[MATH-463] Monte Carlo engine with 1D path

• Type: New Feature
• Status: Reopened
• Priority: Major
• Resolution: Unresolved
• Fix Version/s: 4.X
• Assignee: Unassigned
• Reporter: Pavel Ryzhov
• Created: 26/Dec/10 19:29
• Updated: 22/Apr/17 14:12

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.

Sub-Tasks

• An improved algorithm for computing the inverse cumulative probability for the normal distribution: Closed