Module net.finmath.lib
Class DisplacedLognormalARMAGARCH
- java.lang.Object
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- net.finmath.timeseries.models.parametric.DisplacedLognormalARMAGARCH
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- All Implemented Interfaces:
HistoricalSimulationModel
,TimeSeriesModelParametric
public class DisplacedLognormalARMAGARCH extends Object implements TimeSeriesModelParametric, HistoricalSimulationModel
Displaced log-normal process with ARMAGARCH(1,1) volatility. This class estimate the process \[ \mathrm{d} \log(X + a) = \frac{\sigma}{b + a} \mathrm{d}W(t) \] where \( a > -min(X(t_{i}) \) and thus \( X+a > 0 \) and \( b = 1 - -min(X(t_{i}) \) \) and \( \sigma \) is given by a ARMAGARCH(1,1) process. The choice of b ensures that b+a ≥ 1. For a=0 we have a log-normal process with volatility σ/(b + a). For a=infinity we have a normal process with volatility σ.- Version:
- 1.0
- Author:
- Christian Fries
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Constructor Summary
Constructors Constructor Description DisplacedLognormalARMAGARCH(TimeSeries timeSeries)
DisplacedLognormalARMAGARCH(TimeSeries timeSeries, double lowerBoundDisplacement)
DisplacedLognormalARMAGARCH(TimeSeries timeSeries, double lowerBoundDisplacement, double upperBoundDisplacement)
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Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method 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.TimeSeriesModelParametric
getCloneCalibrated(TimeSeries timeSeries)
HistoricalSimulationModel
getCloneWithWindow(int windowIndexStart, int windowIndexEnd)
Create a new model, using only a window of the times series.double
getLastResidualForParameters(double[] parameters)
double
getLogLikelihoodForParameters(double[] parameters)
String[]
getParameterNames()
double[]
getParameters()
double[]
getSzenarios(double[] parameters)
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Constructor Detail
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DisplacedLognormalARMAGARCH
public DisplacedLognormalARMAGARCH(TimeSeries timeSeries)
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DisplacedLognormalARMAGARCH
public DisplacedLognormalARMAGARCH(TimeSeries timeSeries, double lowerBoundDisplacement)
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DisplacedLognormalARMAGARCH
public DisplacedLognormalARMAGARCH(TimeSeries timeSeries, double lowerBoundDisplacement, double upperBoundDisplacement)
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Method Detail
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getLogLikelihoodForParameters
public double getLogLikelihoodForParameters(double[] parameters)
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getLastResidualForParameters
public double getLastResidualForParameters(double[] parameters)
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getSzenarios
public double[] getSzenarios(double[] parameters)
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getBestParameters
public Map<String,Object> getBestParameters()
Description copied from interface:HistoricalSimulationModel
Returns the parameters estimated for the given time series.- Specified by:
getBestParameters
in interfaceHistoricalSimulationModel
- Returns:
- The parameters estimated for the given time series.
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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 interfaceHistoricalSimulationModel
- Parameters:
guess
- A parameter guess.- Returns:
- The parameters estimated for the given time series.
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getCloneCalibrated
public TimeSeriesModelParametric getCloneCalibrated(TimeSeries timeSeries)
- Specified by:
getCloneCalibrated
in interfaceTimeSeriesModelParametric
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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 interfaceHistoricalSimulationModel
- 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.
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getParameters
public double[] getParameters()
- Specified by:
getParameters
in interfaceTimeSeriesModelParametric
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getParameterNames
public String[] getParameterNames()
- Specified by:
getParameterNames
in interfaceTimeSeriesModelParametric
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