mrffl_stats.f90 File Reference

Statstical tools supporting MRFFL. More...

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Modules
module	mrffl_stats
	Some statstical utilities supporting other MRFFL modules.

Functions/Subroutines
integer(kind=ik) function, public	mrffl_stats::rand_int (upper_bound, optional_lower_bound)
	Return random integer in U([optional_lower_bound,upper_bound)) – optional_lower_bound is 0 if missing.
real(kind=rk) function, public	mrffl_stats::rand_real (upper_bound, optional_lower_bound)
	Return random real value in U([optional_lower_bound,upper_bound)) – optional_lower_bound is 0 if missing.
real(kind=rk) function, public	mrffl_stats::resample_tail (data, tail_length)
	Return random value from among the last tail_length elements of data.
real(kind=rk) function, public	mrffl_stats::resample_head (data, head_length)
	Return random value from among the first head_length elements of data.
subroutine, public	mrffl_stats::mean_and_variance (mean, variance, data)
	Return mean & variance of elements in an array.
real(kind=rk) function, public	mrffl_stats::rand_norm_std ()
	Return random value from the standard normal distribution.
real(kind=rk) function, public	mrffl_stats::rand_norm_std_box ()
	Return random value from the standard normal distribution using the Box-Muller transform.
real(kind=rk) function, public	mrffl_stats::rand_norm_std_probit_clip ()
	Return random value from the standard normal distribution in [-5.612, 5.612] using the Probit function.
real(kind=rk) function, public	mrffl_stats::rand_norm_std_probit ()
	Return random value from the standard normal distribution using the Probit function.
real(kind=rk) function, public	mrffl_stats::rand_norm (mean, variance)
	Return random value from the specified normal distribution.
real(kind=rk) function, public	mrffl_stats::rand_log_norm (mu, sigma)
	Return random value from the specified log-normal distribution.
real(kind=rk) function, public	mrffl_stats::probit (p)
	Probit function – i.e.
real(kind=rk) function	mrffl_stats::poly_eval (p, x)
	Evaluate a univariate polynomial.
subroutine, public	mrffl_stats::geometric_brownian_motion (step_values, s0, mu, sigma)
	Compute a set of random steps in a GBM process.
subroutine, public	mrffl_stats::zero_clipped_brownian_motion (step_values, s0, mu, sigma)
	Compute a set of random steps in a zero clipped browinan motion.

Detailed Description

Statstical tools supporting MRFFL.

Author

Mitch Richling http://www.mitchr.me/

Date

2024-12-19

Keywords

finance fortran monte carlo inflation cashflow time value of money tvm percentages taxes stock market

Standards

F2023

See also

https://github.com/richmit/FortranFinance

Copyright

Copyright (c) 2024, Mitchell Jay Richling http://www.mitchr.me/ All rights reserved.

Redistribution and use in source and binary forms, with or without modification, are permitted provided that the following conditions are met:

1. Redistributions of source code must retain the above copyright notice, this list of conditions, and the following disclaimer.
2. Redistributions in binary form must reproduce the above copyright notice, this list of conditions, and the following disclaimer in the documentation and/or other materials provided with the distribution.
3. Neither the name of the copyright holder nor the names of its contributors may be used to endorse or promote products derived from this software without specific prior written permission.

THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS "AS IS" AND ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, THE IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A PARTICULAR PURPOSE ARE DISCLAIMED. IN NO EVENT SHALL THE COPYRIGHT HOLDER OR CONTRIBUTORS BE LIABLE FOR ANY DIRECT, INDIRECT, INCIDENTAL, SPECIAL, EXEMPLARY, OR CONSEQUENTIAL DAMAGES (INCLUDING, BUT NOT LIMITED TO, PROCUREMENT OF SUBSTITUTE GOODS OR SERVICES; LOSS OF USE, DATA, OR PROFITS; OR BUSINESS INTERRUPTION) HOWEVER CAUSED AND ON ANY THEORY OF LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY, OR TORT (INCLUDING NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE OF THIS SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE.

.H.E.!!

Definition in file mrffl_stats.f90.