CCruncher is a project for quantifying portfolio credit risk using the copula approach. It is a framework consisting of two elements: a technical document that explains the theory, and a software program that implements it. CCruncher evaluates the portfolio credit risk by sampling the portfolio loss distribution and computing the Expected Loss (EL), Value at Risk (VaR), and Expected Shortfall (ES) statistics. The portfolio losses are obtained simulating the default times of obligors and simulating the EADs and LGDs of their assets.
gjrand is a programmer's library for pseudo-random numbers. It includes random number generator testing code and is intended for simulation, games, and "Monte-Carlo" algorithms. It produces pseudo-random numbers of the types: uniform integers, uniform reals, normally distributed reals, binomial, Poisson, integer permutation, chi-squared distribution, "Student" T distribution, and spherical distribution.
FLENS is short for Flexible Library for Efficient Numerical Solutions. This C++ can be used as a builing block for the implementation of other (higher-level) numerical libraries or numerical applications. It is a C++ library (requires a C++11 conform compiler). Easy install, as FLENS is headers only. It gives you Matrix/vector types for dense linear algebra; a generic (i.e. templated) implementation of BLAS; and a generic reimplementation of LAPACK. If high performance BLAS libraries like ATLAS, GotoBLAS, etc. are available, you simply can link against them and boost performance.
TooN is a very efficient numerics library for C++. The main focus of the library is efficient and safe handling of large numbers of small vector matrices and providing as much compile time checking as is possible. The library also works with large vectors and matrices and integrates easily with existing code. In addition to elementary vector and matrix operations, the library also providers linear solvers, matrix decompositions, optimization, and wrappers around LAPACK.
The goal of Hilbert II, which is in the tradition of Hilbert's program, is the creation of a system that enables a working mathematician to put theorems and proofs (in the formal language of predicate calculus) into it. These proofs are automatically verified by a proof checker. Because this system is not centrally administered and enables references to any location on the Internet, a world wide mathematical knowledge base could be built. It also contains information in "common mathematical language".
UDAV is a cross-platform program for data array visualization based on the MathGL library. It supports a wide spectrum of graphics, simple script language, and visual data handling and editing. It has a windowed interface for data viewing, changing, and plotting. It can execute MGL scripts, set up and rotate graphics, export to bitmap or vector (EPS or SVG) files, draw TeX-like formulas, and so on.
Libecc is a C++ elliptic curve cryptography library that supports fixed-size keys for maximum speed. The goal of this project is to become the first free Open Source library providing the means to generate safe elliptic curves, and to provide an important source of information for anyone with general interest in ECC.