On Tue, Dec 21, 2010 at 5:03 PM, Pavel Ryzhov <[email protected]>wrote:
> No, right now. > > But i'll definitely make sample generation as i'm writing small Monte Carlo > engine. > My current plan is: > 1. Levy distribution as the first step for contribution. > 2. Stable distribution and generic distributions by characteristic > function. I've already started working on it. > 3. Generators for 1 and 2. > 4. Generator for Ito process. I'm not sure about Stratanovich processes as > they are rarely used in finance. > Have a look at o.a.c.m.distribution if you have not already done so. If you just provide an implementation of the distribution, a default inversion-based sampler will be inherited from the base class. If you want to improve the sampling, you can (eventually) override the sample() method. Phil > > Regards, > Pavel > > On Dec 21, 2010, at 22:27 PM, Ted Dunning wrote: > > > Sounds interesting to have to me. > > > > Do you generate samples? > > > > On Tue, Dec 21, 2010 at 12:38 PM, Pavel Ryzhov <[email protected] > >wrote: > > > >> Hi, > >> > >> I've implemented Levy distribution on top of commons-math. The > >> implementation is pretty straightforward by > >> http://en.wikipedia.org/wiki/Lévy_distribution<http://en.wikipedia.org/wiki/L%C3%A9vy_distribution> > <http://en.wikipedia.org/wiki/L%C3%A9vy_distribution>So it was not a big > deal. The distribution is of interest to the financial > >> modeling, so it might worth to include it into the library. > >> > >> So, do we need it in commons-math? > >> > >> Regards, > >> Pavel > >> > >> > >> --------------------------------------------------------------------- > >> To unsubscribe, e-mail: [email protected] > >> For additional commands, e-mail: [email protected] > >> > >> > > > --------------------------------------------------------------------- > To unsubscribe, e-mail: [email protected] > For additional commands, e-mail: [email protected] > >
