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

          People

          • Assignee:
            Unassigned
            Reporter:
            Pavel Ryzhov
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            Dates

            • Created:
              Updated:

              Development