Class OUSim

    • Constructor Detail

      • OUSim

        public OUSim​(OUProcess ou,
                     double dt,
                     double x0,
                     RandomStandardNormalGenerator rng)
        Create an OU process simulator.
        Parameters:
        ou - the underlying OU process
        dt - the time interval \(\delta_t\)
        x0 - the starting value
        rng - the standard Gaussian innovation generator
      • OUSim

        public OUSim​(OUProcess ou,
                     double dt,
                     double x0)
        Create an OU process simulator. StandardNormalRNG is used for generating i.i.d innovations.
        Parameters:
        ou - the underlying OU process
        dt - the time interval \(\delta_t\)
        x0 - the starting value
      • OUSim

        public OUSim​(OUProcess ou,
                     double dt)
        Create an OU process simulator using the overall mean as the starting value. StandardNormalRNG is used for generating i.i.d innovations.
        Parameters:
        ou - the underlying OU process
        dt - the time interval \(\delta_t\)
      • OUSim

        public OUSim​(OUProcess ou)
        Create an OU process simulator with a time interval of 1, using the overall mean as the starting value. StandardNormalRNG is used for generating i.i.d innovations.
        Parameters:
        ou - the underlying OU process
    • Method Detail

      • seed

        public void seed​(long... seeds)
        Description copied from interface: Seedable
        Seed the random number/vector/scenario generator to produce repeatable experiments.
        Specified by:
        seed in interface Seedable
        Parameters:
        seeds - the seeds
      • getProcess

        public OUProcess getProcess()
        Get the underlying OU process of this generator.
        Returns:
        the underlying OU process
      • dt

        public double dt()
        Get the time interval \(\delta_t\) of this generator.
        Returns:
        the time interval \(\delta_t\)