org.jquantlib.processes

Class StochasticProcess

java.lang.Object

org.jquantlib.processes.StochasticProcess

All Implemented Interfaces:

Observable, Observer

Direct Known Subclasses:

ForwardMeasureProcess, HestonProcess, LiborForwardModelProcess, StochasticProcess1D, StochasticProcessArray

public abstract class StochasticProcess
extends java.lang.Object
implements Observable, Observer

Multi-dimensional stochastic process class.

Nested Class Summary

Nested Classes

Modifier and Type	Class and Description
static interface	StochasticProcess.Discretization Discretization of a stochastic process over a given time interval

Method Summary

Modifier and Type	Method and Description
void	addObserver(Observer observer) Attaches a observer to the Observable.
Array	apply(Array x0, Array dx) Applies a change to the asset value.
int	countObservers() Counts how many Observers were attached to this class.
Matrix	covariance(double t0, Array x0, double dt) Returns the covariance of the process after a time interval according to the given discretization.
void	deleteObserver(Observer observer) Detaches a previously attached observer to the observable.
void	deleteObservers() Detaches all previously attached observer to the observable.
abstract Matrix	diffusion(double t, Array x) Returns the diffusion part of the equation, i.e.
abstract 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.
int	factors() Returns the number of independent factors of the process
java.util.List<Observer>	getObservers() Returns list of observers registered with the Observable.
abstract Array	initialValues() Returns the initial values of the state variables
void	notifyObservers() Notifies all attached observers about changes in the observable.
void	notifyObservers(java.lang.Object arg) Notifies all attached observers about changes in the observable.
abstract 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 date) Returns the time value corresponding to the given date in the reference system of the stochastic process.
void	update() This method is called whenever the observed object is changed.

Methods inherited from class java.lang.Object

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

Method Detail

size

public abstract int size()

Returns the number of dimensions of the stochastic process

factors

public int factors()

Returns the number of independent factors of the process

initialValues

public abstract Array initialValues()

Returns the initial values of the state variables

drift

public abstract Array drift(double t,
                            Array x)

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

diffusion

public abstract Matrix diffusion(double t,
                                 Array x)

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

expectation

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

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.

stdDeviation

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

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.

covariance

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

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.

evolve

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

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.

apply

public Array apply(Array x0,
                   Array dx)

Applies a change to the asset value.

time

public double time(Date date)

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

update

public void update()

Description copied from interface: Observer

This method is called whenever the observed object is changed.

Specified by:

update in interface Observer

addObserver

public void addObserver(Observer observer)

Description copied from interface: Observable

Attaches a observer to the Observable. After attachment the observer gets informed about changes in the Observable.

Specified by:

addObserver in interface Observable

Parameters:

observer - The observer to attach to the observable

countObservers

public int countObservers()

Description copied from interface: Observable

Counts how many Observers were attached to this class.

Specified by:

countObservers in interface Observable

Returns:

the number of Observers

See Also:

Observer

deleteObserver

public void deleteObserver(Observer observer)

Description copied from interface: Observable

Detaches a previously attached observer to the observable. After detachment the observer does no longer receive change notifications from the observable.

Specified by:

deleteObserver in interface Observable

Parameters:

observer - The observer to detach from the observable

notifyObservers

public void notifyObservers()

Description copied from interface: Observable

Notifies all attached observers about changes in the observable.

Specified by:

notifyObservers in interface Observable

notifyObservers

public void notifyObservers(java.lang.Object arg)

Description copied from interface: Observable

Notifies all attached observers about changes in the observable.

Specified by:

notifyObservers in interface Observable

Parameters:

arg - an arbitrary Object to be passed to the Observer

deleteObservers

public void deleteObservers()

Description copied from interface: Observable

Detaches all previously attached observer to the observable. After detachment observers do not longer receive change notifications from the observable.

Specified by:

deleteObservers in interface Observable

getObservers

public java.util.List<Observer> getObservers()

Description copied from interface: Observable

Returns list of observers registered with the Observable. List returned is unmodifiable list.

Specified by:

getObservers in interface Observable

Returns:

list of observers