On Sun, Dec 26, 2010 at 6:59 AM, Pavel Ryzhov <pavel.ryz...@gmail.com>wrote:
> Hi Phil, > > The engine I wrote goes as follows: > 1. Generates N samples (paths) of Ito process with given drift and > diffusion. It uses simple Euler discretization on equally spaced time scale. > 2. For each path evaluate some path function and provide this value to > SummaryStatistics. > > The usage of SummaryStatistics is rather questionable but it seems to be > reasonable for the beginning. Most prob, I will abstract it to some > interface and supply default implementation based on SummaryStatistics > class. > > Currently implemented specific stochastic processes are Geometric Brownian > Motion (http://en.wikipedia.org/wiki/Geometric_Brownian_motion) and > Ornstein-Uhlenbeck process ( > http://en.wikipedia.org/wiki/Ornstein–Uhlenbeck_process<http://en.wikipedia.org/wiki/Ornstein%E2%80%93Uhlenbeck_process>). > They are used for engine tests as they have analytically expressed first > moments. > > The inspirational point of quantlib project is that I tried to use it for > my purposes and it looks like overkill for my simple ideas. Thus I end up > with writing my own engine. > > OK. I see what you have in mind now. Open a JIRA and attach some code and we can talk about the API. Thanks! Phil > Regards, > Pavel > > On Dec 24, 2010, at 19:10 PM, Phil Steitz wrote: > > > On Fri, Dec 24, 2010 at 10:38 AM, Pavel Ryzhov <pavel.ryz...@gmail.com > >wrote: > > > >> So, > >> > >> I see that Monte Carlo is on Math wish list. So I've done a quite simple > MC > >> engine that uses 1D path generated by underlying stochastic process. It > >> should be easy to extend it to multidimensional paths but it is not in > my > >> plans yet. > >> > >> The implementation is inspired by Quantlib project ( > >> http://quantlib.org/index.shtml) but I tried to keep it as far as > possible > >> from financial slang. > >> > >> Do we wish this feature in 3.0? > >> > >> Can you describe in a little more detail what you have in mind? > > > > Phil > > > > > >> > >> > >> --------------------------------------------------------------------- > >> To unsubscribe, e-mail: dev-unsubscr...@commons.apache.org > >> For additional commands, e-mail: dev-h...@commons.apache.org > >> > >> > > > --------------------------------------------------------------------- > To unsubscribe, e-mail: dev-unsubscr...@commons.apache.org > For additional commands, e-mail: dev-h...@commons.apache.org > >
