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  1. Commons Math
  2. MATH-463

Monte Carlo engine with 1D path

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    Details

    • Type: New Feature
    • Status: Reopened
    • Priority: Major
    • Resolution: Unresolved
    • Affects Version/s: None
    • Fix Version/s: 4.X
    • Labels:
      None

      Description

      Quite simple Monte-Carlo engine:

      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.

        Attachments

        1. mc1.patch
          29 kB
          Pavel Ryzhov

          Activity

            People

            • Assignee:
              Unassigned
              Reporter:
              paulrz Pavel Ryzhov
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              Dates

              • Created:
                Updated: