org.jquantlib.processes

Class GeometricBrownianMotionProcess

java.lang.Object

org.jquantlib.processes.StochasticProcess

org.jquantlib.processes.StochasticProcess1D

org.jquantlib.processes.GeometricBrownianMotionProcess

All Implemented Interfaces:

Observable, Observer

public class GeometricBrownianMotionProcess
extends StochasticProcess1D

Geometric brownian-motion process

This class describes the stochastic process governed by

Nested Class Summary

Nested classes/interfaces inherited from class org.jquantlib.processes.StochasticProcess1D

StochasticProcess1D.Discretization1D

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

StochasticProcess.Discretization

Constructor Summary

Constructors

Constructor and Description
GeometricBrownianMotionProcess(double initialValue, double mue, double sigma)

Method Summary

Modifier and Type	Method and Description
double	diffusion(double t, double x) Returns the diffusion part of the equation, i.e.
double	drift(double t, double x) Returns the drift part of the equation
double	x0() Returns the initial value of the state variable

Methods inherited from class org.jquantlib.processes.StochasticProcess1D

apply, apply, covariance, diffusion, drift, evolve, evolve, expectation, expectation, initialValues, size, stdDeviation, stdDeviation, variance

Methods inherited from class org.jquantlib.processes.StochasticProcess

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

Methods inherited from class java.lang.Object

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

Constructor Detail

GeometricBrownianMotionProcess

public GeometricBrownianMotionProcess(double initialValue,
                                      double mue,
                                      double sigma)

Method Detail

diffusion

public double diffusion(double t,
                        double x)

Description copied from class: StochasticProcess1D

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

Specified by:

diffusion in class StochasticProcess1D

drift

public double drift(double t,
                    double x)

Description copied from class: StochasticProcess1D

Returns the drift part of the equation

Specified by:

drift in class StochasticProcess1D

x0

public double x0()

Description copied from class: StochasticProcess1D

Returns the initial value of the state variable

Specified by:

x0 in class StochasticProcess1D