public class MultivariateFt extends Object implements DeepCopyable
Constructor and Description |
---|
MultivariateFt()
Construct an empty filtration (no information).
|
MultivariateFt(MultivariateFt that)
Copy constructor.
|
Modifier and Type | Method and Description |
---|---|
MultivariateFt |
deepCopy()
The implementation returns an instance created from
this by the copy
constructor of the class, or just this if the instance itself is
immutable. |
int |
dim()
Get the dimension of the process.
|
double |
dt()
Get the current time differential.
|
Vector |
dWt()
Get the increment of the driving Brownian motion during the time differential.
|
int |
nB()
Get the number of independent driving Brownian motions.
|
void |
setDt(double dt)
Set the current time differential.
|
void |
setXt(Vector Xt)
Set the current value of the stochastic process.
|
void |
setZt(Vector Zt)
Set the current value of the Gaussian innovation.
|
Vector |
Xt()
Get the current value of the stochastic process.
|
Vector |
Zt()
Get the current value of the Gaussian innovation.
|
public MultivariateFt()
public MultivariateFt(MultivariateFt that)
that
- another Ft
public MultivariateFt deepCopy()
DeepCopyable
this
by the copy
constructor of the class, or just this
if the instance itself is
immutable.deepCopy
in interface DeepCopyable
public int dim()
public int nB()
public void setDt(double dt)
dt
- the time differentialpublic double dt()
public void setXt(Vector Xt)
Xt
- the current value of the stochastic processpublic Vector Xt()
public void setZt(Vector Zt)
Zt
- the current Gaussian innovationpublic Vector Zt()
public Vector dWt()
Copyright © 2010-2020 NM FinTech Ltd.. All Rights Reserved.