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 <pavel.ryzhov@gmail.com>wrote:
>
>> No, right now.
>>
>> But i'll definitely make sample generation as i'm writing small Monte Carlo
>> engine.
>> My current plan is:
>> 1. Levy distribution as the first step for contribution.
>> 2. Stable distribution and generic distributions by characteristic
>> function. I've already started working on it.
>> 3. Generators for 1 and 2.
>> 4. Generator for Ito process. I'm not sure about Stratanovich processes as
>> they are rarely used in finance.
>>
>
> Have a look at o.a.c.m.distribution if you have not already done so. If you
> just provide an implementation of the distribution, a default
> inversionbased sampler will be inherited from the base class. If you want
> to improve the sampling, you can (eventually) override the sample() method.
>
> Phil
>
>
>>
>> Regards,
>> Pavel
>>
>> On Dec 21, 2010, at 22:27 PM, Ted Dunning wrote:
>>
>>> Sounds interesting to have to me.
>>>
>>> Do you generate samples?
>>>
>>> On Tue, Dec 21, 2010 at 12:38 PM, Pavel Ryzhov <pavel.ryzhov@gmail.com
>>> wrote:
>>>
>>>> Hi,
>>>>
>>>> I've implemented Levy distribution on top of commonsmath. The
>>>> implementation is pretty straightforward by
>>>> http://en.wikipedia.org/wiki/Lévy_distribution<http://en.wikipedia.org/wiki/L%C3%A9vy_distribution>
>> <http://en.wikipedia.org/wiki/L%C3%A9vy_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.
>>>>
>>>> So, do we need it in commonsmath?
>>>>
>>>> Regards,
>>>> Pavel
>>>>
>>>>
>>>> 
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>>
>>
>> 
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