Details

Type: New Feature

Status: Reopened

Priority: Major

Resolution: Unresolved

Affects Version/s: None

Fix Version/s: 4.X

Labels:None
Description
Quite simple MonteCarlo 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.
The initial implementation of MonteCarlo engine.