Constructor and Description |
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OUFittingMLE()
Create an instance that estimates the volatility parameter σ.
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OUFittingMLE(boolean estimateVolatility)
Create an instance with the option whether to estimate the volatility parameter.
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Modifier and Type | Method and Description |
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OUProcess |
getFittedOU(double[] ts)
Fit an OU process by using MLE.
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OUProcess |
getFittedOU(double[] ts,
double dt)
Get the fitted OU process.
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public OUFittingMLE(boolean estimateVolatility)
estimateVolatility
- true
if volatility parameter is to be estimatedpublic OUFittingMLE()
public OUProcess getFittedOU(double[] ts)
ts
- the time seriespublic OUProcess getFittedOU(double[] ts, double dt)
OUFitting
getFittedOU
in interface OUFitting
ts
- the time seriesdt
- the time interval between two successive points in the time seriesCopyright © 2010-2020 NM FinTech Ltd.. All Rights Reserved.