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 |
|---|---|
int |
dimension()
Get the dimension of the process.
|
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)
DiffusionMatrixevaluate in interface DiffusionMatrixft - a filtrationpublic int dimension()
DiffusionMatrixdimension in interface DiffusionMatrixpublic int nB()
DiffusionMatrixnB in interface DiffusionMatrixCopyright © 2010-2020 NM FinTech Ltd.. All Rights Reserved.