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java.lang.Object umontreal.iro.lecuyer.stochprocess.StochasticProcess umontreal.iro.lecuyer.stochprocess.GeometricVarianceGammaProcess
public class GeometricVarianceGammaProcess
This class represents a geometric variance gamma process S(t) (see). This stochastic process is defined by the equation
where X is a variance gamma process and
Constructor Summary | |
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GeometricVarianceGammaProcess(double s0,
double theta,
double sigma,
double nu,
double mu,
RandomStream stream)
Constructs a new GeometricVarianceGammaProcess with parameters θ = |
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GeometricVarianceGammaProcess(double s0,
double mu,
VarianceGammaProcess vargamma)
Constructs a new GeometricVarianceGammaProcess. |
Method Summary | |
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double[] |
generatePath()
Generates, returns, and saves the sample path {X(t0), X(t1),…, X(td)}. |
double[] |
generatePath(double[] uniform01)
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double |
getCurrentUpperBound()
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double |
getMu()
Returns the value of the parameter μ. |
double |
getNu()
Returns the value of the parameter ν. |
double |
getOmega()
Returns the value of the quantity ω defined in. |
double |
getSigma()
Returns the value of the parameter σ. |
RandomStream |
getStream()
Returns the random stream of the underlying generator. |
double |
getTheta()
Returns the value of the parameter θ. |
VarianceGammaProcess |
getVarianceGammaProcess()
Returns a reference to the variance gamma process X defined in the constructor. |
double |
nextObservation()
Generates and returns the next observation X(tj) of the stochastic process. |
void |
resetStartProcess()
Resets the GeometricaVarianceGammaProcess, but also applies the resetStartProcess method to the VarianceGammaProcess object used to generate this process. |
void |
setParams(double s0,
double theta,
double sigma,
double nu,
double mu)
Sets the parameters S(t0) = |
void |
setStream(RandomStream stream)
Resets the random stream of the underlying generator to stream. |
Methods inherited from class umontreal.iro.lecuyer.stochprocess.StochasticProcess |
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generatePath, getArrayMappingCounterToIndex, getCurrentObservation, getCurrentObservationIndex, getNbObservationTimes, getObservation, getObservationTimes, getPath, getSubpath, getX0, hasNextObservation, setObservationTimes, setObservationTimes, setX0 |
Methods inherited from class java.lang.Object |
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equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait |
Constructor Detail |
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public GeometricVarianceGammaProcess(double s0, double theta, double sigma, double nu, double mu, RandomStream stream)
VarianceGammaProcess
object used to implement
X in.
public GeometricVarianceGammaProcess(double s0, double mu, VarianceGammaProcess vargamma)
VarianceGammaProcess
vargamma. The parameter μ
is set to mu and the initial values
S(t0) =
Method Detail |
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public double nextObservation()
StochasticProcess
nextObservation
in class StochasticProcess
public double[] generatePath()
StochasticProcess
generatePath
in class StochasticProcess
public double[] generatePath(double[] uniform01)
public double getCurrentUpperBound()
public void resetStartProcess()
VarianceGammaProcess
object used to generate this process.
resetStartProcess
in class StochasticProcess
public void setParams(double s0, double theta, double sigma, double nu, double mu)
public double getTheta()
public double getMu()
public double getNu()
public double getSigma()
public double getOmega()
public VarianceGammaProcess getVarianceGammaProcess()
public void setStream(RandomStream stream)
StochasticProcess
setStream
in class StochasticProcess
public RandomStream getStream()
StochasticProcess
getStream
in class StochasticProcess
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