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From "Pavel Ryzhov (JIRA)" <>
Subject [jira] [Commented] (MATH-463) Monte Carlo engine with 1D path
Date Thu, 01 Sep 2011 15:58:09 GMT


Pavel Ryzhov commented on MATH-463:

The patch is quite old. The code has been used quite heavily by me and evolved. But anyway
as I'm the only developer and user of code I would love to see discussion of the design. Just
to find out my pitfalls in the design.

So, I'm going to re-integrate it back into Commons Math hopefully at the end of week or during
the next week.

> Monte Carlo engine with 1D path
> -------------------------------
>                 Key: MATH-463
>                 URL:
>             Project: Commons Math
>          Issue Type: New Feature
>            Reporter: Pavel Ryzhov
>             Fix For: 3.1
>         Attachments: mc1.patch
> 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.

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