Module net.finmath.lib

Package net.finmath.timeseries.models.parametric

Class DisplacedLognormalGARCH

java.lang.Object

net.finmath.timeseries.models.parametric.DisplacedLognormalGARCH

All Implemented Interfaces:

HistoricalSimulationModel

public class DisplacedLognormalGARCH
extends Object
implements HistoricalSimulationModel

Displaced log-normal process with GARCH(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 GARCH(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

Constructor Summary

Constructors

Constructor	Description
DisplacedLognormalGARCH(double[] values)
DisplacedLognormalGARCH(double[] values, double lowerBoundDisplacement)
DisplacedLognormalGARCH(double[] values, double lowerBoundDisplacement, int windowIndexStart, int windowIndexEnd)
DisplacedLognormalGARCH(double[] values, int windowIndexStart, int windowIndexEnd)

Method Summary

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.
HistoricalSimulationModel	getCloneWithWindow(double lowerBoundDisplacement, int windowIndexStart, int windowIndexEnd)
HistoricalSimulationModel	getCloneWithWindow(int windowIndexStart, int windowIndexEnd)	Create a new model, using only a window of the times series.
double	getLastResidualForParameters(double omega, double alpha, double beta, double displacement)
double	getLogLikelihoodForParameters(double omega, double alpha, double beta, double displacement)
double[]	getQuantilPredictionsForParameters(double omega, double alpha, double beta, double displacement, double[] quantiles)
double[]	getSzenarios(double omega, double alpha, double beta, double displacement)

Methods inherited from class java.lang.Object

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

Constructor Detail

DisplacedLognormalGARCH

public DisplacedLognormalGARCH(double[] values)

DisplacedLognormalGARCH

public DisplacedLognormalGARCH(double[] values,
                               double lowerBoundDisplacement)

DisplacedLognormalGARCH

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

DisplacedLognormalGARCH

public DisplacedLognormalGARCH(double[] values,
                               double lowerBoundDisplacement,
                               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.

getCloneWithWindow

public HistoricalSimulationModel getCloneWithWindow(double lowerBoundDisplacement,
                                                    int windowIndexStart,
                                                    int windowIndexEnd)

getLogLikelihoodForParameters

public double getLogLikelihoodForParameters(double omega,
                                            double alpha,
                                            double beta,
                                            double displacement)

getLastResidualForParameters

public double getLastResidualForParameters(double omega,
                                           double alpha,
                                           double beta,
                                           double displacement)

getSzenarios

public double[] getSzenarios(double omega,
                             double alpha,
                             double beta,
                             double displacement)

getQuantilPredictionsForParameters

public double[] getQuantilPredictionsForParameters(double omega,
                                                   double alpha,
                                                   double beta,
                                                   double displacement,
                                                   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.