purposes and it looks like overkill for my simple ideas. Thus I end up with
writing my own engine.
Regards,
Pavel
On Dec 24, 2010, at 19:10 PM, Phil Steitz wrote:
> On Fri, Dec 24, 2010 at 10:38 AM, Pavel Ryzhov wrote:
>
>> So,
>>
>> I see that Monte Carlo is on Math
So, I've created jira MATH-462 for it and attached the patch.
It doesn't contain tests for alpha in (0,1) yet. I'll take a look at R examples
and will try to generate quantiles for some alpha.
On Dec 24, 2010, at 19:07 PM, Phil Steitz wrote:
> On Fri, Dec 24, 2010 at 10:1
So,
I see that Monte Carlo is on Math wish list. So I've done a quite simple MC
engine that uses 1D path generated by underlying stochastic process. It should
be easy to extend it to multidimensional paths but it is not in my plans yet.
The implementation is inspired by Quantlib project
(http:
Hi,
I've implemented a Stable random generator based on Chambers-Mallows-Stuck
method as it is described in "Handbook of computational statistics: concepts
and methods" by James E. Gentle, Wolfgang Härdle, Yuichi Mori
But I'm stuck on unit-testing of the generator as I don't have estimators of
Thanks, I see. So there is a sample generator for Levy.
It might be not that easy for stable distributions. I should start with naive
implementation.
Pavel
On Dec 21, 2010, at 23:32 PM, Phil Steitz wrote:
> On Tue, Dec 21, 2010 at 5:03 PM, Pavel Ryzhov wrote:
>
>> No, right now
> On Tue, Dec 21, 2010 at 12:38 PM, Pavel Ryzhov wrote:
>
>> Hi,
>>
>> I've implemented Levy distribution on top of commons-math. The
>> implementation is pretty straightforward by
>> http://en.wikipedia.org/wiki/Lévy_distribution<http://en.wikipedia.or
Hi,
I've implemented Levy distribution on top of commons-math. The implementation
is pretty straightforward by http://en.wikipedia.org/wiki/Lévy_distribution So
it was not a big deal. The distribution is of interest to the financial
modeling, so it might worth to include it into the library.
S
