org.jquantlib.model.shortrate

Class StochasticProcessArray

java.lang.Object

org.jquantlib.processes.StochasticProcess

org.jquantlib.model.shortrate.StochasticProcessArray

All Implemented Interfaces:

Observable, Observer

public class StochasticProcessArray
extends StochasticProcess

Nested Class Summary

Nested classes/interfaces inherited from class org.jquantlib.processes.StochasticProcess

StochasticProcess.Discretization

Constructor Summary

Constructors

Constructor and Description
StochasticProcessArray(java.util.List<StochasticProcess1D> processes, Matrix correlation)

Method Summary

Modifier and Type	Method and Description
Array	apply(Array x0, Array dx) Applies a change to the asset value.
Matrix	correlation()
Matrix	covariance(double t0, Array x0, double dt) Returns the covariance of the process after a time interval according to the given discretization.
Matrix	diffusion(double t, Array x) Returns the diffusion part of the equation, i.e.
Array	drift(double t, Array x) Returns the drift part of the equation, i.e.,
Array	evolve(double t0, Array x0, double dt, Array dw) Returns the asset value after a time interval according to the given discretization.
Array	expectation(double t0, Array x0, double dt) Returns the expectation of the process after a time interval according to the given discretization.
Array	initialValues() Returns the initial values of the state variables
StochasticProcess1D	process(int i)
int	size() Returns the number of dimensions of the stochastic process
Matrix	stdDeviation(double t0, Array x0, double dt) Returns the standard deviation of the process after a time interval according to the given discretization.
double	time(Date d) Returns the time value corresponding to the given date in the reference system of the stochastic process.

Methods inherited from class org.jquantlib.processes.StochasticProcess

addObserver, countObservers, deleteObserver, deleteObservers, factors, getObservers, notifyObservers, notifyObservers, update

Methods inherited from class java.lang.Object

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

Constructor Detail

StochasticProcessArray

public StochasticProcessArray(java.util.List<StochasticProcess1D> processes,
                              Matrix correlation)

Method Detail

initialValues

public Array initialValues()

Description copied from class: StochasticProcess

Returns the initial values of the state variables

Specified by:

initialValues in class StochasticProcess

size

public int size()

Description copied from class: StochasticProcess

Returns the number of dimensions of the stochastic process

Specified by:

size in class StochasticProcess

drift

public Array drift(double t,
                   Array x)

Description copied from class: StochasticProcess

Returns the drift part of the equation, i.e.,

Specified by:

drift in class StochasticProcess

diffusion

public Matrix diffusion(double t,
                        Array x)

Description copied from class: StochasticProcess

Returns the diffusion part of the equation, i.e.

Specified by:

diffusion in class StochasticProcess

expectation

public Array expectation(double t0,
                         Array x0,
                         double dt)

Description copied from class: StochasticProcess

Returns the expectation of the process after a time interval according to the given discretization. This method can be overridden in derived classes which want to hard-code a particular discretization.

Overrides:

expectation in class StochasticProcess

stdDeviation

public Matrix stdDeviation(double t0,
                           Array x0,
                           double dt)

Description copied from class: StochasticProcess

Returns the standard deviation of the process after a time interval according to the given discretization. This method can be overridden in derived classes which want to hard-code a particular discretization.

Overrides:

stdDeviation in class StochasticProcess

covariance

public Matrix covariance(double t0,
                         Array x0,
                         double dt)

Description copied from class: StochasticProcess

Returns the covariance of the process after a time interval according to the given discretization. This method can be overridden in derived classes which want to hard-code a particular discretization.

Overrides:

covariance in class StochasticProcess

evolve

public Array evolve(double t0,
                    Array x0,
                    double dt,
                    Array dw)

Description copied from class: StochasticProcess

Returns the asset value after a time interval according to the given discretization. By default, it returns where is the expectation and the standard deviation.

Overrides:

evolve in class StochasticProcess

apply

public Array apply(Array x0,
                   Array dx)

Description copied from class: StochasticProcess

Applies a change to the asset value.

Overrides:

apply in class StochasticProcess

time

public double time(Date d)

Description copied from class: StochasticProcess

Returns the time value corresponding to the given date in the reference system of the stochastic process.

Overrides:

time in class StochasticProcess

process

public StochasticProcess1D process(int i)

correlation

public Matrix correlation()