Scenario-generation codes

There are three scenario-generating codes available from my web-page, sorted from the oldest to the newest:
  1. The original moment-matching code.
  2. A variant of the above, using cumulative distribution functions instead of moments.
  3. The new copula-based code.
So which one should you choose? Unless you need exact correlations, I would recommend the copula-based one. And even then, I would start with the copula-based code and only used one of the above as a post-process, to fix the correlations.
If you find a missing feature, such as a new copula type or distribution, just let me know and I can either add it myself, or at least help you with adding it.


All the codes are dual-licensed under the GNU Lesser General Public License (LGPL) version 2.1 and the Eclipse Public License (EPL). As a recipient of the code, you may choose which license to receive it under.
Note that the EPL is not GPL-compatible. On the other hand, it is the license used in most Coin-OR projects.
One important aspect of both licenses (so called "weak copyleft") is that if you make any modification or addition to the code itself, you must put your modification under the same license, the LGPL or EPL. Note that it is explicitly not needed to put any application under the LGPL or EPL, if that application is just using the code, without making any changes to it.

Download links

Copula-based code
The code is hosted at Bitbucket, as a Mercurial repository.
Snapshot from 2016-07-28:
The cdf-based code
At the moment, there is only a binary for Windows 64-bit.
The moment-matching code
Source code as tar.gz or zip archive; binaries for Linux 64-bit or 32-bit, and Windows 32-bit.