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