On Sun, Dec 26, 2010 at 6:59 AM, Pavel Ryzhov 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
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 Su
On Fri, Dec 24, 2010 at 10:38 AM, Pavel Ryzhov 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
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:
