bsopt.py 文件源码

def LogNormalPaths(mu, cov, fwd, numPaths):
    ''' mu and fwd are 1d lists/arrays (1xn); cov is a 2d scipy.array (nxn); numPaths is int '''
    return (fwd*scipy.exp(numpy.random.multivariate_normal(mu, cov, numPaths) - 0.5*cov.diagonal())).transpose()