Class MertonJumpComponent

java.lang.Object
net.finmath.finitedifference.assetderivativevaluation.models.AbstractStateIndependentJumpComponent
net.finmath.finitedifference.assetderivativevaluation.models.MertonJumpComponent
All Implemented Interfaces:
Serializable, JumpComponent
Direct Known Subclasses:
BatesJumpComponent
public class MertonJumpComponent extends AbstractStateIndependentJumpComponent
Jump component for the Merton jump-diffusion model.

The jump part acts on one selected state variable through multiplicative jumps of the form 

x -> x * exp(y),

where the log-jump size y is normally distributed with mean jumpMean and standard deviation jumpStdDev. The associated Levy density is 

nu(y) = intensity * gaussianDensity(y; jumpMean, jumpStdDev^2).

Since the Merton jump component has finite activity, it also has finite variation.

Author:
Alessandro Gnoatto
See Also:

  • Constructor Details

    • MertonJumpComponent

      public MertonJumpComponent(double lowerIntegrationBound, double upperIntegrationBound, double intensity, double jumpMean, double jumpStdDev)
      Creates a Merton jump component acting on the first state variable.
      Parameters:
      lowerIntegrationBound - Lower integration bound for the log-jump variable.
      upperIntegrationBound - Upper integration bound for the log-jump variable.
      intensity - Jump intensity.
      jumpMean - Mean of the log-jump size.
      jumpStdDev - Standard deviation of the log-jump size.

    • MertonJumpComponent

      public MertonJumpComponent(int stateVariableIndex, double lowerIntegrationBound, double upperIntegrationBound, double intensity, double jumpMean, double jumpStdDev)
      Creates a Merton jump component.
      Parameters:
      stateVariableIndex - Index of the affected state variable.
      lowerIntegrationBound - Lower integration bound for the log-jump variable.
      upperIntegrationBound - Upper integration bound for the log-jump variable.
      intensity - Jump intensity.
      jumpMean - Mean of the log-jump size.
      jumpStdDev - Standard deviation of the log-jump size.

  • Method Details

    • getLevyDensity

      protected double getLevyDensity(double time, double jumpSize)
      Description copied from class: AbstractStateIndependentJumpComponent
      Returns the Levy density at the given log-jump size.

      Implementations only need to provide the state-independent density nu(y). Dependence on the PDE state variables is intentionally excluded from this base class.

      Specified by:
      getLevyDensity in class AbstractStateIndependentJumpComponent
      Parameters:
      time - The evaluation time.
      jumpSize - The log-relative jump size.
      Returns:
      The Levy density at the given jump size.

    • getIntensity

      public double getIntensity()
      Returns the jump intensity.
      Returns:
      The jump intensity.

    • getJumpMean

      public double getJumpMean()
      Returns the mean of the log-jump size.
      Returns:
      The mean of the log-jump size.

    • getJumpStdDev

      public double getJumpStdDev()
      Returns the standard deviation of the log-jump size.
      Returns:
      The standard deviation of the log-jump size.