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quantgirluk / aleatory

📦 Python library for Stochastic Processes Simulation and Visualisation
MIT License
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multivariate support in aleatory? #3

Open frankiethull opened 10 months ago

frankiethull commented 10 months ago

Hi there -

Very impressive package and thank you for making public!

I had an enhancement question.

Was curious if this package is planned to support multivariate processes? If I say have X commodities following various processes, with correlated random shocks.

Say two commodities, define one as GBM and the other as UO, with 70% correlation in their random draw direction. Is something like this currently feasible or something in the future plans?

My background in stochastic processes is in R, and can only point to MASS::mvrnorm as an example of the correlated draws.

Cheers!

quantgirluk commented 10 months ago

Thanks for supporting the library and opening this issue! Multidimensional processes are coming by the end of the year (they are in my Christmas 🎄to do list) or early 2024.

frankiethull commented 10 months ago

This would make all my Christmas wishes come true 💯