plham

Class Fundamentals

plham.Fundamentals

public class Fundamentals

A class for fundamental values of multiple markets (assets). This can generate multivariate geometric Brownian motion (MGBM).

Calling setup() instantiates MGBM. Just setting the parameters (initials, drifts, volatilities, correlations) does not modify the behavior of MGBM; so call setup() to re-instanciate (setup(true) inherits the current state of MGBM).

The initials must be specified (no defaults). On the drafts, volatilities, correlations, their default values are 0.0.

Field Summary

Fields

Modifier and Type	Field and Description
Rail<MultiGeomBrownian>	GBM
Map<Pair<Long,Long>,Double>	correlations
Map<Long,Double>	drifts
Map<Long,Long>	g
Map<Long,Double>	initials
Map<Long,Long>	l
Random	random
Map<Long,Long>	table
Map<Long,Double>	volatilities

Constructor Summary

Constructors

Constructor and Description
Fundamentals(Random random)

Method Summary

Modifier and Type	Method and Description
(package private) static Pair<Long,Long>	Key() Type definition: type Key = Pair[Long, Long].
protected Long	addIndex(Long id)
Double	get(Market market)
Double	get(Long id)
Double	get(Long id, Double orElse)
static void	main(Rail<String> id$16)
void	removeCorrelation(Long id1, Long id2)
void	setCorrelation(Market market1, Market market2, Double correlation)
void	setCorrelation(Long id1, Long id2, Double correlation)
void	setDrift(Market market, Double drift)
void	setDrift(Long id, Double drift)
void	setInitial(Market market, Double initial)
void	setInitial(Long id, Double initial)
void	setVolatility(Market market, Double volatility)
void	setVolatility(Long id, Double volatility)
void	setup()
void	setup(Boolean inheritance)
void	update()

Field Detail

random

public Random random

table

public Map<Long,Long> table

initials

public Map<Long,Double> initials

drifts

public Map<Long,Double> drifts

volatilities

public Map<Long,Double> volatilities

correlations

public Map<Pair<Long,Long>,Double> correlations

GBM

public Rail<MultiGeomBrownian> GBM

g

public Map<Long,Long> g

l

public Map<Long,Long> l

Constructor Detail

Fundamentals

public Fundamentals(Random random)

Method Detail

addIndex

protected Long addIndex(Long id)

setInitial

public void setInitial(Market market,
                       Double initial)

setInitial

public void setInitial(Long id,
                       Double initial)

setDrift

public void setDrift(Market market,
                     Double drift)

setDrift

public void setDrift(Long id,
                     Double drift)

setVolatility

public void setVolatility(Market market,
                          Double volatility)

setVolatility

public void setVolatility(Long id,
                          Double volatility)

setCorrelation

public void setCorrelation(Market market1,
                           Market market2,
                           Double correlation)

setCorrelation

public void setCorrelation(Long id1,
                           Long id2,
                           Double correlation)

removeCorrelation

public void removeCorrelation(Long id1,
                              Long id2)

get

public Double get(Market market)

get

public Double get(Long id)

get

public Double get(Long id,
                           Double orElse)

update

public void update()

setup

public void setup()

setup

public void setup(Boolean inheritance)

main

public static void main(Rail<String> id$16)

Key

static Pair<Long,Long> Key()

Type definition: type Key = Pair[Long, Long].