The QHQ++ Library
- QHQc++
QHQc++ is a C++ scientific computing numerical library, including basic linear algebra, numerical optimization, random variables generation, and various statistics tools. - QHQmcmc++
QHQmcmc++ includes some Markov Chain Monte Carlo sampling algorithms which are specifically useful for linear/nonlinear Gaussian/Non-Gaussian latent dynamic models. The sampling algorithms for state vector include Kalman Filter, Simulation Smoother, Efficient Important Sampling, and Laplace Approximation. QHQmcmc++ also includes Gibbs sampler and various Metropolis-Hasting algorithms. - QHQsv++
QHQsv++ is a MCMC based statistic library for estimating Stochastic Volatility models, including the basic Stochastic Volatility model, the Student-SV, the Jump SV, the SV-in-Mean, the Fractional Integrated SV, the Asymmetric SV, the Dynamic Bivariate Mixture SV and the Multivariate SV model. - QHQyv++
(under development)
Yield Curve Modeling Library
(download) (documentation)