Welcome to NAGNews

Issue 61, 15 March 2007

In this issue:

• Top Story - NAG and EPSRC sign multi-year agreement to provide support for HECToR
• Product Information - MATLAB^®-NAG Toolbox Beta Test Programme
• Product Information - Calling NAG Fortran Library (DLL) from C#
• People News - Mike Giles wins Risk Publication Award - Quant of the Year
• General Information - NAG Sponsorship of two Student Awards
• Product Information - New Visualization Textbook Uses IRIS Explorer
• Forthcoming Events - UK
• Tips & Hints - Mark 21 Fortran DLLs
• Product News - New NAG Library Implementations

NAG and the UK's Engineering and Physical Sciences Research Council (EPSRC) announce the signing of a multi-year agreement that will have NAG provide computational science and engineering support for users of the High End Computing Terascale Resources (HECToR) service in the United Kingdom. With NAG's assistance in porting and tuning, a number of research consortia with computationally-intensive projects will move their codes to the HECToR system beginning in October 2007. Preliminary work on developing the service will begin in April 2007.

To learn more, go to http://www.nag.com/Market/articles/HECToRpr.asp.

Career Opportunities at NAG
In conjunction with the start of the HECToR project and other needs, NAG expects to seek individuals with skills in software porting, HPC software, help desk and web editing over the next few months. If you have skills in any of these areas we invite you to go to http://www.nag.com/about/careers.asp to learn more about these opportunities.

For the past year NAG's R&D group has been working on a project to make virtually all of our fast, accurate and robust components for mathematics and statistics easily accessible from various interactive environments, including MATLAB^®. After some intensive testing by experts within NAG's development team we are now soliciting beta testers to try the product on user problems. If you are interested in testing this new product from NAG, please go to http://www.nag.com/numeric/MB/betatestrequest.asp or contact us at nagnews@nag.com.

The NAG Fortran Library consists of over 1500 routines. Potentially these routines can all be accessed in the .NET environment using the P/Invoke facilities provided by Microsoft. The aim of this paper is to illustrate the mechanism of calling the NAG Fortran Library routines from C# (and thereby from .NET generally) by providing a representative set of Fortran example programs translated into C#.

Longstanding associate of NAG, Professor Mike Giles of the Oxford University Computing Laboratory has been named Risk magazine Quant of the Year 2007, together with Professor Paul Glasserman of Columbia Business School, for the best cutting edge research paper in 2006, as voted for by readers of Risk.

Their paper in the January 2006 issue of Risk was entitled Smoking Adjoints: Fast Monte Carlo Greeks. In it, they describe how a mathematical technique widely used in a number of fields, including control engineering, design optimisation and data assimilation, can dramatically speed up the computation of the “Greeks”. These are the sensitivities of derivative prices to changes in parameters such as initial asset prices, time, interest rates and volatility.

For further information on the technique, go to http://www2.gsb.columbia.edu/faculty/pglasserman/Other/RiskJan2006.pdf.

In recognition of the longstanding association of The University of Manchester with NAG, we are sponsoring two MSc awards. We congratulate Rudiger Borsdorf, the first winner of the NAG Prize in Applied Numerical Computing and Kevin Chisholm the first winner of the NAG Prize in Mathematical Finance.

The University of Manchester is one of the founder institutions of the NAG project, with Professor Joan Walsh one of its first algorithmic contributors and later, the Chairman of the Council of Management during NAG's first ten years as an incorporated company. A number of other Manchester colleagues have made varied and distinguished contributions to NAG over the years. In particular, Professor Ian Gladwell, formerly a lecturer at the University and from 1987 at Southern Methodist University, Dallas, has been a major contributor of algorithmic software (the D02 ordinary differential equations chapter) and continues to serve as a senior technical policy advisor. It is therefore a fitting recognition to that longstanding relationship between NAG and The University of Manchester that NAG is able to provide support to successful students at the University.

For further information, contact us at nagnews@nag.com.

A long standing associate of NAG has just written a new visualization textbook which makes intensive use of IRIS Explorer, NAG's popular visualization toolkit. “Introduction To Scientific Visualization”, by Dr Helen Wright of the University of Hull, was published by Springer earlier this year, and is aimed at readers who are new to the subject. Helen has been a user of IRIS Explorer since its first release, and the practical visualization course at Hull is based on that package. IRIS Explorer is used in the book for most of the screenshots, and example maps which tackle the problems offered at the end of the chapters can be downloaded from the Springer website. More information on the book can be found at http://www.springer.com/1-84628-494-5.

• National Association of Mathematics Advisors Exhibition ‘Testing Times’ - 23 March 2007 - Stratford-upon-Avon
  See us at this year's NAMA Conference, which plays host to a variety of speakers in the world of Mathematics Education. For further information, visit http://www.nama.org.uk/events.html.
  
  
• Institute of Mathematics Conference ‘Computational Finance’ - 23 March 2007 - London
  We will be present at the event that aims to bring together users and researchers from both industry and academia, to share mathematical and computational techniques and models in the area of computational finance. For further information, visit http://www.ima.org.uk/Conferences/compfin.htm.
  
  
• World Congress on Computational Finance: The First Decade - 26 March 2007 - London
  Visit us at The Computational Finance World Congress, which aims to bring together the most significant contributors to this field and will provide a forum for discussing outstanding challenges and recent breakthroughs. For further information, visit: http://www.msri.org/specials/compfinance/program.
  
  
• Association of Teachers of Mathematics Annual Conference - 2-5 April 2007 - Loughborough University
  We are exhibiting and presenting a session at the event that focuses on the professional development of mathematics educators. For further information visit http://www.atm.org.uk/conferences/conference2007.html.
  
  
• Association of C/C++ Users' Annual Conference - 11-14 April 2007 - Oxford
  We will be present at this annual conference. The event is host to a number of international speakers at the forefront of software development and programming. For further information, visit http://www.accu.org/.
  
  
• NAG's Co-Sponsorship of Jason MacQueen's Lecture Series - May 2007
  We are delighted to be co-sponsoring a series of lectures throughout May by Jason MacQueen, Visiting Research Fellow at CARISMA. The lectures will cover various aspects of multi-factor equity risk models and their applications to portfolio risk analysis. For further details, visit http://www.optirisk-systems.com/conference.

Supported customers who take the NAG Fortran DLLs should have received a CD containing the Mark 21 version.

It is sensible to update, not only because of the new and improved routines, but because of the changes to the underlying software used. NAG use Intel's MKL to speed up computation using Basic Linear Algebra (BLAS) and LAPACK routines. Since we produced Mark 20 Intel have considerably improved upon the version of MKL that we used. In consequence the newer MKL that is used for Mark 21 is faster and more reliable.

You will also see some changes. We now provide two libraries. One uses MKL and one does not. The former is the one we would expect to be faster and is our recommendation; the latter uses high level NAG routines rather than the specialised MKL routines and is provided to allow the user to cross-check results if suspicions are aroused on some newer chip or hardware in the future.

We have made an organisational change too. At Mark 20 the library was split into two self-contained DLLs. The rationale was that one set comprised those routines that were, at a textual level, thread-safe and the other DLL was the complement of that set. If you had a thread-safe implementation of the DLLs this made sense, but the standard, and generally faster option, is the non-thread-safe DLL. The majority of our customers take this and were puzzled by the split. We have therefore combined the two DLLs, so that the whole library is now contained in one DLL.

Previous articles have described how the Mark 20 DLLs may be used from Excel. Mark 21 may of course be used from Excel in exactly the same manner. If you have Office 2007 and are struck by the clear presentational differences you might wonder whether Excel 2007 could use the NAG DLLs. It can indeed!

For more information on NAG's DLLs visit http://www.nag.com/numeric/Num_DLLhelp.asp or email us at nagnews@nag.com with any specific questions.

All previous Tips & Hints can be found in the NAG Tips & Hints Repository at http://www.nag.com/techtips/index.asp.

NAG is committed to offering new implementations of its broad range of numerical and statistical software, compilers and tools. Since the last edition of NAGNews, platform availability has increased as detailed below.

The NAG SMP Library, Mark 21 is now also available for the following platforms:

• SGI MIPS4 64-bit, IRIX6, MIPSpro Fortran 90 compiler.
• Fujitsu PRIMEPOWER SPARC64 V 64-bit, Fujitsu Fortran compiler.

The NAG Fortran Library, Mark 21 is now also available for the following platforms:

• Windows NT/2000/XP DLL, 32-bit.
• NEC SX-8R, IEEE Format, NEC Fortran compiler, 64-bit Integer.

Vista compatibility: We are pleased to confirm that the above Fortran Library Windows DLL implementation has been successfully tested under Windows Vista, as have:

• NAG C Library, Mark 8, Windows XP/2003 32-bit, Microsoft C++ .NET compiler, and
• NAG Fortran Library, Mark 21, Windows NT/2000/XP 32-bit, Intel Visual Fortran compiler (static multi-threading).

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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