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java.lang.Object umontreal.iro.lecuyer.stochprocess.StochasticProcess umontreal.iro.lecuyer.stochprocess.CIRProcess
public class CIRProcess
This class represents a CIR (Cox, Ingersoll, Ross) process {X(t) : t >= 0}, sampled at times 0 = t0 < t1 < ... < td. This process obeys the stochastic differential equation
with initial condition X(0) = x0, where α, b and σ are positive constants, and {B(t), t >= 0} is a standard Brownian motion (with drift 0 and volatility 1). This process is mean-reverting in the sense that it always tends to drift toward its general mean b. The process is generated using the sequential technique where ν = 4bα/σ2, and χ′ 2ν(λ) is a noncentral chi-square random variable with ν degrees of freedom and noncentrality parameter λ.
Constructor Summary | |
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CIRProcess(double x0,
double alpha,
double b,
double sigma,
ChiSquareNoncentralGen gen)
The noncentral chi-square variate generator gen is specified directly instead of specifying the stream. |
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CIRProcess(double x0,
double alpha,
double b,
double sigma,
RandomStream stream)
Constructs a new CIRProcess with parameters α = |
Method Summary | |
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double[] |
generatePath()
Generates, returns, and saves the sample path {X(t0), X(t1),…, X(td)}. |
double[] |
generatePath(RandomStream stream)
Same as generatePath(), but first resets the stream to stream. |
double |
getAlpha()
Returns the value of α. |
double |
getB()
Returns the value of b. |
ChiSquareNoncentralGen |
getGen()
Returns the noncentral chi-square random variate generator used. |
double |
getSigma()
Returns the value of σ. |
RandomStream |
getStream()
Returns the random stream of the noncentral chi-square generator. |
double |
nextObservation()
Generates and returns the next observation X(tj) of the stochastic process. |
double |
nextObservation(double nextTime)
Generates and returns the next observation at time tj+1 = |
double |
nextObservation(double x,
double dt)
Generates an observation of the process in dt time units, assuming that the process has value x at the current time. |
void |
setParams(double x0,
double alpha,
double b,
double sigma)
Resets the parameters X(t0) = |
void |
setStream(RandomStream stream)
Resets the random stream of the noncentral chi-square generator to stream. |
Methods inherited from class umontreal.iro.lecuyer.stochprocess.StochasticProcess |
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getArrayMappingCounterToIndex, getCurrentObservation, getCurrentObservationIndex, getNbObservationTimes, getObservation, getObservationTimes, getPath, getSubpath, getX0, hasNextObservation, resetStartProcess, 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 CIRProcess(double x0, double alpha, double b, double sigma, RandomStream stream)
public CIRProcess(double x0, double alpha, double b, double sigma, ChiSquareNoncentralGen gen)
Method Detail |
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public double nextObservation()
StochasticProcess
nextObservation
in class StochasticProcess
public double nextObservation(double nextTime)
public double nextObservation(double x, double dt)
public double[] generatePath()
StochasticProcess
generatePath
in class StochasticProcess
public double[] generatePath(RandomStream stream)
StochasticProcess
generatePath
in class StochasticProcess
public void setParams(double x0, double alpha, double b, double sigma)
public void setStream(RandomStream stream)
setStream
in class StochasticProcess
public RandomStream getStream()
getStream
in class StochasticProcess
public double getAlpha()
public double getB()
public double getSigma()
public ChiSquareNoncentralGen getGen()
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