OjAlgo

oj! Algorithms or ojAlgo, is an open source Java library for mathematics, linear algebra and optimisation. It was first released in 2003 and is 100% pure Java source code and free from external dependencies. Its feature set make it particularly suitable for use within the financial domain.

WWW Official Site

Capabilities

Linear algebra in Java
* "high performance" multi-threaded feature-complete linear algebra package.
Optimisation including LP, QP and MIP solvers.
Finance related code :
* Extensive set of tools to work with time series - CalendarDateSeries, CoordinationSet & PrimitiveTimeSeries.
* Random numbers and stochastic processes - even multi-dimensional such - and the ability to drive these to do things like Monte Carlo simulations.
* A collection of Modern Portfolio Theory related classes - FinancePortfolio and its subclasses the Markowitz and Black-Litterman model implementations.
* Ability to download data from Yahoo Finance and Google Finance.

It requires Java 8 since version v38. As of version 44.0, the finance specific code has been moved to its own project/module named ojAlgo-finance.

Usage example

Example of singular value decomposition:

SingularValue svd = SingularValueDecomposition.make;
svd.compute;
MatrixStore U = svd.getQ1;
MatrixStore S = svd.getD;
MatrixStore V = svd.getQ2;

Example of matrix multiplication:

PrimitiveDenseStore result = FACTORY.makeZero, matB.getColDim);
result.fillByMultiplying;