webcab.lib.finance.pricing.models.price
Class DeterministPriceModel

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
                          |
                          +--webcab.lib.finance.pricing.models.price.DeterministPriceModel

public class DeterministPriceModel

extends DeterministModel

This model enables the user to specify the dynamics of an asset price. The asset price will follow the function given as a parameter in the model's constructor. Therefore a model defined using this class is deterministic in nature.

The model produces a price context (see PriceContext).

Constructor Summary

DeterministPriceModel(String name, KOrderDiff priceFunction, double t0)
Creates a new instance of DeterministicPriceModel.

Method Summary

int[]	getCategoriesForExternalReferences()
int	getExternal()
String[]	getExternalReferences(Context context)
double[]	getExternalVariables(Context context)
Context	getInitialContext()
int	getNumeraire()
int	getNVariables()
KOrderDiff	getProcess(int nProcess)
int	getTraded()
StochasticDifferentialModel	getUpdatedModel(Context context, double t) Sets the initial values of the models' variables to the ones given as parameters.

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

comp, dV, evaluateCoef, getCorrelationMatrix, getNFactors

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

addInternalJumpConditions, evaluateNotTradedAbsoluteCoef, evaluateNotTradedTimeCoef, evaluateNotTradedWienerCoef, evaluateTimeCoef, evaluateWienerCoef, getAbsoluteCoef, getExternalCorrelationMatrix, getExternalReferencesInJumpConditions, getFixedVariablesForCondition, getJumpCondition, getJumpValue, getNExternalFactors, getNJumpConditions, getNotTradedAbsoluteCoef, getNotTradedTimeCoef, getNotTradedWienerCoef, getTimeCoef, getTotalExternalFactors, getTotalTradedFactors, 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, getStartVariableForContext, getSuperModel, getTotalFactors, 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

DeterministPriceModel

public DeterministPriceModel(String name,
                             KOrderDiff priceFunction,
                             double t0)
                      throws InvalidParametersException

Creates a new instance of DeterministicPriceModel.

Parameters:

name - the name of the price context produced

priceFunction - a differentiable function of one real variable (at least first order differentiable)

t0 - the current time

Throws:

InvalidParametersException

Method Detail

getNVariables

public int getNVariables()

Specified by:

getNVariables in class StochasticDifferentialModel

getNumeraire

public int getNumeraire()

Specified by:

getNumeraire in class StochasticDifferentialModel

getTraded

public int getTraded()

Specified by:

getTraded in class SemimartingaleMarkovModel

getExternal

public int getExternal()

Specified by:

getExternal in class SemimartingaleMarkovModel

getExternalVariables

public double[] getExternalVariables(Context context)

Specified by:

getExternalVariables in class SemimartingaleMarkovModel

getExternalReferences

public String[] getExternalReferences(Context context)

Specified by:

getExternalReferences in class SemimartingaleMarkovModel

getCategoriesForExternalReferences

public int[] getCategoriesForExternalReferences()

Specified by:

getCategoriesForExternalReferences in class SemimartingaleMarkovModel

getProcess

public KOrderDiff getProcess(int nProcess)

Specified by:

getProcess in class DeterministModel

getInitialContext

public Context getInitialContext()
                          throws BondsException

Specified by:

getInitialContext in class StochasticDifferentialModel

BondsException

getUpdatedModel

public StochasticDifferentialModel getUpdatedModel(Context context,
                                                   double t)
                                            throws BondsException

Description copied from class: StochasticDifferentialModel

Sets the initial values of the models' variables to the ones given as parameters.

Specified by:

getUpdatedModel in class StochasticDifferentialModel

Parameters:

context - the context which will be the new initial context of the model

t - the initial moment for the model

Returns:

StochasticDifferentialModel

Throws:

BondsException