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java.lang.Objectumontreal.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 | |
|---|---|
GeometricLevyProcess()
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| Method Summary | |
|---|---|
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 |
|---|
generatePath, getArrayMappingCounterToIndex, getCurrentObservation, getCurrentObservationIndex, getNbObservationTimes, getObservation, getObservationTimes, getPath, getSubpath, getX0, hasNextObservation, setObservationTimes, setX0 |
| Methods inherited from class java.lang.Object |
|---|
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 StochasticProcesspublic double nextObservation()
nextObservation in class StochasticProcesspublic void resetStartProcess()
resetStartProcess in class StochasticProcess
public void setObservationTimes(double[] time,
int d)
setObservationTimes in class StochasticProcesspublic 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 StochasticProcesspublic void setStream(RandomStream stream)
setStream in class StochasticProcess
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