Modifier and Type | Class and Description |
---|---|
class |
MultivariateFtWt
This is a filtration implementation that includes the path-dependent information,
Wt.
|
Modifier and Type | Method and Description |
---|---|
MultivariateFt |
MultivariateFt.deepCopy() |
MultivariateFt |
MultivariateSDE.getFt()
Get an empty filtration of the process.
|
Modifier and Type | Method and Description |
---|---|
Vector |
FtAdaptedVectorFunction.evaluate(MultivariateFt ft)
Evaluate this function, f, at time t.
|
double |
FtAdaptedRealFunction.evaluate(MultivariateFt ft)
Evaluate this function, f, at time t.
|
Constructor and Description |
---|
MultivariateFt(MultivariateFt that)
Copy constructor.
|
Modifier and Type | Method and Description |
---|---|
Matrix |
DiffusionMatrix.evaluate(MultivariateFt ft)
Evaluate the diffusion matrix, σ(dt, Xt, Zt, ...), with respect to a filtration.
|
Vector |
ConstantDriftVector.evaluate(MultivariateFt ft) |
Matrix |
ConstantSigma1.evaluate(MultivariateFt ft) |
Vector |
ZeroDriftVector.evaluate(MultivariateFt ft) |
Matrix |
DiffusionSigma.evaluate(MultivariateFt ft) |
Modifier and Type | Method and Description |
---|---|
MultivariateFt |
MultivariateDiscreteSDE.getNewFt()
Get an empty filtration of the process.
|
MultivariateFt |
MultivariateEulerSDE.getNewFt() |
MultivariateFt |
MultivariateBrownianSDE.getNewFt() |
Modifier and Type | Method and Description |
---|---|
Vector |
MultivariateDiscreteSDE.dXt(MultivariateFt ft)
This is the SDE specification of a stochastic process.
|
Vector |
MultivariateEulerSDE.dXt(MultivariateFt ft)
This is the SDE specification of a stochastic process.
|
Vector |
MultivariateBrownianSDE.dXt(MultivariateFt ft) |
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