public class ConstantSigma1 extends Object implements DiffusionMatrix
Constructor and Description |
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ConstantSigma1(Matrix sigma)
Construct a constant diffusion coefficient function.
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Modifier and Type | Method and Description |
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int |
dimension()
Get the dimension of the process.
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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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int |
nB()
Get the number of independent Brownian motions.
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public ConstantSigma1(Matrix sigma)
sigma
- the constant diffusion matrixpublic Matrix evaluate(MultivariateFt ft)
DiffusionMatrix
evaluate
in interface DiffusionMatrix
ft
- a filtrationpublic int dimension()
DiffusionMatrix
dimension
in interface DiffusionMatrix
public int nB()
DiffusionMatrix
nB
in interface DiffusionMatrix
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