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java.lang.Object Solution SamplingSolution
SamplingSolution -- Is an abstract class at the top of all the solvers that that evolve an expected solution by sampling possible realisation.
Solution
Field Summary | |
protected double[][] |
currentState
A vector with the current realisation(s) evolved from initial price(s) |
protected double |
kappa
The exponent in the random walk |
protected double[][] |
mark
A vector with the current markers keeping track of price history |
protected int |
numberOfRealisations
The number of independent realisations to evolve |
protected ShapeFunction |
option
The terminal payoff |
protected java.util.Random |
random
Random number generator |
protected double |
rate
The interest rate |
protected boolean |
solutionUpToDate
Whether the expected solution is up to date |
protected double |
strike
The default initial / terminal condition |
Fields inherited from class Solution |
df, dfm, dfp, dg, dgm, dgp, dx, f, f0, fm, fp, g, gm, gp, ic, initialMoments, mesh, method, scheme, time, topic, x, x_0, x_1, xOffset, xSize, y_0, y_1, yOffset, ySize |
Constructor Summary | |
SamplingSolution(RunData runData)
Creates a SamplingSolution object. |
Method Summary | |
void |
discretize(ShapeFunction function)
Discretize the initial Shape function and initialize the moments Initializes a new set of particles, the number being determined by the numerical scheme parameter. |
protected void |
expectedValue()
Generates a probability distribution and an expectation from the set of sampled values. |
double |
getValue(double arg)
Linear interpolation of the solution. |
double |
getValue(int index)
Gives the value of the function for an index |
double[] |
limits()
Calculates the limits of the solution. |
double |
momentsDeviation(int m)
Calculates the deviation from the m:th initial moment. |
boolean |
previous(RunData runData)
Take the solution backward one step to initialize schemes with 3 time levels; not really appropriate in this context. |
Methods inherited from class Solution |
calculateMoments, getTime, getWinSize, hasOption, incTime, limits, measure, next, output, plot, rescale, setIC, setMethod, setScheme, setTime, setTopic, updateHeaders |
Methods inherited from class java.lang.Object |
clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait |
Field Detail |
protected ShapeFunction option
protected int numberOfRealisations
protected double[][] currentState
protected double[][] mark
protected double kappa
protected double rate
protected double strike
protected boolean solutionUpToDate
protected java.util.Random random
Constructor Detail |
public SamplingSolution(RunData runData)
runData
- The run time parametersSolution.next(RunData)
,
Solution.discretize(ShapeFunction)
Method Detail |
public boolean previous(RunData runData)
previous
in class Solution
runData
- List of run parameters
RunData
public void discretize(ShapeFunction function)
discretize
in class Solution
function
- The initial shape to be approximatedSolution.setScheme(java.lang.String)
public double momentsDeviation(int m)
momentsDeviation
in class Solution
m
- The order of the moment
public double[] limits()
public double getValue(int index)
getValue
in class Solution
index
- The index for which to get the value
public double getValue(double arg)
getValue
in class Solution
arg
- Argument
protected void expectedValue()
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