org.jquantlib.processes

Class EulerDiscretization

java.lang.Object

org.jquantlib.processes.EulerDiscretization

All Implemented Interfaces:

StochasticProcess.Discretization, StochasticProcess1D.Discretization1D

public class EulerDiscretization
extends java.lang.Object
implements StochasticProcess.Discretization, StochasticProcess1D.Discretization1D

Euler discretization for stochastic processes

Constructor Summary

Constructors

Constructor and Description
EulerDiscretization()

Method Summary

Modifier and Type	Method and Description
Matrix	covarianceDiscretization(StochasticProcess sp, double t0, Array x0, double dt) Returns an approximation of the covariance defined as
double	diffusionDiscretization(StochasticProcess1D sp, double t0, double x0, double dt) Returns an approximation of the diffusion defined as
Matrix	diffusionDiscretization(StochasticProcess sp, double t0, Array x0, double dt) Returns an approximation of the diffusion defined as
double	driftDiscretization(StochasticProcess1D sp, double t0, double x0, double dt) Returns an approximation of the drift defined as
Array	driftDiscretization(StochasticProcess sp, double t0, Array x0, double dt) Returns an approximation of the drift defined as
double	varianceDiscretization(StochasticProcess1D sp, double t0, double x0, double dt) Returns an approximation of the variance defined as

Methods inherited from class java.lang.Object

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

Constructor Detail

EulerDiscretization

public EulerDiscretization()

Method Detail

driftDiscretization

public Array driftDiscretization(StochasticProcess sp,
                                 double t0,
                                 Array x0,
                                 double dt)

Returns an approximation of the drift defined as

Specified by:

driftDiscretization in interface StochasticProcess.Discretization

diffusionDiscretization

public Matrix diffusionDiscretization(StochasticProcess sp,
                                      double t0,
                                      Array x0,
                                      double dt)

Returns an approximation of the diffusion defined as

Specified by:

diffusionDiscretization in interface StochasticProcess.Discretization

covarianceDiscretization

public Matrix covarianceDiscretization(StochasticProcess sp,
                                       double t0,
                                       Array x0,
                                       double dt)

Returns an approximation of the covariance defined as

Specified by:

covarianceDiscretization in interface StochasticProcess.Discretization

driftDiscretization

public double driftDiscretization(StochasticProcess1D sp,
                                  double t0,
                                  double x0,
                                  double dt)

Returns an approximation of the drift defined as

Specified by:

driftDiscretization in interface StochasticProcess1D.Discretization1D

diffusionDiscretization

public double diffusionDiscretization(StochasticProcess1D sp,
                                      double t0,
                                      double x0,
                                      double dt)

Returns an approximation of the diffusion defined as

Specified by:

diffusionDiscretization in interface StochasticProcess1D.Discretization1D

varianceDiscretization

public double varianceDiscretization(StochasticProcess1D sp,
                                     double t0,
                                     double x0,
                                     double dt)

Returns an approximation of the variance defined as

Specified by:

varianceDiscretization in interface StochasticProcess1D.Discretization1D