Financial intruments
Wednesday, June 12, 2013
Poisson process
Try my
jsFiddle
function ln(val){
return Math.log(val) / Math.log(Math.E);
}
function poissonProcess(lambda,T)
{
var t=0;
var k=0;
var S=new Array();
while(t<=T)
{
var r=Math.random();
t=t-ln(r)/lambda
if (t>T) return S;
S[k]=t;
k=k+1;
}
return S;
}
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