# mlmc R package

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An implementation of Multi-level Monte Carlo for R. This package builds
on the original GPL-2 Matlab and C++ implementations by Mike Giles (see
<https://people.maths.ox.ac.uk/~gilesm/mlmc/>) to provide a full MLMC
driver and example level samplers. Multi-core parallel sampling of
levels is provided built-in.

## Contact

Please feel free to:

- submit suggestions and bug-reports at:
  <https://github.com/louisaslett/mlmc/issues>
- compose an e-mail to: <louis.aslett@durham.ac.uk>

## Install

You can install the latest stable release directly from
[CRAN](https://cran.r-project.org/package=mlmc).

``` r
install.packages("mlmc")
```

Or you can install the latest release candidate binary from r-universe:

``` r
install.packages("mlmc", repos = c("https://louisaslett.r-universe.dev", options("repos")[[1]]))
```

## Install development version (not recommended)

Installing directly from [GitHub](https://github.com) is not supported
by the `install.packages` command. You could use the
[devtools](https://cran.r-project.org/package=devtools) package to
install the development version if desired.

``` r
install.packages("devtools")
devtools::install_github("louisaslett/mlmc")
```

Under releases, the tree/commit from which CRAN releases were made are
recorded, so historic source can be downloaded from there.

## Acknowledgements

Louis Aslett was supported by the i-like programme grant (EPSRC grant
reference number EP/K014463/1 <http://www.i-like.org.uk>) when this
package was first conceived. Tigran Nagapetyan and Sebastian Vollmer
were supported by EPSRC Grant EP/N000188/1.

## Citation

If you use this software, please cite:

Aslett, L. J. M., Giles, M. B., Nagapetyan, T. and Vollmer, S. J.
(2016), *mlmc: Multi-Level Monte Carlo*. R package. DOI:
10.32614/CRAN.package.mlmc <https://CRAN.R-project.org/package=mlmc>

``` bibtex
@Manual{mlmcpkg,
  title = {mlmc: Multi-Level Monte Carlo},
  author = {Aslett, L. J. M. and Giles, M. B. and Nagapetyan, T. and Vollmer, S. J.},
  year = {2016},
  note = {R package},
  doi = {10.32614/CRAN.package.mlmc},
  url = {https://CRAN.R-project.org/package=mlmc}
}
```

Thank-you.

# Package index

## All functions

- [`mcqmc06_l()`](https://mlmc.louisaslett.com/reference/mcqmc06_l.md) :
  Financial options using a Milstein discretisation

- [`mlmc()`](https://mlmc.louisaslett.com/reference/mlmc.md) :
  Multi-level Monte Carlo estimation

- [`mlmc.test()`](https://mlmc.louisaslett.com/reference/mlmc.test.md) :
  Multi-level Monte Carlo estimation test suite

- [`opre_l()`](https://mlmc.louisaslett.com/reference/opre_l.md) :
  Financial options using an Euler-Maruyama discretisation

- [`plot(`*`<mlmc.test>`*`)`](https://mlmc.louisaslett.com/reference/plot.mlmc.test.md)
  :

  Plot an `mlmc.test` object