java.lang.Object
net.finmath.timeseries.models.parametric.DisplacedLognormal
- All Implemented Interfaces:
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
-
Constructor Summary
ConstructorDescriptionDisplacedLognormal
(double[] values) DisplacedLognormal
(double[] values, double lowerBoundDisplacement) DisplacedLognormal
(double[] values, double lowerBoundDisplacement, int windowIndexStart, int windowIndexEnd) DisplacedLognormal
(double[] values, int windowIndexStart, int windowIndexEnd) -
Method Summary
Modifier and TypeMethodDescriptionReturns the parameters estimated for the given time series.getBestParameters
(Map<String, Object> guess) Returns the parameters estimated for the given time series, using a parameter guess.getCloneWithWindow
(double lowerBoundDisplacement, int windowIndexStart, int windowIndexEnd) 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)
-
Constructor Details
-
DisplacedLognormal
public DisplacedLognormal(double[] values) -
DisplacedLognormal
public DisplacedLognormal(double[] values, double lowerBoundDisplacement) -
DisplacedLognormal
public DisplacedLognormal(double[] values, int windowIndexStart, int windowIndexEnd) -
DisplacedLognormal
public DisplacedLognormal(double[] values, double lowerBoundDisplacement, int windowIndexStart, int windowIndexEnd)
-
-
Method Details
-
getCloneWithWindow
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.
-
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) -
getQuantilPredictionsForParameters
public double[] getQuantilPredictionsForParameters(double omega, double alpha, double beta, double displacement, double[] quantiles) -
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.
-
getBestParameters
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.
-