public interface DiffusionMatrix
Modifier and Type | Method and Description |
---|---|
int |
dimension()
Get the dimension of the process.
|
Matrix |
evaluate(MultivariateFt ft)
Evaluate the diffusion matrix, σ(dt, Xt, Zt, ...), with respect to a filtration.
|
int |
nB()
Get the number of independent Brownian motions.
|
Matrix evaluate(MultivariateFt ft)
ft
- a filtrationint dimension()
int nB()
Copyright © 2010-2020 NM FinTech Ltd.. All Rights Reserved.