Class MertonJumpProcess

    • Constructor Detail

      • MertonJumpProcess

        public MertonJumpProcess​(double jumpIntensity,
                                 double jumpSizeMean,
                                 double jumpSizeStDev,
                                 TimeDiscretization timeDiscretization,
                                 int numberOfPaths,
                                 int seed)
        Constructs a Merton Jump Process for Monte Carlo simulation.
        jumpIntensity - The jump intensity.
        jumpSizeMean - The mean of the jump size distribution.
        jumpSizeStDev - The std dev of the jump size distribution.
        timeDiscretization - The time discretization of the process.
        numberOfPaths - The number of path.
        seed - The seed for the random number generator.
    • Method Detail

      • getIncrement

        public RandomVariable getIncrement​(int timeIndex,
                                           int factor)
        Description copied from interface: IndependentIncrements
        Return the increment for a given timeIndex and given factor. The method returns the random variable Δ Xj(ti) := Xj(ti+1)-X(ti) for the given time index i and a given factor (index) j
        Specified by:
        getIncrement in interface IndependentIncrements
        timeIndex - The time index (corresponding to the this class's time discretization)
        factor - The index of the factor (independent scalar increment)
        The factor (component) of the increments (a random variable)
      • getRandomVariableForConstant

        public RandomVariable getRandomVariableForConstant​(double value)
        Description copied from interface: IndependentIncrements
        Returns a random variable which is initialized to a constant, but has exactly the same number of paths or discretization points as the ones used by this BrownianMotion.
        Specified by:
        getRandomVariableForConstant in interface IndependentIncrements
        value - The constant value to be used for initialized the random variable.
        A new random variable.
      • getCloneWithModifiedSeed

        public IndependentIncrements getCloneWithModifiedSeed​(int seed)
        Description copied from interface: IndependentIncrements
        Return a new object implementing BrownianMotion having the same specifications as this object but a different seed for the random number generator. This method is useful if you like to make Monte-Carlo samplings by changing the seed.
        Specified by:
        getCloneWithModifiedSeed in interface IndependentIncrements
        seed - New value for the seed.
        New object implementing BrownianMotion.
      • getJumpIntensity

        public double getJumpIntensity()
        the jumpIntensity
      • getJumpSizeMean

        public double getJumpSizeMean()
        the jumpSizeMean
      • getJumpSizeStDev

        public double getJumpSizeStDev()
        the jumpSizeStDev