Module net.finmath.lib
Class SimpleHistroricalSimulation
- java.lang.Object
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- net.finmath.timeseries.models.parametric.SimpleHistroricalSimulation
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- All Implemented Interfaces:
HistoricalSimulationModel
public class SimpleHistroricalSimulation extends Object implements HistoricalSimulationModel
Implementation of standard historical simulation.- Version:
- 1.0
- Author:
- Christian Fries, Norman Seeger
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Constructor Summary
Constructors Constructor Description SimpleHistroricalSimulation(double[] values)
SimpleHistroricalSimulation(double[] values, int windowIndexStart, int windowIndexEnd)
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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.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)
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Method Detail
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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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getSzenarios
public double[] getSzenarios(int relAbsFlag)
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getQuantilPredictions
public double[] getQuantilPredictions(int relAbsFlag, double[] quantiles)
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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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