net.finmath.timeseries.models.parametric

Class SimpleHistroricalSimulation

java.lang.Object

net.finmath.timeseries.models.parametric.SimpleHistroricalSimulation

All Implemented Interfaces:

HistoricalSimulationModel

public class SimpleHistroricalSimulation
extends Object
implements HistoricalSimulationModel

Implementation of standard historical simulation.

Version:

1.0

Author:

Christian Fries, Norman Seeger

Constructor Summary

Constructors

Constructor and Description
SimpleHistroricalSimulation(double[] values)
SimpleHistroricalSimulation(double[] values, int windowIndexStart, int windowIndexEnd)

Method Summary

Modifier and Type	Method and Description
Map<String,Object>	getBestParameters() Returns the parameters estimated for the given time series.
Map<String,Object>	getBestParameters(Map<String,Object> guess) Returns the parameters estimated for the given time series, using a parameter guess.
HistoricalSimulationModel	getCloneWithWindow(int windowIndexStart, int windowIndexEnd) Create a new model, using only a window of the times series.
double[]	getQuantilPredictions(int relAbsFlag, double[] quantiles)
double[]	getSzenarios(int relAbsFlag)

Methods inherited from class java.lang.Object

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

Constructor Detail

SimpleHistroricalSimulation

public SimpleHistroricalSimulation(double[] values)

SimpleHistroricalSimulation

public SimpleHistroricalSimulation(double[] values,
                                   int windowIndexStart,
                                   int windowIndexEnd)

Method Detail

getCloneWithWindow

public HistoricalSimulationModel getCloneWithWindow(int windowIndexStart,
                                                    int windowIndexEnd)

Description copied from interface: HistoricalSimulationModel

Create a new model, using only a window of the times series.

Specified by:

getCloneWithWindow in interface HistoricalSimulationModel

Parameters:

windowIndexStart - Index of the first element to be part of the new time series.

windowIndexEnd - Index of the last element to be part of the new time series.

Returns:

A new historical simulation using a different data window.

getSzenarios

public double[] getSzenarios(int relAbsFlag)

getQuantilPredictions

public double[] getQuantilPredictions(int relAbsFlag,
                                      double[] quantiles)

getBestParameters

public Map<String,Object> getBestParameters()

Description copied from interface: HistoricalSimulationModel

Returns the parameters estimated for the given time series.

Specified by:

getBestParameters in interface HistoricalSimulationModel

Returns:

The parameters estimated for the given time series.

getBestParameters

public Map<String,Object> getBestParameters(Map<String,Object> guess)

Description copied from interface: HistoricalSimulationModel

Returns the parameters estimated for the given time series, using a parameter guess.

Specified by:

getBestParameters in interface HistoricalSimulationModel

Parameters:

guess - A parameter guess.

Returns:

The parameters estimated for the given time series.