical Analysis (Joshua is away travelling at the moment).
Congratulations to both Dalal and Joshua!
Mark 24 New Functionality Spotlight: Heston Model with Term Structure
Included at Mark 24 of the NAG Library is a routine that adds term structure to the Heston stochastic volatility model of the market.
This model assumes that the observed price in the market of a given option is constant across a variety of options on the same asset with different strike prices. It may be readily observed that this is not the case and so more refined models have been introduced. One of the most popular is that due to Heston.
The Heston stochastic volatility model assumes that the volatility of an asset follows a random process. It attempts to re-create market pricing by using stochastic processes to model both volatility and interest rates. The Heston model is characterized by the inclusion of the square root of a volatility function in the overall pricing function. In the general case some of the parameters are time dependent. These parameters are ALPHA, the value of the volatility of the scaled volatility, LAMBDA, the mean reversion parameter, CORR, the correlation parameter and SIGMA, the variance scale factor. The routine introduced in the NAG C Library at Mark 24 allows these time-dependent parameters to be modelled by piecewise constant functions to facilitate a numerical solution.
NAG has published a mini-article about the Heston Model at Mark 24 - you can read it here.
NAG and Intel Training Courses | Developing Parallel Applications with the Intel Xeon Phi™
NAG is pleased to provide training to share our expertise on Developing Parallel Applications for the Intel Xeon Phi in New York and Chicago this October.
CHICAGO TRAINING - DETAILS & REGISTER
Date: October 13-14, 2014
NEW YORK TRAINING - DETAILS & REGISTER
Date: October 9-10, 2014
This 2 day course introduces parallel program development for the Intel Xeon Phi coprocessor using basic OpenMP. It will discuss the architecture of the system and teach an introduction to developing parallel applications (with OpenMP) targeting the Xeon Phi, using both its native and offload modes of execution. Optimizing for the Xeon Phi will be demonstrated using worked examples. Throughout the course we will emphasize good programming practice and each section of the course is supported by practical exercises.
The courses are free of charge; however, places are strictly limited. Register soon to request a place.
Training Courses & Events
NAG are presenting a series of HPC related training courses in the UK and USA over the next few months. For more information on these courses visit our website.
- Multicore Programming with OpenMP
14 October 2014, London, UK
- An Introduction to CUDA Programming
21 October 2014, London, UK
- Multicore Programming with OpenMP
5 November 2014 Houston, USA
- An Introduction to OpenCL Programming
10 November 2014 Chicago, USA
NAG will be at the following exhibitions and conferences over the next few months.
- The Trading Show
8 October 2014, New York
- Life Conference and Exhibition 2014
9-11 November 2014, Birmingham
- Quant World Canada 2014
13 November 2014, Toronto
17-20 November 2014, New Orleans
- Global Derivatives USA 2014
18-20 November 2014, Chicago
25% discount for Global Derivatives USA visit www.globalderivativesusa.com/FKN2388NAGEM and quote the discount code: FKN2388NAGEM
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