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java.lang.Object umontreal.iro.lecuyer.stochprocess.StochasticProcess umontreal.iro.lecuyer.stochprocess.GeometricLevyProcess umontreal.iro.lecuyer.stochprocess.GeometricNormalInverseGaussianProcess
public class GeometricNormalInverseGaussianProcess
.
The geometric normal inverse gaussian (GNIG) process
is the exponentiation of a NormalInverseGaussianProcess
:
Constructor Summary | |
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GeometricNormalInverseGaussianProcess(double s0,
double muGeom,
double alpha,
double beta,
double mu,
double delta,
RandomStream streamBrownian,
InverseGaussianProcess igP)
Constructs a new GeometricNormalInverseGaussianProcess. |
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GeometricNormalInverseGaussianProcess(double s0,
double muGeom,
double alpha,
double beta,
double mu,
double delta,
RandomStream streamBrownian,
NormalInverseGaussianProcess nigP)
Constructs a new GeometricNormalInverseGaussianProcess. |
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GeometricNormalInverseGaussianProcess(double s0,
double muGeom,
double alpha,
double beta,
double mu,
double delta,
RandomStream streamBrownian,
RandomStream streamNIG1,
RandomStream streamNIG2,
String igType)
Constructs a new GeometricNormalInverseGaussianProcess. |
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GeometricNormalInverseGaussianProcess(double s0,
double muGeom,
double alpha,
double beta,
double mu,
double delta,
RandomStream streamAll,
String igType)
Constructs a new GeometricNormalInverseGaussianProcess. |
Method Summary |
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Methods inherited from class umontreal.iro.lecuyer.stochprocess.GeometricLevyProcess |
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generatePath, getLevyProcess, getMuGeom, getOmega, getStream, nextObservation, resetRiskNeutralCorrection, resetStartProcess, setMuGeom, setObservationTimes, setStream |
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 GeometricNormalInverseGaussianProcess(double s0, double muGeom, double alpha, double beta, double mu, double delta, RandomStream streamBrownian, NormalInverseGaussianProcess nigP)
public GeometricNormalInverseGaussianProcess(double s0, double muGeom, double alpha, double beta, double mu, double delta, RandomStream streamBrownian, InverseGaussianProcess igP)
NormalInverseGaussianProcess
.
public GeometricNormalInverseGaussianProcess(double s0, double muGeom, double alpha, double beta, double mu, double delta, RandomStream streamBrownian, RandomStream streamNIG1, RandomStream streamNIG2, String igType)
NormalInverseGaussianProcess
process.
public GeometricNormalInverseGaussianProcess(double s0, double muGeom, double alpha, double beta, double mu, double delta, RandomStream streamAll, String igType)
InverseGaussianProcess
that will be used by the underlying NormalInverseGaussianProcess
.
All RandomStream
's used to generate the underlying
NormalInverseGaussianProcess
and its underlying InverseGaussianProcess
are set to the same given streamAll.
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