Ask HN: Good C++ Numerical Libraries

I'm starting my MSFE program this fall. Since C++ is heavily used on Wall Street, I have decided to take this summer to build a significant numerical library for financial related applications. Right now I am working with Quantlib and GSL to see how numerical routines are coded in C-style languages, but I am hoping to see a much broader code base as my project develops. I've come across several other numerical libraries, but I'm really not capable of judging yet what is considered to be a good library. I was hoping HN could point me to some well-constructed numerical libraries, hopefully coded in C++. I'll share my code when I get a significant amount of work done.

I thank any posters ahead of time.

I'm doing graphics research, and the numerical libraries is probably slightly different, but the ones I've found useful are: http://math.nist.gov/tnt/ http://eigen.tuxfamily.org/index.php?title=Main_Page http://www.cgal.org/

Also, I can't recommend "Numerical Recipies in C++" enough. This is a great book if you're not a wizard already, although the seriously good numerical mathematicians complain that it doesn't necessarily show you the absolute best way to do everthing. Its a great learning and example-code resource though! http://www.amazon.com/Numerical-Recipes-C-Scientific-Computi...

Boost.uBlas: http://www.boost.org/doc/libs/1_39_0/libs/numeric/ublas/doc/...

A good C++ library for high performance computing is going to be more than just C-style functions wrapped in a class. Read the paper on Expression Templates by Todd Veldhuizen: http://ubiety.uwaterloo.ca/~tveldhui/papers/Expression-Templ...

I gave up and used Matlab to generate C++ libraries.

Miracl is one.