Java的定量金融/数学库 [英] Quantitative finance/mathematical library for Java

问题描述

我目前正在开发一个依赖于几个数学/统计/金融工具的项目，我希望将其包含在一个（可能是几个）库中。我想拥有的是：

I am currenlty working on a project which relies on a couple of mathematical/statistical/financial tools which I would ideally like to include in one (perhaps several) libraries. What I would like to have is:

1. 统计测量 - 模式，方差等。


2. 概率可用的分配+抽样


3. 例如，财务模型期权定价

有没有人知道哪些库可能有用？

Does anyone have an idea which libraries might be useful?

推荐答案

我在Java和Clojure中做了很多数值工作，所以希望我的观点有用。

I do quite a bit of numerical work in Java and Clojure so hopefully my perspective can be useful.

对于1.和2.以下是一些可供选择的选项：

For 1. and 2. here are some options to explore:

• Parallel Colt - 非常全面的高性能数学库。适用于财务应用程序中的大量矢量处理。


• Incanter - 用于Clojure的类似R的统计库（非常容易嵌入Java应用程序中）。拥有您可能想要的所有统计工具，如果您想创建自己的DSL，则非常容易扩展


• EJML - 可能是Java中最快的矩阵库


• Apache Commons Math - 方便的数学和统计工具集合

• Parallel Colt - very comprehensive, high-performance mathematical library. Good for lots of vector processing which you get in finance apps.
• Incanter - R-like statistical library for Clojure (very easy to embed in a Java app). Has pretty much all the statistical tools you could desire, plus is very easy to extend if you want to create your own DSLs
• EJML - probably the fastest matrix library available in Java
• Apache Commons Math - handy collection of maths and statistical tools

对于3.（财务模型），这些往往是你想要解决的问题的定制。我怀疑你是否想要使用现成的解决方案，即使它存在。我建议使用上面提到的工具包开发自己。

For 3. (financial models) these tend to be pretty bespoke to the problem you are trying to solve. I doubt you would want to use an off-the-shelf solution even if it existed. I'd suggest developing yourself using the toolkits mentioned above.

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