org.ojalgo.random.process
Class DiffusionProcess

java.lang.Object
  org.ojalgo.random.process.DiffusionProcess

All Implemented Interfaces:

RandomProcess

public class DiffusionProcess
extends Object
implements RandomProcess

Diffusion process defined by a stochastic differential equation dX = r X dt + s X dW

Author:

apete

Constructor Summary

DiffusionProcess(double aLocalDrift, double aDiffusionFunction)

DiffusionProcess(double aReturn, double aVariance, double aHorizon)

Method Summary

DiffusionProcess	createNewWithChangedStepSize(double aConvertionFactor)
static DiffusionProcess	estimate(TimeInMillisSeries<?> aSeries, TimeUnit aTimeUnit)
double	getCurrentValue()
double	getDeviationValue(double aHorizon)
double	getDiffusionFunction()
double	getExpected(double aHorizon) Expected relative change (+/- some percentage)
double	getExpectedValue(double aHorizon)
double	getLocalDrift()
double	getStandardDeviation(double aHorizon)
double	getVariance(double aHorizon)
void	setCurrentValue(double aCurrentValue)
void	setDiffusionFunction(double aDiffusionFunction)
void	setExpected(double aReturn, double aHorizon)
void	setLocalDrift(double aLocalDrift)
void	setStandardDeviation(double aStandardDeviation, double aHorizon) Will update both the diffusion function and the local drift.
void	setVariance(double aVariance, double aHorizon) Will update both the diffusion function and the local drift.
double	step() Default step count is 1.0.
double	step(double aStepCount) If the implementing class maintains state, the current value should be updated when calling this method.

Methods inherited from class java.lang.Object

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

Constructor Detail

DiffusionProcess

public DiffusionProcess(double aLocalDrift,
                        double aDiffusionFunction)

DiffusionProcess

public DiffusionProcess(double aReturn,
                        double aVariance,
                        double aHorizon)

Method Detail

estimate

public static DiffusionProcess estimate(TimeInMillisSeries<?> aSeries,
                                        TimeUnit aTimeUnit)

Parameters:

aSeries - A series of observations, each with a timestamp, that should be evenly spaced.

aTimeUnit - You have to specify with what unit the DiffusionProcess will meassure time.

createNewWithChangedStepSize

public DiffusionProcess createNewWithChangedStepSize(double aConvertionFactor)

getCurrentValue

public double getCurrentValue()

getDeviationValue

public double getDeviationValue(double aHorizon)

getDiffusionFunction

public double getDiffusionFunction()

getExpected

public double getExpected(double aHorizon)

Expected relative change (+/- some percentage)

getExpectedValue

public double getExpectedValue(double aHorizon)

getLocalDrift

public double getLocalDrift()

getStandardDeviation

public double getStandardDeviation(double aHorizon)

getVariance

public double getVariance(double aHorizon)

setCurrentValue

public void setCurrentValue(double aCurrentValue)

setDiffusionFunction

public void setDiffusionFunction(double aDiffusionFunction)

setExpected

public void setExpected(double aReturn,
                        double aHorizon)

setLocalDrift

public void setLocalDrift(double aLocalDrift)

setStandardDeviation

public void setStandardDeviation(double aStandardDeviation,
                                 double aHorizon)

Will update both the diffusion function and the local drift.

See Also:

getDiffusionFunction(), getLocalDrift()

setVariance

public void setVariance(double aVariance,
                        double aHorizon)

Will update both the diffusion function and the local drift.

See Also:

getDiffusionFunction(), getLocalDrift()

step

public double step()

Description copied from interface: RandomProcess

Default step count is 1.0.

Specified by:

step in interface RandomProcess

step

public double step(double aStepCount)

Description copied from interface: RandomProcess

If the implementing class maintains state, the current value should be updated when calling this method.

Specified by:

step in interface RandomProcess