Issue 87, 4 March 2010
- New Worldwide Student Prize Award
- Using the NAG Library to calculate financial option prices in Excel
- In the news: Alan Turing and the ACE Computer
- Detonation Modelling for the Mining and Quarrying Industries
- Supercomputing: Are we taking supercomputing code seriously?
- Library contributor, Professor Ian Gladwell retires
- Recent NAG Blog Posts
- Out & About with NAG
- New NAG product implementations
New Worldwide Student Prize Award
A vital element to NAG's longevity is the fostering of young and upcoming mathematical talent. NAG was founded on academic collaboration and strong links remain with learning institutions all over the world.
In conjunction with NAG's 40th Anniversary celebrations NAG is launching the first truly global student award scheme. In the spirit of NAG's four decades of collaboration with leaders in computing, academia and industry, NAG invites departments, from institutions across the world, to apply for one of the student prizes. They will be offered for the best performances in a Masters of Science program, best projects and best numerical solutions. For more information visit http://www.nag.com/about/student_awards.asp or email firstname.lastname@example.org.
Using the NAG Library to calculate financial option prices in Excel
In finance, an option is a contract that conveys the right, but not the obligation, to buy or sell a specific asset. Options are widely traded on financial markets, and so some method of determining their value (or price) is required. Several option pricing models have been developed, which have then been implemented using a range of mathematical methods; some of these implementations have been made available in the latest release of the NAG Library. We have used these routines to calculate option prices in Microsoft Excel, and present some examples (which may be downloaded from the NAG website) that illustrate the way in which NAG routines can be called from within an Excel spreadsheet.
Read the white paper http://www.nag.com/doc/TechRep/pdf/tr2_10.pdf.
In the news: 'Alan Turing and the ACE Computer'
A BBC news series focussing on computer pioneers continues with a story of the Ace computer, which bought together a team (Alan Turing, Jim Wilkinson, Harry Huskey and later Donald Davies) who would go on to design the technology that underpins the internet.
Jim Wilkinson was a great supporter of NAG, particularly in the early years, and was a friend and mentor to us. The NAG Fortran Library Manual still retains the original Foreword written by Jim Wilkinson and his great friend, Professor Leslie Fox.
Read the online article here.
Detonation Modelling for the Mining and Quarrying Industries: Use of the NAG Fortran Library
NAG Library user, Martin Braithwaite, Imperial College, London, has authored a paper demonstrating the user of NAG routines in detonation modelling. To read the full story visit http://www.nag.com/IndustryArticles/detonation_modelling_mining_quarry.pdf
“In many open cast mining operations, tonnes of explosives are used in individual blasts and there is a strong commercial incentive to optimize blast design. Factors in mining operations include limiting downstream processing costs associated with fines and large boulders, limiting ground vibration and associated damage, avoiding gaseous fumes from detonation products and controlling explosive and ancillary accessories (delays, detonators etc.) costs. Blast optimization can be achieved by appropriate choice of blast design (layout, explosive type and quantity, time delays on charges etc). It should be emphasized that cost of a recovery operation from a failed blast can be substantial.”
Is it right that much of the supercomputing code driving scientific research and engineering design is written by people who are not software professionals, asks Andrew Jones. Someone remarked to me recently that the problem with scientific software is that most of it is written by amateurs. Harsh perhaps, but it got me thinking. The point behind the remark is that most of the software used for simulation in scientific research, especially on supercomputers, is written by scientists rather than by professional numerical software engineers. By implication, this state of affairs might be responsible for much of what some people see as the mess we are in with respect to assurance of results from the models and portable performance of the codes. The same argument might also be extended to engineering packages and data modelling.
To read Andrew Jones', VP HPC Business at NAG, column visit http://resources.zdnet.co.uk/articles/comment/0,1000002985,40004192,00.htm
Ian Gladwell has been a member of the NAG community since the early 1970s. In those early days he helped Professor Joan Walsh contribute to the NAG Ordinary Differential Equations chapters of the library. When Joan retired as the formal contributor to this chapter Ian took over the responsibility.
In the mid 80's Ian took a year's sabbatical from Manchester University and worked at NAG Central Office where he acted as a direct advisor to Brian Ford in matters relating to staff, library development and implementation.
Shortly after this Professor Shampine invited Ian to join him on the staff of Southern Methodist University in Dallas, Texas.
From here Ian continued to contribute to the NAG Library and many of the ODE routines in the NAG Library today were written in this period, many jointly contributed with a NAG staff member, Dr Richard Brankin. Coincidentally Richard was also ex-Manchester.
Although now based in the USA Ian was able to advise NAG at its Technical Policy Committee meetings where he was a popular and informative participant. He was also well placed to advise our American subsidiary, NAG Inc on library matters. When the Director of NAG, Brian Ford retired, Ian flew over from the USA to deliver a talk at the meeting held in Brian's honour. His talk described the development of the NAG ODE chapter during Brian's tenure as Director.
We wish Ian a very happy retirement ' he was always a great worker and avid reader of papers. We do however expect to receive the benefits of his wisdom and counsel, delivered in his friendly Lancashire accent, for many years to come. We hope therefore that he won't suddenly (and unexpectedly) develop a passion for gardening! ' David Sayers, NAG Principal Technical Consultant.
Colourised svn diffs
How to get more done tomorrow ' part 1
Make considered painful
Don't call it high performance computing?
If you could add or change one thing about the NAG Library?
Loading DTDs using DOM in Python
Exascale or personal HPC?
Out & About with NAG
- Frankfurt MathFinance Conference
15-16 March 2010, Frankfurt
NAG is delighted to attending this event once again. The conference is intended for practitioners in the areas of trading, quantitative or derivative research and risk and asset management as well as for academics studying or researching in the field of financial mathematics or finance in general.
- DevWeek 2010
15-19 March 2010, London
NAG is pleased to once again be present at the UK's biggest conference for Developers, DBAs and IT Architects.
- GAMM 2010
22-26 March 2010, Karlsruhe
NAG is present at this event. The 81st Annual Meeting of the International Association of Applied Mathematics and Mechanics.
- Young Statistician's Meeting (YSM)
30-31 March 2010, University of Liverpool
YSM is specifically designed for career young statisticians, by career young statisticians, providing an excellent opportunity to network amongst their peers, present their own research in a friendly atmosphere and discover a variety of other statistical topics currently being researched.
- HECToR (High End Computing Terascale Resource) Training Courses
Presented by the NAG HECToR Team
A full list of forthcoming HECToR Training Courses can be viewed on the official HECToR website here.
For more information on any of the above events visit NAG's ‘Out & About’ webpage
New NAG product implementations
The NAG Fortran Library, Mark 22 is now available for the following platforms:
- x86-64 Windows bit using the Intel (R) Fortran Compiler
For full details of these and all other available implementations, visit the NAG site. Comprehensive technical details of each implementation are given in the relevant Installation and User Notes at http://www.nag.com/doc/inun.asp
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