NAGnews 131

Posted on
4 Jun 2015

In this issue:

Collaboration of HPCFinance partners results in the development of a practical robust long term yield curve model

A collaborative project between Cambridge Systems Associates Ltd and NAG was undertaken under the remit of the HPCFinance partnership. The aim of the project was the development and testing of a Black-corrected version of a workhorse 3-factor Gaussian affine yield curve economic factor model (EFM, Dempster et al., 2010). In common with most alternative approaches in the recent literature to generating non-negative zero coupon bond yields using Black's (1995) idea, a simple approximation to the model was proposed. The approximation was based on the nonlinear Unscented Kalman Filter (UKF) of Julier and Uhlmann (1997). The performance of the approximation was investigated using an implementation of the UKF supplied by NAG.

The resulting calibration code for this new model was found to require a compute time of approximately twice that of the basic EFM model - unlike all the alternatives published to date which are very heavily computationally intensive and require a significantly greater computation time. The UKF approximation is also amenable to being implemented in the cloud to reduce calibration times even further.

Read the full story here.

New algorithms for C/C++ developers in the NAG C Library - Mark 25 now available

The new algorithms at Mark 25 of the NAG Library are now available for users of C/C++ in the NAG C Library. Mark 25 brings many new algorithms to the NAG Library including:

New Matrix Functions | Least Angle Regression (LARS), Least Absolute Shrinkage and Selection Operator (LASSO) and Forward Stagewise Regression | Nearest Correlation Matrix updates | Unscented Kalman Filter | Change Point Analysis | High Dimensional Quadrature using Sparse Grids | Bandwidth Reduction of Sparse Matrix by Reverse Cuthill-McKee Reordering | Solutions to the classical Travelling Salesman Problem | OpenMP Utilities

If you're an existing NAG Library user and want to use the new functionality in Mark 25, do get in touch and we'll guide you through your upgrade or licensing options.

Mark 25: New Library Routine Focus - Unscented Kalman Filter

In the last issue we announced the availability of the latest NAG Library, Mark 25. Today we will focus on the new Unscented Kalman Filter that features in Mark 25 and was used in the HPCFinance collaboration above.

State space models have applications in a wide range of fields including economics and control engineering, and are frequently used in the machine learning and time series literature.

One common method for applying a state space model is the Kalman filter. Routines for analysing linear state space models via the Kalman filter were introduced into the NAG Library at Mark 17 (see, for example, G13EA and G13EB). This functionality has been extended to cover nonlinear state space models with the introduction of G13EJ and G13EK at Mark 25.

Learn more about the extended functionality here.

Rewarding Excellence - Latest NAG Student Awards

It was great to see Mathematics and Computer Science students and staff at the SIAM (Society for Industrial and Applied Mathematics) Student Chapter Conference at the University of Manchester on Friday 1st May 2015.

Craig Lucas presented two exceptional students with their NAG Awards. Best Talk was given to James Barker for Granular flows down inclined channels and Best Poster to Jhonny Gonzalez for Bayesian inference of a multi-factor model for electricity spot prices.

Well done to the winners and thanks to all that attended for such an enjoyable day. Learn about NAG's various Student Awards here.

Best of the Blog

Introducing the team: Craig Lucas, NAG Senior Technical Consultant

In this post of our series 'Introducing the team' we meet Craig Lucas who is a Senior Technical Consultant at NAG and works at the Manchester, UK office. His main interests at NAG are numerical linear algebra, in particular, nearest correlation matrix and shared memory parallelism with OpenMP. Read more

Professor Mike Powell F.R.S

We are pained to pass on the sad news of the death on 19th April of Prof Mike Powell F.R.S, a brilliant numerical analyst specialising in numerical optimization and approximation theory. Mike touched many lives with his work. NAG and NAG's community benefitted greatly because he gave freely his code to NAG from the very beginning. Read more

Introducing the team: Gail Austin, Customer Support Coordinator, Team Leader

Meet Gail Austin, Customer Support Coordinator and Team Leader based at the NAG Oxford office. She manages the Technical Support Service, the Sales Operations Team, NAG Oxford Reception and is website editor for the marketing area of the website. Read more

Training Courses & Events

NAG will be at the following exhibitions and conferences over the next few months.

NAG are once again sponsoring the following six-day course later this year:

We're Hiring! Technical Sales Support Engineer

We are looking for a Technical Sales Support Engineer to join NAG in Chicago, USA. For more information on this exciting role visit the 'Careers at NAG' area of the NAG website.

NAGnews - Past Issues

We provide an online archive of past issues of NAGnews. For editions prior to 2010, please contact us.