| Constructor and Description |
|---|
OUFittingOLS()
Create an instance that estimates the volatility parameter σ.
|
OUFittingOLS(boolean estimateVolatility)
Create an instance with the option whether to estimate the volatility parameter.
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| Modifier and Type | Method and Description |
|---|---|
OUProcess |
getFittedOU(double[] ts)
Fit an OU process by using least squares regression.
|
OUProcess |
getFittedOU(double[] ts,
double dt)
Get the fitted OU process.
|
public OUFittingOLS(boolean estimateVolatility)
estimateVolatility - true if volatility parameter is to be estimatedpublic OUFittingOLS()
public OUProcess getFittedOU(double[] ts)
ts - the time seriespublic OUProcess getFittedOU(double[] ts, double dt)
OUFittinggetFittedOU in interface OUFittingts - the time seriesdt - the time interval between two successive points in the time seriesCopyright © 2010-2020 NM FinTech Ltd.. All Rights Reserved.