Small Tools and Programs
The function eigtridi computes the eigenvalues of a symmetric tridiagonal matrix. For more details and documentation please look at the source code. The function is designed for fast computation, so it does only minimal error checks. Eigenvalues are accurate up to N*EPS.
Example: gcc -o eigtridi_test eigtridi_test.c eigtridi.c -lm; ./eigtridi_test
Heston's model for stochastic volatility
I wrote short programs that compute the price of a simple Call option using Heston's stochastic volatility model. There is a simulation based vesion and a version that uses the analytical solution formula.
Please send comments and errors to guwi17 (at) gmx (dot) de.
Note on Compilation Problems
Some old compilers complain about missing functions or missing header files. That is because I always use gcc version 3.0 or above. If your compiler is too old or your C++ standard library is not complete, please go to the GNU Project Webpage (exits) or directly to the GCC Homepage (exits) and get a newer version.
Note on Archives
As often as possible I use bzip2-compressed tar archives. All modern compression programs support this type. If your tool does not know .tar.bz2, just have a look at the bzip2 homepage (exits) or try 7-Zip (exits).
Note on License
All programs presented here are free software unless otherwise stated inside the source files; you can redistribute it and/or modify it under the terms of the GNU General Public License as published by the Free Software Foundation; either version 2 of the License, or (at your option) any later version.
The programs are distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more details.
You should have received a copy of the GNU General Public License along with these programs; if not, write to the Free Software Foundation, Inc., 51 Franklin St, Fifth Floor, Boston, MA 02110-1301 USA
This document was last modified on Wednesday June 13, 2007