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java.lang.Objectumontreal.iro.lecuyer.stochprocess.StochasticProcess
umontreal.iro.lecuyer.stochprocess.MultivariateStochasticProcess
umontreal.iro.lecuyer.stochprocess.MultivariateGeometricBrownianMotion
public class MultivariateGeometricBrownianMotion
This class is a multivariate version of GeometricBrownianMotion.
It represents a multivariate GBM process
{S(t) = (S1(t),..., Sc(t)), t >= 0}, which can be written as
| Constructor Summary | |
|---|---|
MultivariateGeometricBrownianMotion(int c,
double[] x0,
double[] mu,
double[] sigma,
MultivariateBrownianMotion mbm)
Constructs a new MultivariateGeometricBrownianMotion with parameters μ = MultivariateBrownianMotion. |
|
| Method Summary | |
|---|---|
double[] |
generatePath()
. |
MultivariateBrownianMotion |
getBrownianMotion()
Returns a reference to the MultivariateBrownianMotion object
used to generate the process. |
NormalGen |
getGen()
Returns the normal random variate generator used. |
RandomStream |
getStream()
Returns the random stream for the underlying Brownian motion. |
double[] |
nextObservationVector()
|
void |
nextObservationVector(double[] obs)
Generates and returns the vector of next observations |
void |
resetStartProcess()
Same as in StochasticProcess, but also invokes resetStartProcess for the underlying BrownianMotion object. |
void |
setObservationTimes(double[] t,
int d)
Sets the observation times of the MultivariateGeometricBrownianMotion, but also those of the inner MultivariateBrownianMotion. |
void |
setParams(int c,
double[] x0,
double[] mu,
double[] sigma)
Sets the parameters S(t0) = |
void |
setStream(RandomStream stream)
Resets the random stream for the underlying Brownian motion to stream. |
| Methods inherited from class umontreal.iro.lecuyer.stochprocess.MultivariateStochasticProcess |
|---|
getCurrentObservation, getDimension, getObservation, getObservation, getSubpath, getX0 |
| Methods inherited from class umontreal.iro.lecuyer.stochprocess.StochasticProcess |
|---|
generatePath, getArrayMappingCounterToIndex, getCurrentObservation, getCurrentObservationIndex, getNbObservationTimes, getObservation, getObservationTimes, getPath, getX0, hasNextObservation, nextObservation, setObservationTimes, setX0 |
| Methods inherited from class java.lang.Object |
|---|
equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait |
| Constructor Detail |
|---|
public MultivariateGeometricBrownianMotion(int c,
double[] x0,
double[] mu,
double[] sigma,
MultivariateBrownianMotion mbm)
MultivariateBrownianMotion.
The parameters of mbm are automatically reset to
μ - σ2/2 and σ, regardless of the original parameters
of mbm. The correlation structure is determined by the underlying
MultivariateBrownianMotion.
The observation times are the same as those of mbm. The generation
method depends on that of mbm (sequential, bridge sampling, PCA, etc.).
| Method Detail |
|---|
public void setObservationTimes(double[] t,
int d)
MultivariateBrownianMotion.
setObservationTimes in class MultivariateStochasticProcesspublic double[] nextObservationVector()
public void nextObservationVector(double[] obs)
nextObservationVector in class MultivariateStochasticProcesspublic double[] generatePath()
MultivariateStochasticProcess
generatePath in class MultivariateStochasticProcesspublic void resetStartProcess()
resetStartProcess in class StochasticProcess
public void setParams(int c,
double[] x0,
double[] mu,
double[] sigma)
public void setStream(RandomStream stream)
setStream in class StochasticProcesspublic RandomStream getStream()
getStream in class StochasticProcesspublic NormalGen getGen()
public MultivariateBrownianMotion getBrownianMotion()
MultivariateBrownianMotion object
used to generate the process.
|
SSJ V. labo. |
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| PREV CLASS NEXT CLASS | FRAMES NO FRAMES | ||||||||
| SUMMARY: NESTED | FIELD | CONSTR | METHOD | DETAIL: FIELD | CONSTR | METHOD | ||||||||