QuoteOriginally posted by: outrunQuoteOriginally posted by: CuchulainnQuoteOriginally posted by: outrunNice ideas, I have no strong opinions about them..I once tried to add a multivariate normal distribution to boost math (the density pdf, cdf etc, *not* random sampling) and that was already too complicated: what to do with the cov, the x vector...? I couldn't solve the discussions at the time...A thing I would design different is the returning of a array container in the link in the first post (randomcc). There is a need for some pattern like than when generating random sample paths from an SDE. I would provide some "fill_sample_path(output_it, SDE, S0?, t0,dt? -or- t_iterator , ...)" function (this is just a sketch, I haven't thought this through except for the container access part) that gets passed an iterator of SDE::state elements that gets filled (random access for techniques like Brownian bridge, ...for forward Euler path generation a forward iterator would suffice) instead of returning a container.Thoughts?Write some working code up so that people can get an idea of how it works. Then they can give feedback.BTW what's against containers? In almost all cases developers use std::vector<double> anyways?A container is well defines and everybody knows them, just google the definition. It's useless to force people to use vector<double>, what the benefit of that limitation? Do you think writing a template and using design concepts is too difficult? For SDE one could use a vector of states to store a path. The state for stoch vol models could eg be 2 doubles, my hunch is that the SDE type should provide its "state type".As I mentioned, provide a simple C++ code case to test your hypothesis. And let developers give their opinions!And many developers are not all that comfortable with the STL concepts. And at the end of the day most developers use std::vector<double> anyways.However, I do see the point of using generic concepts, but it you know it's a helluva lot of work. An engineering compromise is usually what happens with developers.
Last edited by Cuchulainn
on February 18th, 2014, 11:00 pm, edited 1 time in total.