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java.lang.Object umontreal.iro.lecuyer.stochprocess.StochasticProcess umontreal.iro.lecuyer.stochprocess.GeometricLevyProcess
public abstract class GeometricLevyProcess
. Abstract class used as a parent class for the exponentiation of a Lévy process X(t):
GeometricNormalInverseGaussianProcess
is
implemented as a child of this class
and so could GeometricVarianceGammaProcess
and GeometricBrownianMotion
.
Constructor Summary | |
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GeometricLevyProcess()
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Method Summary | |
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double[] |
generatePath()
Generates a path. |
StochasticProcess |
getLevyProcess()
Returns the Lévy process. |
double |
getMuGeom()
Returns the geometric drift parameter, which is usually the interest rate, r. |
double |
getOmega()
Returns the risk neutral correction. |
RandomStream |
getStream()
Returns the stream from the underlying Lévy process. |
double |
nextObservation()
Returns the next observation. |
void |
resetRiskNeutralCorrection(double omegaRN)
Changes the value of ωRN. |
void |
resetStartProcess()
Resets the step counter of the geometric process and the underlying Lévy process to the start value. |
void |
setMuGeom(double muGeom)
Sets the drift parameter (interest rate) of the geometric term. |
void |
setObservationTimes(double[] time,
int d)
Sets the observation times on the geometric process and the underlying Lévy process. |
void |
setStream(RandomStream stream)
Resets the stream in the underlying Lévy process. |
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, 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 GeometricLevyProcess()
Method Detail |
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public double[] generatePath()
generatePath
in class StochasticProcess
public double nextObservation()
nextObservation
in class StochasticProcess
public void resetStartProcess()
resetStartProcess
in class StochasticProcess
public void setObservationTimes(double[] time, int d)
setObservationTimes
in class StochasticProcess
public double getOmega()
public double getMuGeom()
public void setMuGeom(double muGeom)
public StochasticProcess getLevyProcess()
public void resetRiskNeutralCorrection(double omegaRN)
GeometricNormalInverseGaussianProcess
.
public RandomStream getStream()
getStream
in class StochasticProcess
public void setStream(RandomStream stream)
setStream
in class StochasticProcess
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