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https://issues.apache.org/jira/browse/MATH-463?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanel&focusedCommentId=13665245#comment-13665245
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Pavel Ryzhov commented on MATH-463:
-----------------------------------
Hi Thomas,
Thank you for getting this library into Common Math. I've added LICENSE.txt and
a disclaimer into readme.md.
Though Sobol sequence generator has been adapted from jQuantLib and thus it is
under GPLv2. I think that it might be interchanged easily as the adaptation
involved BitsStreamGenerator interface implementation.
And I think that BrownianBridge has been extracted from QuantLib library as I
needed this functionality very quickly.
Regards,
Pavel
> Monte Carlo engine with 1D path
> -------------------------------
>
> Key: MATH-463
> URL: https://issues.apache.org/jira/browse/MATH-463
> Project: Commons Math
> Issue Type: New Feature
> Reporter: Pavel Ryzhov
> 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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