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Forward G2 stochastic process

Hierarchy

Implements

Index

Constructors

constructor

Properties

Protected _T

_T: Time

Protected _a

_a: Real

Protected _b

_b: Real

_discretization

_discretization: discretization

Protected _eta

_eta: Real

_isDisposed

_isDisposed: boolean = false

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

Protected _rho

_rho: Real

Protected _sigma

_sigma: Real

Protected _x0

_x0: Real

Protected _xProcess

Protected _y0

_y0: Real

Protected _yProcess

dispose

dispose: () => void

Type declaration

    • (): void
    • Returns void

isDisposed

isDisposed: boolean

notifyObservers

notifyObservers: () => void

Type declaration

    • (): void
    • Returns void

registerObserver

registerObserver: (o: Observer) => void

Type declaration

registerWith

registerWith: (h: Observable) => void

Type declaration

registerWithObservables

registerWithObservables: (o: Observer) => void

Type declaration

unregisterObserver

unregisterObserver: (o: Observer) => void

Type declaration

unregisterWith

unregisterWith: (h: Observable) => Size

Type declaration

unregisterWithAll

unregisterWithAll: () => void

Type declaration

    • (): void
    • Returns void

Methods

Protected Mx_T

  • Parameters

    Returns Real

Protected My_T

  • Parameters

    Returns Real

apply1

  • applies a change to the asset value. By default, it returns $ \mathrm{x} + \Delta \mathrm{x} $.

    Parameters

    Returns Real[]

covariance

deepUpdate

  • deepUpdate(): void

diffusion1

drift1

evolve1

  • returns the asset value after a time interval $\Delta$ according to the given discretization. By default, it returns $$ E(\mathrm{x}_0,t_0,\Delta t) + S(\mathrm{x}_0,t_0,\Delta t) \cdot \Delta \mathrm{w} $$ where $E$ is the expectation and $S$ the standard deviation.

    Parameters

    Returns Real[]

expectation1

factors

  • returns the number of independent factors of the process

    Returns Size

fmpInit1

fmpInit2

getForwardMeasureTime

  • getForwardMeasureTime(): Time

init

initialValues

  • initialValues(): Real[]

setForwardMeasureTime

  • setForwardMeasureTime(t: Time): void

size

stdDeviation1

time

  • time(d: Date): Time
  • returns the time value corresponding to the given date in the reference system of the stochastic process.

    note As a number of processes might not need this functionality, a default implementation is given which raises an exception.

    Parameters

    • d: Date

    Returns Time

update

  • update(): void

Protected xForwardDrift

  • Parameters

    Returns Real

Protected yForwardDrift

  • Parameters

    Returns Real