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.