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java.lang.Objectumontreal.iro.lecuyer.stochprocess.StochasticProcess
umontreal.iro.lecuyer.stochprocess.MultivariateStochasticProcess
umontreal.iro.lecuyer.stochprocess.MultivariateGeometricBrownianMotion
public class MultivariateGeometricBrownianMotion
This class is a multivariate version of GeometricBrownianMotion
.
It represents a multivariate GBM process
{S(t) = (S1(t),..., Sc(t)), t >= 0}, which can be written as
Constructor Summary | |
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MultivariateGeometricBrownianMotion(int c,
double[] x0,
double[] mu,
double[] sigma,
MultivariateBrownianMotion mbm)
Constructs a new MultivariateGeometricBrownianMotion with parameters μ = MultivariateBrownianMotion . |
Method Summary | |
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double[] |
generatePath()
Generates, returns, and saves the sample path {X(t0),X(t1),…,X(td)}, which can then be accessed via getPath, getSubpath, or getObservation. |
MultivariateBrownianMotion |
getBrownianMotion()
Returns a reference to the MultivariateBrownianMotion object
used to generate the process. |
NormalGen |
getGen()
Returns the normal random variate generator used. |
RandomStream |
getStream()
Returns the random stream for the underlying Brownian motion. |
double[] |
nextObservationVector()
|
void |
nextObservationVector(double[] obs)
Generates and returns the vector of next observations |
void |
resetStartProcess()
Same as in StochasticProcess, but also invokes resetStartProcess for the underlying BrownianMotion object. |
void |
setObservationTimes(double[] t,
int d)
Sets the observation times of the MultivariateGeometricBrownianMotion, but also those of the inner MultivariateBrownianMotion . |
void |
setParams(int c,
double[] x0,
double[] mu,
double[] sigma)
Sets the parameters S(t0) = |
void |
setStream(RandomStream stream)
Resets the random stream for the underlying Brownian motion to stream. |
Methods inherited from class umontreal.iro.lecuyer.stochprocess.MultivariateStochasticProcess |
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getCurrentObservation, getDimension, getObservation, getObservation, getSubpath, getX0 |
Methods inherited from class umontreal.iro.lecuyer.stochprocess.StochasticProcess |
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generatePath, getArrayMappingCounterToIndex, getCurrentObservation, getCurrentObservationIndex, getNbObservationTimes, getObservation, getObservationTimes, getPath, getX0, hasNextObservation, nextObservation, 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 MultivariateGeometricBrownianMotion(int c, double[] x0, double[] mu, double[] sigma, MultivariateBrownianMotion mbm)
MultivariateBrownianMotion
.
The parameters of mbm are automatically reset to
μ - σ2/2 and σ, regardless of the original parameters
of mbm. The correlation structure is determined by the underlying
MultivariateBrownianMotion
.
The observation times are the same as those of mbm. The generation
method depends on that of mbm (sequential, bridge sampling, PCA, etc.).
Method Detail |
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public void setObservationTimes(double[] t, int d)
MultivariateBrownianMotion
.
setObservationTimes
in class MultivariateStochasticProcess
public double[] nextObservationVector()
public void nextObservationVector(double[] obs)
nextObservationVector
in class MultivariateStochasticProcess
public double[] generatePath()
MultivariateStochasticProcess
generatePath
in class MultivariateStochasticProcess
public void resetStartProcess()
resetStartProcess
in class StochasticProcess
public void setParams(int c, double[] x0, double[] mu, double[] sigma)
public void setStream(RandomStream stream)
setStream
in class StochasticProcess
public RandomStream getStream()
getStream
in class StochasticProcess
public NormalGen getGen()
public MultivariateBrownianMotion getBrownianMotion()
MultivariateBrownianMotion
object
used to generate the process.
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SSJ V. labo. |
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PREV CLASS NEXT CLASS | FRAMES NO FRAMES | ||||||||
SUMMARY: NESTED | FIELD | CONSTR | METHOD | DETAIL: FIELD | CONSTR | METHOD |