- java.lang.Object
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- net.finmath.timeseries.models.parametric.DisplacedLognormal
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- All Implemented Interfaces:
HistoricalSimulationModel
public class DisplacedLognormal extends Object implements HistoricalSimulationModel
Displaced log-normal process with constanst 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 a constant. 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 DisplacedLognormal(double[] values)
DisplacedLognormal(double[] values, double lowerBoundDisplacement)
DisplacedLognormal(double[] values, double lowerBoundDisplacement, int windowIndexStart, int windowIndexEnd)
DisplacedLognormal(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(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)
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Constructor Detail
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DisplacedLognormal
public DisplacedLognormal(double[] values)
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DisplacedLognormal
public DisplacedLognormal(double[] values, double lowerBoundDisplacement)
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DisplacedLognormal
public DisplacedLognormal(double[] values, int windowIndexStart, int windowIndexEnd)
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DisplacedLognormal
public DisplacedLognormal(double[] values, double lowerBoundDisplacement, int windowIndexStart, int windowIndexEnd)
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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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getCloneWithWindow
public HistoricalSimulationModel getCloneWithWindow(double lowerBoundDisplacement, int windowIndexStart, int windowIndexEnd)
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getLogLikelihoodForParameters
public double getLogLikelihoodForParameters(double omega, double alpha, double beta, double displacement)
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getLastResidualForParameters
public double getLastResidualForParameters(double omega, double alpha, double beta, double displacement)
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getQuantilPredictionsForParameters
public double[] getQuantilPredictionsForParameters(double omega, double alpha, double beta, double displacement, 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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