public abstract class DiffusionSigma extends Object implements DiffusionMatrix
| Constructor and Description |
|---|
DiffusionSigma() |
| Modifier and Type | Method and Description |
|---|---|
Matrix |
evaluate(MultivariateFt ft)
Evaluate the diffusion matrix, σ(dt, Xt, Zt, ...), with respect to a filtration.
|
abstract FtAdaptedRealFunction |
sigma_ij(int i,
int j)
Get the Ft adapted function the D[i,j] entry in the diffusion matrix.
|
clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, waitdimension, nBpublic Matrix evaluate(MultivariateFt ft)
DiffusionMatrixevaluate in interface DiffusionMatrixft - a filtrationpublic abstract FtAdaptedRealFunction sigma_ij(int i, int j)
i - the row indexj - the column indexCopyright © 2010-2020 NM FinTech Ltd.. All Rights Reserved.