Package tech.nmfin.trend.kst1995
Class KnightSatchellTran1995
- java.lang.Object
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- dev.nm.stat.markovchain.SimpleMC
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- dev.nm.stat.hmm.HMMRNG
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- tech.nmfin.trend.kst1995.KnightSatchellTran1995
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- All Implemented Interfaces:
RandomNumberGenerator
,Seedable
public class KnightSatchellTran1995 extends HMMRNG
Implements the Knight-Satchell-Tran model of financial asset returns.- See Also:
- Emmanual Acar, Stephen Satchell. "Section 5.3," Advanced Trading Rules, Second Edition (Quantitative Finance) Butterworth-Heinemann; 2nd edition. June 19, 2002
- Knight J. L., Satchell S. E. & Tran K. C. "Statistical modelling of asymmetric risk in asset returns," Applied Mathematical Finance, Volume 2, Issue 3, 1995.
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Constructor Summary
Constructors Constructor Description KnightSatchellTran1995(double mu, double q, double alpha0, double rate0, double p, double alpha1, double rate1)
Constructs an instance of the Knight-Satchell-Tran model of returns.KnightSatchellTran1995(double mu, double q, double alpha0, double rate0, double p, double alpha1, double rate1, RandomStandardNormalGenerator rnorm, RandomLongGenerator rlg)
Constructs an instance of the Knight-Satchell-Tran model of returns.KnightSatchellTran1995(KnightSatchellTran1995 that)
Copy constructor.
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Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description double
nextDouble()
Gets the next simulated observation.double
PrZt0()
Computes the stationary probability of in state Z_t = 0.double
PrZt1()
Computes the stationary probability of in state Z_t = 1.String
toString()
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Constructor Detail
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KnightSatchellTran1995
public KnightSatchellTran1995(double mu, double q, double alpha0, double rate0, double p, double alpha1, double rate1, RandomStandardNormalGenerator rnorm, RandomLongGenerator rlg)
Constructs an instance of the Knight-Satchell-Tran model of returns.- Parameters:
mu
- long term mean of returnsq
- Pr(Z_t = 0 | Z_{t-0} = 0)alpha0
- shape parameter of negative shocks in Z_t = 0rate0
- rate parameter; 1/scale parameter of negative shocksp
- Pr(Z_t = 1 | Z_{t-1} = 1)alpha1
- shape parameter of positive shocks in Z_t = 1rate1
- rate parameter; 1/scale parameter of positive shocksrnorm
- a standard normal rngrlg
- a uniform rlg
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KnightSatchellTran1995
public KnightSatchellTran1995(double mu, double q, double alpha0, double rate0, double p, double alpha1, double rate1)
Constructs an instance of the Knight-Satchell-Tran model of returns.- Parameters:
mu
- long term mean of returnsq
- Pr(Z_t = 0 | Z_{t-0} = 0)alpha0
- shape parameter of negative shocks in Z_t = 0rate0
- rate parameter; 1/scale parameter of negative shocksp
- Pr(Z_t = 1 | Z_{t-1} = 1)alpha1
- shape parameter of positive shocks in Z_t = 1rate1
- rate parameter; 1/scale parameter of positive shocks
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KnightSatchellTran1995
public KnightSatchellTran1995(KnightSatchellTran1995 that)
Copy constructor.- Parameters:
that
- another KST model
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Method Detail
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PrZt0
public double PrZt0()
Computes the stationary probability of in state Z_t = 0.- Returns:
- the stationary probability of state 0
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PrZt1
public double PrZt1()
Computes the stationary probability of in state Z_t = 1.- Returns:
- the stationary probability of state 1
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nextDouble
public double nextDouble()
Gets the next simulated observation.- Specified by:
nextDouble
in interfaceRandomNumberGenerator
- Overrides:
nextDouble
in classHMMRNG
- Returns:
- next observation
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