Chapter Contents
NAG Toolbox

New Functions

The 128 new user-callable functions included in the NAG Toolbox at Mark 22 are as follows.
Function
Name

Purpose
a00ad Library identification, details of implementation, major and minor and marks
c05ba Real values of Lambert's W function, W(x)
c09aa Wavelet filter query
c09ca one-dimensional discrete wavelet transform
c09cb one-dimensional inverse discrete wavelet transform
c09cc one-dimensional multi-level discrete wavelet transform
c09cd one-dimensional inverse multi-level discrete wavelet transform
d02mc Implicit ODE/DAEs, IVP, DASSL method continuation for d02ne
d02mw Implicit ODE/DAEs, IVP, setup for d02ne
d02ne Implicit ODE/DAEs, IVP, DASSL method integrator
d02np Implicit ODE/DAEs, IVP linear algebra setup routine for d02ne
e04cb Unconstrained minimization using simplex algorithm, function of several variables using function values only
e05ja Initialization function for e05jb
e05jb Global optimization by multi-level coordinate search, simple bounds, using function values only
e05jd Set a single optional parameter for e05jb from a character string
e05je Set a single optional parameter for e05jb from an ‘ON’/‘OFF’-valued character argument
e05jf Set a single optional parameter for e05jb from an integer argument
e05jg Set a single optional parameter for e05jb from a real argument
e05jh Determine whether an optional parameter for e05jb has been set by you or not
e05jj Get the setting of an ‘ON’/‘OFF’-valued character optional parameter of e05jb
e05jk Get the setting of an integer-valued optional parameter of e05jb
e05jl Get the setting of a real-valued optional parameter of e05jb
f01ec Real matrix exponential
f02wg Computes leading terms in the singular value decomposition of a real general matrix; also computes corresponding left and right singular vectors
f07ac Mixed precision real system solver
f07aq Mixed precision complex system solver
f16dl Sum elements of integer vector
f16dn Maximum value and location, integer vector
f16dp Minimum value and location, integer vector
f16dq Maximum absolute value and location, integer vector
f16dr Minimum absolute value and location, integer vector
f16eh Real scaled vector addition preserving input
f16el Sum elements of real vector
f16gh Complex scaled vector addition preserving input
f16gl Sum elements of complex vector
f16jn Maximum value and location, real vector
f16jp Minimum value and location, real vector
f16jq Maximum absolute value and location, real vector
f16jr Minimum absolute value and location, real vector
f16js Maximum absolute value and location, complex vector
f16jt Minimum absolute value and location, complex vector
g01am Find quantiles of an unordered vector, real numbers
g02aa Computes the nearest correlation matrix to a real square matrix, using the method of Qi and Sun
g02gp Computes a predicted value and its associated standard error based on a previously fitted generalized linear model.
g02ka Ridge regression, optimizing a ridge regression parameter
g02kb Ridge regression using a number of supplied ridge regression parameters
g02la Partial least-squares (PLS) regression using singular value decomposition
g02lb Partial least-squares (PLS) regression using Wold's iterative method
g02lc PLS parameter estimates following partial least-squares regression by g02la or g02lb
g02ld PLS predictions based on parameter estimates from g02lc
g03bd ProMax rotations
g05kf Initializes a pseudorandom number generator to give a repeatable sequence
g05kg Initializes a pseudorandom number generator to give a non-repeatable sequence
g05kh Primes a pseudorandom number generator for generating multiple streams using leap-frog
g05kj Primes a pseudorandom number generator for generating multiple streams using skip-ahead
g05nc Pseudorandom permutation of an integer vector
g05nd Pseudorandom sample from an integer vector
g05pd Generates a realization of a time series from a GARCH process with asymmetry of the form (εt - 1 + γ)2
g05pe Generates a realization of a time series from a GARCH process with asymmetry of the form (|εt - 1| + γεt - 1)2
g05pf Generates a realization of a time series from an asymmetric Glosten, Jagannathan and Runkle (GJR) GARCH process
g05pg Generates a realization of a time series from an exponential GARCH (EGARCH) process
g05ph Generates a realization of a time series from an ARMA model
g05pj Generates a realization of a multivariate time series from a VARMA model
g05pm Generates a realization of a time series from an exponential smoothing model
g05px Generates a random orthogonal matrix
g05py Generates a random correlation matrix
g05pz Generates a random two-way table
g05rc Generates a matrix of pseudorandom numbers from a Student's t-Copula
g05rd Generates a matrix of pseudorandom numbers from a Gaussian Copula
g05ry Generates a matrix of pseudorandom numbers from a multivariate Student's t-distribution
g05rz Generates a matrix of pseudorandom numbers from a multivariate Normal distribution
g05sa Generates a vector of pseudorandom numbers from a uniform distribution over (0,1]
g05sb Generates a vector of pseudorandom numbers from a beta distribution
g05sc Generates a vector of pseudorandom numbers from a Cauchy distribution
g05sd Generates a vector of pseudorandom numbers from a χ2 distribution
g05se Generates a vector of pseudorandom numbers from a Dirichlet distribution
g05sf Generates a vector of pseudorandom numbers from an exponential distribution
g05sg Generates a vector of pseudorandom numbers from an exponential mix distribution
g05sh Generates a vector of pseudorandom numbers from an F-distribution
g05sj Generates a vector of pseudorandom numbers from a gamma distribution
g05sk Generates a vector of pseudorandom numbers from a Normal distribution
g05sl Generates a vector of pseudorandom numbers from a logistic distribution
g05sm Generates a vector of pseudorandom numbers from a log-normal distribution
g05sn Generates a vector of pseudorandom numbers from a Student's t-distribution
g05sp Generates a vector of pseudorandom numbers from a triangular distribution
g05sq Generates a vector of pseudorandom numbers from a uniform distribution over [a,b]
g05sr Generates a vector of pseudorandom numbers from a von Mises distribution
g05ss Generates a vector of pseudorandom numbers from a Weibull distribution
g05ta Generates a vector of pseudorandom integers from a binomial distribution
g05tb Generates a vector of pseudorandom logical values
g05tc Generates a vector of pseudorandom integers from a geometric distribution
g05td Generates a vector of pseudorandom integers from a general discrete distribution
g05te Generates a vector of pseudorandom integers from a hypergeometric distribution
g05tf Generates a vector of pseudorandom integers from a logarithmic distribution
g05tg Generates a vector of pseudorandom integers from a multinomial distribution
g05th Generates a vector of pseudorandom integers from a negative binomial distribution
g05tj Generates a vector of pseudorandom integers from a Poisson distribution
g05tk Generates a vector of pseudorandom integers from a Poisson distribution with varying mean
g05tl Generates a vector of pseudorandom integers from a uniform distribution
g05yl Initializes a quasi-random number generator
g05ym Generates a uniform quasi-random number sequence
g05yn Initializes a scrambled quasi-random number generator
g13am Univariate time series, exponential smoothing
g13dd Multivariate time series, estimation of VARMA model
m01na Binary search in set of real-valued numbers
m01nb Binary search in set of integer numbers
m01nc Binary search in set of character data
s15ag Scaled complement of error function, erfcx(x)
s21be Elliptic integral of 1st kind, Legendre form, F (φ|m)
s21bf Elliptic integral of 2nd kind, Legendre form, E (φ|m)
s21bg Elliptic integral of 3rd kind, Legendre form, Π (n ; φ|m)
s21bh Complete elliptic integral of 1st kind, Legendre form, K (m)
s21bj Complete elliptic integral of 2nd kind, Legendre form, E (m)
s30aa Black–Scholes–Merton option pricing formula
s30ab Black–Scholes–Merton option pricing formula with Greeks
s30ba Floating-strike lookback option pricing formula
s30bb Floating-strike lookback option pricing formula with Greeks
s30ca Binary option: cash-or-nothing pricing formula
s30cb Binary option: cash-or-nothing pricing formula with Greeks
s30cc Binary option: asset-or-nothing pricing formula
s30cd Binary option: asset-or-nothing pricing formula with Greeks
s30fa Standard barrier option pricing formula
s30ja Jump-diffusion, Merton's model, option pricing formula
s30jb Jump-diffusion, Merton's model, option pricing formula with Greeks
s30na Heston's model option pricing formula
s30qc American option: Bjerksund and Stensland pricing formula
s30sa Asian option: geometric continuous average rate pricing formula
s30sb Asian option: geometric continuous average rate pricing formula with Greeks

NAG Toolbox

© The Numerical Algorithms Group Ltd, Oxford, UK. 2009