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F# for Quantitative Finance by Johan Astborg

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Using the Math.NET library

Instead of implementing your own functions for numerical support, there is an excellent library called Math.NET. It's an open-source library covering fundamental mathematics such as linear algebra and statistics.

The Math.NET library consists of the following libraries:

  • Math.NET numerics: Numerical computing
  • Math.NET neodym: Signal processing
  • Math.NET linq algebra: Computer algebra
  • Math.NET yttrium: Experimental network computer algebra

In this section, we'll look at Math.NET numerics, and see how it can help us in our F# programming. First, we need to make sure that Math.NET is installed on our system.

Installing the Math.NET library

The Math.NET library can be installed using the built-in Package Manager.

  1. Open the Package Manager ...

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