umontreal.iro.lecuyer.stochprocess

Class VarianceGammaProcessDiffPCASymmetricalBridge

java.lang.Object

umontreal.iro.lecuyer.stochprocess.StochasticProcess

umontreal.iro.lecuyer.stochprocess.VarianceGammaProcess

umontreal.iro.lecuyer.stochprocess.VarianceGammaProcessDiff

umontreal.iro.lecuyer.stochprocess.VarianceGammaProcessDiffPCA

umontreal.iro.lecuyer.stochprocess.VarianceGammaProcessDiffPCASymmetricalBridge

public class VarianceGammaProcessDiffPCASymmetricalBridge
extends VarianceGammaProcessDiffPCA

Same as VarianceGammaProcessDiff, but the two inner GammaProcess'es are of the PCASymmetricalBridge type. Also, generatePath(double[] uniform01) distributes the lowest coordinates uniforms to the inner GammaProcessPCA according to their eigenvalues.

Constructor Summary

Constructors

Constructor and Description
VarianceGammaProcessDiffPCASymmetricalBridge(double s0, double theta, double sigma, double nu, RandomStream stream) Constructs a new VarianceGammaProcessDiffPCASymmetricalBridge with parameters θ = theta, σ = sigma, ν = nu and initial value S(t0) = s0.

Method Summary

Methods inherited from class umontreal.iro.lecuyer.stochprocess.VarianceGammaProcessDiffPCA

generatePath, generatePath, nextObservation

Methods inherited from class umontreal.iro.lecuyer.stochprocess.VarianceGammaProcessDiff

getGneg, getGpos, getStream, resetStartProcess, setObservationTimes, setStream

Methods inherited from class umontreal.iro.lecuyer.stochprocess.VarianceGammaProcess

getBrownianMotion, getGammaProcess, getNu, getSigma, getTheta, setParams

Methods inherited from class umontreal.iro.lecuyer.stochprocess.StochasticProcess

generatePath, getArrayMappingCounterToIndex, getCurrentObservation, getCurrentObservationIndex, getNbObservationTimes, getObservation, getObservationTimes, getPath, getSubpath, getX0, hasNextObservation, setObservationTimes, setX0

Methods inherited from class java.lang.Object

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

Constructor Detail

VarianceGammaProcessDiffPCASymmetricalBridge

public VarianceGammaProcessDiffPCASymmetricalBridge(double s0,
                                                    double theta,
                                                    double sigma,
                                                    double nu,
                                                    RandomStream stream)

Constructs a new VarianceGammaProcessDiffPCASymmetricalBridge with parameters θ = theta, σ = sigma, ν = nu and initial value S(t₀) = s0. There is only one RandomStream here which is used for the two inner GammaProcessPCASymmetricalBridge's. The other parameters are set as in VarianceGammaProcessDiff.