C# Class QLNet.StochasticProcessArray

Inheritance: QLNet.StochasticProcess

Datei anzeigen Open project: ammachado/QLNet Class Usage Examples

Protected Properties

Property	Type	Description
processes_	List
sqrtCorrelation_	Matrix

Public Methods

Method	Description
StochasticProcessArray ( List processes, Matrix correlation ) : System
apply ( Vector x0, Vector dx ) : Vector
correlation ( ) : Matrix
covariance ( double t0, Vector x0, double dt ) : Matrix
diffusion ( double t, Vector x ) : Matrix
drift ( double t, Vector x ) : Vector
evolve ( double t0, Vector x0, double dt, Vector dw ) : Vector
expectation ( double t0, Vector x0, double dt ) : Vector
initialValues ( ) : Vector
process ( int i ) : QLNet.StochasticProcess1D
size ( ) : int
stdDeviation ( double t0, Vector x0, double dt ) : Matrix
time ( Date d ) : double

Method Details

StochasticProcessArray() public method

public StochasticProcessArray ( List processes, Matrix correlation ) : System
processes	List
correlation	Matrix
return	System

apply() public method

public apply ( Vector x0, Vector dx ) : Vector
x0	Vector
dx	Vector
return	Vector

correlation() public method

public correlation ( ) : Matrix
return	Matrix

covariance() public method

public covariance ( double t0, Vector x0, double dt ) : Matrix
t0	double
x0	Vector
dt	double
return	Matrix

diffusion() public method

public diffusion ( double t, Vector x ) : Matrix
t	double
x	Vector
return	Matrix

drift() public method

public drift ( double t, Vector x ) : Vector
t	double
x	Vector
return	Vector

evolve() public method

public evolve ( double t0, Vector x0, double dt, Vector dw ) : Vector
t0	double
x0	Vector
dt	double
dw	Vector
return	Vector

expectation() public method

public expectation ( double t0, Vector x0, double dt ) : Vector
t0	double
x0	Vector
dt	double
return	Vector

initialValues() public method

public initialValues ( ) : Vector
return	Vector

process() public method

public process ( int i ) : QLNet.StochasticProcess1D
i	int
return	QLNet.StochasticProcess1D

size() public method

public size ( ) : int
return	int

stdDeviation() public method

public stdDeviation ( double t0, Vector x0, double dt ) : Matrix
t0	double
x0	Vector
dt	double
return	Matrix

time() public method

public time ( Date d ) : double
d	Date
return	double

Property Details

processes_ protected_oe property

protected List processes_
return	List

sqrtCorrelation_ protected_oe property

protected Matrix sqrtCorrelation_
return	Matrix