net.finmath.timeseries.models.parametric

Class DisplacedLognormalARMAGARCH

java.lang.Object

net.finmath.timeseries.models.parametric.DisplacedLognormalARMAGARCH

All Implemented Interfaces:

HistoricalSimulationModel, TimeSeriesModelParametric

public class DisplacedLognormalARMAGARCH
extends java.lang.Object
implements TimeSeriesModelParametric, HistoricalSimulationModel

Displaced log-normal process with ARMAGARCH(1,1) volatility. This class estimate the process \[ \mathrm{d} \log(X + a) = \frac{\sigma}{b + a} \mathrm{d}W(t) \] where \( a > -min(X(t_{i}) \) and thus \( X+a > 0 \) and \( b = 1 - -min(X(t_{i}) \) \) and \( \sigma \) is given by a ARMAGARCH(1,1) process. The choice of b ensures that b+a ≥ 1. For a=0 we have a log-normal process with volatility σ/(b + a). For a=infinity we have a normal process with volatility σ.

Constructor Summary

Constructors

Constructor and Description
DisplacedLognormalARMAGARCH(TimeSeriesInterface timeSeries)
DisplacedLognormalARMAGARCH(TimeSeriesInterface timeSeries, double lowerBoundDisplacement)
DisplacedLognormalARMAGARCH(TimeSeriesInterface timeSeries, double lowerBoundDisplacement, double upperBoundDisplacement)

Method Summary

Modifier and Type	Method and Description
java.util.Map<java.lang.String,java.lang.Object>	getBestParameters() Returns the parameters estimated for the given time series.
java.util.Map<java.lang.String,java.lang.Object>	getBestParameters(java.util.Map<java.lang.String,java.lang.Object> guess) Returns the parameters estimated for the given time series, using a parameter guess.
TimeSeriesModelParametric	getCloneCalibrated(TimeSeriesInterface timeSeries)
HistoricalSimulationModel	getCloneWithWindow(int windowIndexStart, int windowIndexEnd) Create a new model, using only a window of the times series.
double	getLastResidualForParameters(double[] parameters)
double	getLogLikelihoodForParameters(double[] parameters)
java.lang.String[]	getParameterNames()
double[]	getParameters()
double[]	getSzenarios(double[] parameters)

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

DisplacedLognormalARMAGARCH

public DisplacedLognormalARMAGARCH(TimeSeriesInterface timeSeries)

DisplacedLognormalARMAGARCH

public DisplacedLognormalARMAGARCH(TimeSeriesInterface timeSeries,
                                   double lowerBoundDisplacement)

DisplacedLognormalARMAGARCH

public DisplacedLognormalARMAGARCH(TimeSeriesInterface timeSeries,
                                   double lowerBoundDisplacement,
                                   double upperBoundDisplacement)

Method Detail

getLogLikelihoodForParameters

public double getLogLikelihoodForParameters(double[] parameters)

getLastResidualForParameters

public double getLastResidualForParameters(double[] parameters)

getSzenarios

public double[] getSzenarios(double[] parameters)

getBestParameters

public java.util.Map<java.lang.String,java.lang.Object> getBestParameters()

Description copied from interface: HistoricalSimulationModel

Returns the parameters estimated for the given time series.

Specified by:

getBestParameters in interface HistoricalSimulationModel

Returns:

The parameters estimated for the given time series.

getBestParameters

public java.util.Map<java.lang.String,java.lang.Object> getBestParameters(java.util.Map<java.lang.String,java.lang.Object> guess)

Description copied from interface: HistoricalSimulationModel

Returns the parameters estimated for the given time series, using a parameter guess.

Specified by:

getBestParameters in interface HistoricalSimulationModel

Parameters:

guess - A parameter guess.

Returns:

The parameters estimated for the given time series.

getCloneCalibrated

public TimeSeriesModelParametric getCloneCalibrated(TimeSeriesInterface timeSeries)

Specified by:

getCloneCalibrated in interface TimeSeriesModelParametric

getCloneWithWindow

public HistoricalSimulationModel getCloneWithWindow(int windowIndexStart,
                                                    int windowIndexEnd)

Description copied from interface: HistoricalSimulationModel

Create a new model, using only a window of the times series.

Specified by:

getCloneWithWindow in interface HistoricalSimulationModel

Parameters:

windowIndexStart - Index of the first element to be part of the new time series.

windowIndexEnd - Index of the last element to be part of the new time series.

Returns:

A new historical simulation using a different data window.

getParameters

public double[] getParameters()

Specified by:

getParameters in interface TimeSeriesModelParametric

getParameterNames

public java.lang.String[] getParameterNames()

Specified by:

getParameterNames in interface TimeSeriesModelParametric