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.
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 <[email protected]>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.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 commons-math? >> >> Regards, >> Pavel >> >> >> --------------------------------------------------------------------- >> To unsubscribe, e-mail: [email protected] >> For additional commands, e-mail: [email protected] >> >> --------------------------------------------------------------------- To unsubscribe, e-mail: [email protected] For additional commands, e-mail: [email protected]
