umontreal.iro.lecuyer.stochprocess

Class GeometricLevyProcess

java.lang.Object

umontreal.iro.lecuyer.stochprocess.StochasticProcess

umontreal.iro.lecuyer.stochprocess.GeometricLevyProcess

Direct Known Subclasses:

GeometricNormalInverseGaussianProcess

public abstract class GeometricLevyProcess
extends StochasticProcess

. Abstract class used as a parent class for the exponentiation of a Lévy process X(t):

S(t) = S(0)exp(X(t) + (r - ω_RN)t).

The interest is here denoted r and is refered to as muGeom in the class below. The risk neutral correction is given by ω_RN and takes into account risk aversion in the pricing of assets; its value depends on the specific Lévy process that is used.

GeometricNormalInverseGaussianProcess is implemented as a child of this class and so could GeometricVarianceGammaProcess and GeometricBrownianMotion.

Field Summary

Fields inherited from class umontreal.iro.lecuyer.stochprocess.StochasticProcess

path

Constructor Summary

Constructors

Constructor and Description
GeometricLevyProcess()

Method Summary

Methods

Modifier and Type	Method and Description
double[]	generatePath() Generates a path.
StochasticProcess	getLevyProcess() Returns the Lévy process.
double	getMuGeom() Returns the geometric drift parameter, which is usually the interest rate, r.
double	getOmega() Returns the risk neutral correction.
RandomStream	getStream() Returns the stream from the underlying Lévy process.
double	nextObservation() Returns the next observation.
void	resetRiskNeutralCorrection(double omegaRN) Changes the value of ωRN.
void	resetStartProcess() Resets the step counter of the geometric process and the underlying Lévy process to the start value.
void	setMuGeom(double muGeom) Sets the drift parameter (interest rate) of the geometric term.
void	setObservationTimes(double[] time, int d) Sets the observation times on the geometric process and the underlying Lévy process.
void	setStream(RandomStream stream) Resets the stream in the underlying Lévy process.

Methods inherited from class umontreal.iro.lecuyer.stochprocess.StochasticProcess

generatePath, getArrayMappingCounterToIndex, getCurrentObservation, getCurrentObservationIndex, getNbObservationTimes, getObservation, getObservationTimes, getPath, getSubpath, getX0, hasNextObservation, setObservationTimes, setX0

Methods inherited from class java.lang.Object

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

Constructor Detail

GeometricLevyProcess

public GeometricLevyProcess()

Method Detail

generatePath

public double[] generatePath()

Generates a path.

Specified by:

generatePath in class StochasticProcess

nextObservation

public double nextObservation()

Returns the next observation. It will also work on a Lévy process which is sampled using the bridge order, but it will return the observations in the bridge order. If the underlying Lévy process is of the PCA type, this method is not usable.

Overrides:

nextObservation in class StochasticProcess

resetStartProcess

public void resetStartProcess()

Resets the step counter of the geometric process and the underlying Lévy process to the start value.

Overrides:

resetStartProcess in class StochasticProcess

setObservationTimes

public void setObservationTimes(double[] time,
                       int d)

Sets the observation times on the geometric process and the underlying Lévy process.

Overrides:

setObservationTimes in class StochasticProcess

getOmega

public double getOmega()

Returns the risk neutral correction.

getMuGeom

public double getMuGeom()

Returns the geometric drift parameter, which is usually the interest rate, r.

setMuGeom

public void setMuGeom(double muGeom)

Sets the drift parameter (interest rate) of the geometric term.

getLevyProcess

public StochasticProcess getLevyProcess()

Returns the Lévy process.

resetRiskNeutralCorrection

public void resetRiskNeutralCorrection(double omegaRN)

Changes the value of ω_RN. There should usually be no need to redefine the risk neutral correction from the value set by the constructor. However it is sometimes not unique, e.g. in GeometricNormalInverseGaussianProcess.

getStream

public RandomStream getStream()

Returns the stream from the underlying Lévy process. If the underlying Lévy process has multiple streams, it returns what the getStream() method of that process was made to return.

Specified by:

getStream in class StochasticProcess

setStream

public void setStream(RandomStream stream)

Resets the stream in the underlying Lévy process. If the underlying Lévy process has multiple streams, it sets the streams on this process in the same way as setStream() for that process.

Specified by:

setStream in class StochasticProcess