plham.util

Class MultiGeomBrownian

plham.util.MultiGeomBrownian

public class MultiGeomBrownian

Field Summary

Fields

Modifier and Type	Field and Description
Rail<Double>	c
Rail<Rail<Double>>	chol
Rail<Rail<Double>>	cor
Long	dim
Double	dt
Rail<Double>	g
Gaussian	gaussian
Rail<Double>	mu
Random	random
Rail<Double>	s0 Given a lower-triangular cholesky decomposition matrix, U_{NxN}, and a vector of independent Gaussians, X_{N} = (x_0,...
Rail<Double>	sigma
Rail<Double>	state

Constructor Summary

Constructors

Constructor and Description
MultiGeomBrownian(Random random, Rail<Double> s0, Rail<Double> mu, Rail<Double> sigma, Rail<Rail<Double>> cor, Double dt)
MultiGeomBrownian(Random random, Long dim)

Method Summary

Modifier and Type	Method and Description
Double	get(Long i)
static void	main(Rail<String> id$14)
Rail<Double>	nextBrownian()

Field Detail

random

public Random random

gaussian

public Gaussian gaussian

s0

public Rail<Double> s0

Given a lower-triangular cholesky decomposition matrix, U_{NxN}, and a vector of independent Gaussians, X_{N} = (x_0,...,x_N), a correlated geometric Brownian vector is given by ΔS = X U (dot) where S_{N} is a state vector of the N-dimensional geometric Brownian.

mu

public Rail<Double> mu

sigma

public Rail<Double> sigma

cor

public Rail<Rail<Double>> cor

dt

public Double dt

dim

public Long dim

chol

public Rail<Rail<Double>> chol

state

public Rail<Double> state

g

public Rail<Double> g

c

public Rail<Double> c

Constructor Detail

MultiGeomBrownian

public MultiGeomBrownian(Random random,
                         Rail<Double> s0,
                         Rail<Double> mu,
                         Rail<Double> sigma,
                         Rail<Rail<Double>> cor,
                         Double dt)

MultiGeomBrownian

public MultiGeomBrownian(Random random,
                         Long dim)

Method Detail

nextBrownian

public Rail<Double> nextBrownian()

get

public Double get(Long i)

main

public static void main(Rail<String> id$14)