Class DiffusionSigma

  • All Implemented Interfaces:
    DiffusionMatrix
    Direct Known Subclasses:
    ConstantSigma2

    public abstract class DiffusionSigma
    extends Object
    implements DiffusionMatrix
    This class implements the diffusion term in the form of a diffusion matrix. Each matrix entry is an Ft adapted function.
    • Constructor Detail

      • DiffusionSigma

        public DiffusionSigma()
    • Method Detail

      • evaluate

        public Matrix evaluate​(MultivariateFt ft)
        Description copied from interface: DiffusionMatrix
        Evaluate the diffusion matrix, σ(dt, Xt, Zt, ...), with respect to a filtration.
        Specified by:
        evaluate in interface DiffusionMatrix
        Parameters:
        ft - a filtration
        Returns:
        the diffusion matrix
      • sigma_ij

        public abstract FtAdaptedRealFunction sigma_ij​(int i,
                                                       int j)
        Get the Ft adapted function the D[i,j] entry in the diffusion matrix.
        Parameters:
        i - the row index
        j - the column index
        Returns:
        D[i,j]