Details

    • Type: New Feature New Feature
    • Status: Reopened
    • Priority: Major Major
    • Resolution: Unresolved
    • Affects Version/s: None
    • Fix Version/s: 4.0
    • 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.

      1. mc1.patch
        29 kB
        Pavel Ryzhov

        Activity

        Thomas Neidhart made changes -
        Assignee Thomas Neidhart [ tn ]
        Thomas Neidhart made changes -
        Fix Version/s 4.0 [ 12317577 ]
        Thomas Neidhart made changes -
        Assignee Thomas Neidhart [ tn ]
        Thomas Neidhart made changes -
        Resolution Incomplete [ 4 ]
        Status Resolved [ 5 ] Reopened [ 4 ]
        Gilles made changes -
        Status Open [ 1 ] Resolved [ 5 ]
        Fix Version/s 3.1 [ 12317576 ]
        Resolution Incomplete [ 4 ]
        Phil Steitz made changes -
        Fix Version/s 3.1 [ 12317576 ]
        Fix Version/s 3.0 [ 12314824 ]
        Pavel Ryzhov made changes -
        Field Original Value New Value
        Attachment mc1.patch [ 12466974 ]
        Pavel Ryzhov created issue -

          People

          • Assignee:
            Unassigned
            Reporter:
            Pavel Ryzhov
          • Votes:
            0 Vote for this issue
            Watchers:
            2 Start watching this issue

            Dates

            • Created:
              Updated:

              Development