webcab.lib.finance.pricing.core.models
Class DeterministModel

java.lang.Object
  |
  +--webcab.lib.finance.pricing.models.StochasticDifferentialModel
        |
        +--webcab.lib.finance.pricing.core.models.MarkovModel
              |
              +--webcab.lib.finance.pricing.core.models.SemimartingaleMarkovModel
                    |
                    +--webcab.lib.finance.pricing.core.models.DeterministModel

Direct Known Subclasses:

ConstantPriceModel, ConstantRateModel, ConstantVolatilityModel, ConstantYieldCurveModel, DeterministForwardRateVolatilityModel, DeterministPriceModel, DeterministVolatilityModel, MoneyMarketDeterminist

public abstract class DeterministModel

extends SemimartingaleMarkovModel

Constructor Summary

DeterministModel()

Method Summary

CompoundModel	comp(StochasticDifferentialModel[] model, Vector dependencies)
Context	dV(Context context, double t, double dt, RandomGenerator generator, Context partialDelta)
double	evaluateCoef(int nProcess, int nCoef, double[] x)
double[][]	getCorrelationMatrix()
int[]	getNFactors()
abstract KOrderDiff	getProcess(int nProcess)

Methods inherited from class webcab.lib.finance.pricing.core.models.SemimartingaleMarkovModel

addInternalJumpConditions, evaluateNotTradedAbsoluteCoef, evaluateNotTradedTimeCoef, evaluateNotTradedWienerCoef, evaluateTimeCoef, evaluateWienerCoef, getAbsoluteCoef, getCategoriesForExternalReferences, getExternal, getExternalCorrelationMatrix, getExternalReferences, getExternalReferencesInJumpConditions, getExternalVariables, getFixedVariablesForCondition, getJumpCondition, getJumpValue, getNExternalFactors, getNJumpConditions, getNotTradedAbsoluteCoef, getNotTradedTimeCoef, getNotTradedWienerCoef, getTimeCoef, getTotalExternalFactors, getTotalTradedFactors, getTraded, getWienerCoef, hasExternalJumpConditions, resetOnDemand

Methods inherited from class webcab.lib.finance.pricing.core.models.MarkovModel

dV_MarkovModel, dV

Methods inherited from class webcab.lib.finance.pricing.models.StochasticDifferentialModel

compoundModel, compoundModel, compoundModel, compoundModel, compoundModel, compoundModel, dV_StochasticDifferentialModel, getCholeskyMatrix, getContext, getInitialContext, getNumeraire, getNVariables, getStartVariableForContext, getSuperModel, getTotalFactors, getUpdatedModel, getVariables, seekRoot, seekUpwards, setCholeskyMatrix, setSuperModel

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

DeterministModel

public DeterministModel()

Method Detail

getProcess

public abstract KOrderDiff getProcess(int nProcess)
                               throws BondsException

BondsException

dV

public Context dV(Context context,
                  double t,
                  double dt,
                  RandomGenerator generator,
                  Context partialDelta)
           throws BondsException

Overrides:

dV in class SemimartingaleMarkovModel

BondsException

getNFactors

public int[] getNFactors()

Specified by:

getNFactors in class StochasticDifferentialModel

getCorrelationMatrix

public double[][] getCorrelationMatrix()
                                throws BondsException

Specified by:

getCorrelationMatrix in class StochasticDifferentialModel

BondsException

evaluateCoef

public double evaluateCoef(int nProcess,
                           int nCoef,
                           double[] x)
                    throws BondsException

Specified by:

evaluateCoef in class SemimartingaleMarkovModel

BondsException

comp

public CompoundModel comp(StochasticDifferentialModel[] model,
                          Vector dependencies)
                   throws BondsException

Overrides:

comp in class SemimartingaleMarkovModel

BondsException