>
> Hi Christian, thanks for you interest.
>
> Let's open this for a discussion? My first step would be to merge the boost
> distributions to QuantLib.
>
> ------------------
> Advantages:
> ------------------
>
> First of all, they have many more distributions, such as non central ones
> and weibull, triangular.
> Then, I personally like the following syntax:
>
> #include <boost/math/distributions.hpp>
> using namespace boost::math;
>
> normal_distribution<> nd;
>
> cout << cdf(nd,0.2) << endl;
> cout << pdf(nd,0.0) << endl;
> cout << quantile(nd,0.1) << endl;
>
> for cdf, pdf and inverse cdf.
>
> ----------------------
> Disadvantages:
> ----------------------
>
> Basically I'm not sure if the implementation there suits our needs. I can
> immagine that boost
> provides basic math classes, which are good enough for the standard user,
> but I'm not sure
> if they are good enough for a library that relies a lot on this things and
> consequently needs
> a high quality implementation. But again, I think its better to go with
> boost in the long run
> as it will be improved on a regular basis by the community.
>
>
> What would a possible merger look like? Either keep current classes such as
> "InverseCumulativeNormal"
> and merge boost in the actual implementation, e.g. initialize a boost
> distribution in constructor and call
> it, instead of the current one.
>
> But I think a better Idea would be to replace the current occurrence of the
> other classes. This wouldn't be too
> much work, since usually the initialization of the cdf is done once, eg.
>
> CumulativeNormalDistribution f; // in the BlackCalculator
>
> Then, f is used throughout the class as a functor. So, if you would replace
> f here with a boost
> class, the merging is straightforward. Running the test_suite will show if
> there's any difference
> to current implementation.
>
> What do you think?
>
>
>
>
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>
> 2009/6/18 Pfrang, Christian <Christian_Pfrang@...>
>
>
>> Hi all,
>>
>> I've been following the posts on boost and quantlib and I wanted to let
>> you know that I'd be interested in contributing to the boostification of
>> quantlib.
>>
>> My background is in Applied Math (I'm a graduate student in Stochastic
>> Processes/ Dynamical Systems), but I'm an open source newbie and I would
>> need some guidance as to what would be a useful and doable starting point.
>>
>> If anyone of you is interested/ has some time to give me an idea what you
>> think could/ should be done that would be great!
>>
>> Best and thank you,
>>
>> Christian
>>
>>
>> -----Original Message-----
>> From: Ferdinando Ametrano [mailto:qf@...]
>> Sent: Mon 6/8/2009 11:18 AM
>> To: Dima
>> Cc: QuantLib developers
>> Subject: Re: [Quantlib-dev] Why not boost random numbers?
>>
>> On Sun, Jun 7, 2009 at 8:09 PM, Dima<dimathematician@...>
>> wrote:
>> > Boost has a random number library too and I was wondering, why this has
>> > never been considered and why own classes have been set up which were
>> > not based on the boost library.
>>
>> If I remember right Luigi took a look at boost random number and
>> concluded it was not an half-hour switch.
>> Beside it's not just matter of abandoning the QuantLib random number
>> framework, but also porting to the boost framework some generator
>> which is not available in boost (and which might remain in QuantLib or
>> could be contributed back to boost)
>>
>> Anyway you're right that a further "boostification" of the QuantLib
>> library would be a plus. Not only random numbers, but also math and
>> stats come to my mind, and there's probably more
>>
>> As usual any contribution in this direction would be welcome
>>
>> ciao -- Nando
>>
>>
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>>
>>
>>
>>
>>
>>
>
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