public abstract class DiffusionSigma extends Object implements DiffusionMatrix
Constructor and Description |
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DiffusionSigma() |
Modifier and Type | Method and Description |
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Matrix |
evaluate(MultivariateFt ft)
Evaluate the diffusion matrix, σ(dt, Xt, Zt, ...), with respect to a filtration.
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abstract FtAdaptedRealFunction |
sigma_ij(int i,
int j)
Get the Ft adapted function the D[i,j] entry in the diffusion matrix.
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clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
dimension, nB
public Matrix evaluate(MultivariateFt ft)
DiffusionMatrix
evaluate
in interface DiffusionMatrix
ft
- 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.