Class ConstantSigma1

    • Constructor Detail

      • ConstantSigma1

        public ConstantSigma1​(Matrix sigma)
        Construct a constant diffusion coefficient function.
        Parameters:
        sigma - the constant diffusion matrix
    • 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
      • dimension

        public int dimension()
        Description copied from interface: DiffusionMatrix
        Get the dimension of the process. This is the same as the the number of rows in the diffusion matrix.
        Specified by:
        dimension in interface DiffusionMatrix
        Returns:
        the dimension of the process
      • nB

        public int nB()
        Description copied from interface: DiffusionMatrix
        Get the number of independent Brownian motions. This is the same as the number of columns in the diffusion matrix.
        Specified by:
        nB in interface DiffusionMatrix
        Returns:
        the number of independent Brownian motions