New and improved functions in GAUSS 12

Speed Improvements

  • Financial Functions
    • AmericanBinomCall, AmericanBinomCall_Greeks, AmericanBinomCall_ImpVol, AmericanBinomPut, AmericanBinomPut_Greeks, AmericanBinomPut_ImpVol, AmericanBSCall, AmericanBSCall_Greeks, AmericanBSCall_ImpVol, AmericanBSPut, AmericanBSPut_Greeks, AmericanBSPut_ImpVol, EuropeanBinomCall, EuropeanBinomCall_Greeks, EuropeanBinomCall_ImpVol, EuropeanBinomPut, EuropeanBinomPut_Greeks, EuropeanBinomPut_ImpVol, EuropeanBSCall, EuropeanBSCall_Greeks, EuropeanBSCall_ImpVol, EuropeanBSPut, EuropeanBSPut_Greeks, EuropeanBSPut_ImpVol
  • Linear Algebra
    • X'*Y: for small and medium sized matrices.
    • Matrix tranpose for large matrices; approximately 400 x 400 or larger.
    • Takes advantage of new Intel AVX instructions:
      • Matrix multiply: In-house testing shows approximately 20% faster for 30 x 30 matrix, nearly 40% faster for 150 x 150 matrix, and twice as fast for 10,000 x 10,000 matrix on a compatible machine.
      • Linear Solve: In-house testing shows approximately 12% faster for 200 x 200 matrix, nearly 25% faster for 500 x 500 matrix, 40% faster for 2,000 x 2,000 matrix.
      • Matrix inversion: approximately 20% faster for a 500 x 500 matrix, nearly 40% faster for 1,000 x 1,000 matrix.
  • Distribution Functions
    • cdfBeta
    • cdfBinomialInv
    • cdfGenPareto
    • cdfLaplace, cdfLaplaceInv
    • cdfNegBinomialInv
    • cdfPoissonInv

New Functionality

  • New random number distributions
    • Cauchy
    • Exponential
    • Geometric
    • Gumbel
    • Laplace
    • Log-normal
    • Multivariate normal
    • Weibull