public class OUSim extends Object implements RandomNumberGenerator
| Constructor and Description |
|---|
OUSim(OUProcess ou)
Create an OU process simulator with a time interval of 1, using the overall mean as the
starting value.
|
OUSim(OUProcess ou,
double dt)
Create an OU process simulator using the overall mean as the starting value.
|
OUSim(OUProcess ou,
double dt,
double x0)
Create an OU process simulator.
|
OUSim(OUProcess ou,
double dt,
double x0,
RandomStandardNormalGenerator rng)
Create an OU process simulator.
|
| Modifier and Type | Method and Description |
|---|---|
double |
dt()
Get the time interval \(\delta_t\) of this generator.
|
OUProcess |
getProcess()
Get the underlying OU process of this generator.
|
double |
nextDouble()
Get the next random
double. |
void |
seed(long... seeds)
Seed the random number/vector/scenario generator to produce repeatable experiments.
|
public OUSim(OUProcess ou, double dt, double x0, RandomStandardNormalGenerator rng)
ou - the underlying OU processdt - the time interval \(\delta_t\)x0 - the starting valuerng - the standard Gaussian innovation generatorpublic OUSim(OUProcess ou, double dt, double x0)
StandardNormalRNG is used for generating i.i.d
innovations.ou - the underlying OU processdt - the time interval \(\delta_t\)x0 - the starting valuepublic OUSim(OUProcess ou, double dt)
StandardNormalRNG is used for generating i.i.d innovations.ou - the underlying OU processdt - the time interval \(\delta_t\)public OUSim(OUProcess ou)
StandardNormalRNG is used for generating i.i.d innovations.ou - the underlying OU processpublic double nextDouble()
RandomNumberGeneratordouble.nextDouble in interface RandomNumberGeneratorpublic void seed(long... seeds)
Seedablepublic OUProcess getProcess()
public double dt()
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