public class Filtration extends Object
Constructor and Description |
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Filtration(UnivariateTimeSeries<Double,? extends UnivariateTimeSeries.Entry<Double>> Bt)
Construct a
Filtration from a Brownian path. |
Modifier and Type | Method and Description |
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double |
B(int i)
Get the Brownian motion value at the i-th time point.
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double[] |
Bt()
Get the entire Brownian path.
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double |
dB(int i)
Get the Brownian increment at the i-th time point.
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double[] |
dBt()
Get all the Brownian increments.
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double[] |
dt()
Get all the time increments.
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double |
dt(int i)
Get the i-th time increment.
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int |
size()
Get the length of the history.
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double |
time(int i)
Get the i-th time point.
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double[] |
times()
Get the entire time grid.
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public Filtration(UnivariateTimeSeries<Double,? extends UnivariateTimeSeries.Entry<Double>> Bt)
Filtration
from a Brownian path.Bt
- a Brownian pathpublic int size()
public double B(int i)
i
- a time index, counting from 0public double[] Bt()
public double dB(int i)
dB[i] = B[i+1] - B[i]
i
- a time index, counting from 0public double[] dBt()
public double time(int i)
i
- a time indexpublic double[] times()
public double dt(int i)
dt[i] = t[i+1] - t[i]
i
- a time index, counting from 0public double[] dt()
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