Re: bivariate student cdf?

Posted by Luigi Ballabio on Apr 16, 2014; 1:41pm
URL: http://quantlib.414.s1.nabble.com/bivariate-student-cdf-tp15157p15163.html

Hello Krishnan,

    we have a number of generators in the library already. Do yours add any particular features?

We don't have clean-cut rules on contributions. If I were to try and write some guidelines: contributions of new instruments and/or models are obviously ok. Math code should have some use case in the rest of the library; Michal's is somewhat borderline (no actual use case yet) but it's an extension of the 1-D case and I can imagine it being used for some simulation. But in general, I'm not very selective and I tend to accept stuff (which sometimes leads to entire directories being in the library and not being used at all as far as I know, which is the reason I'm trying to filter a bit more these days).

As for bugs: known ones are filed at <http://sourceforge.net/p/quantlib/bugs/> Some of those are quite old, so it would be of help if someone were to go through them, check if they can still be reproduced, and let me know so I can close some of them. We used to have a feature-request tracker, but it was rather useless; as a rule, potential contributors stick to coding if something is useful to them, but lose interest quickly if the feature was requested by someone else...

One thing that might be needed are more tests. Of course this falls into the feature-request problem I just wrote about. But if someone starts using some feature of the library for their work, then it would be useful to all parties involved to add some test cases.

I hope this starts to answer your question.

Later,

    Luigi

On Wed, Apr 16, 2014 at 12:19 AM, [hidden email] <[hidden email]> wrote:

Hi Luigi,

I had a question in this context as well. Like Michal, I have little experience contributing to projects. My question is - how can we know what we can contribute? Like bugs, feature requests etc. Apologies, if this has been covered elsewhere.

Before C++11, which now supports normal distribution random number generators, I wrote code to generate these myself (Polar Marsaglia algorithm etc). Would this be of interest to Quantlib project? Please bear with my questions as I'm a newbie.

Regards,

-Krishnan

----- Reply message -----
From: "Luigi Ballabio" <[hidden email]>
To: "Michal Kaut" <[hidden email]>
Cc: "QuantLib developers" <[hidden email]>
Subject: [Quantlib-dev] bivariate student cdf?
Date: Tue, Apr 15, 2014 20:40

Hello,
    if you have use for it, then we probably have, too.  :)
You can either post the code here, or (if you're familiar with GitHub) send me a pull request.

Luigi

On Apr 15, 2014 9:34 PM, "Michal Kaut" <[hidden email]> wrote:

Hello,

I am wandering whether you (the QuantLib team) would be interested in a
code for bivariate student cdf?
I needed it for my code and since I did not find any implementation with
a suitable license, I have implemented it myself.
I did it in my free time, using formulas from a published paper (from
1954), so I have all rights to the code.
I checked the code against another library (in Matlab) and it gives the
same results.

At the moment, the code uses standard C/C++ types (double etc), but it
should not be a big problem to QuantLib-tify it.

My question is, do you have use for this (bivariate Student cdf) in
QuanLib? And if yes, what is the next step? (I have to admit I have very
little experience in contributing code to projects.)


Regards,
Michal

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