com.numericalmethod.suanshu.stats.stochasticprocess.multivariate.sde
Class FtWt

java.lang.Object
  com.numericalmethod.suanshu.stats.stochasticprocess.multivariate.sde.Ft
      com.numericalmethod.suanshu.stats.stochasticprocess.multivariate.sde.FtWt

All Implemented Interfaces:

DeepCopyable

public class FtWt
extends Ft

This is a filtration implementation that includes the path-dependent information, e.g., W_t.

See Also:

Ft

Field Summary

Fields inherited from class com.numericalmethod.suanshu.stats.stochasticprocess.multivariate.sde.Ft

dt, Xt, Zt

Constructor Summary

FtWt()
Construct an empty filtration (no information).

FtWt(FtWt that)
Copy constructor.

Method Summary

FtWt	deepCopy() The implementation can return an instance created from this by the copy constructor of the class, or just this if the instance itself is immutable.
void	setDt(double dt) Set the current time differential.
void	setZt(Vector Zt) Set the value of the Gaussian distribution innovation.
double	t() Get the current time.
Vector	Wt() Get the current value(s) of the driving Brownian motion(s).

Methods inherited from class com.numericalmethod.suanshu.stats.stochasticprocess.multivariate.sde.Ft

dim, dt, dWt, nB, setXt, Xt, Zt

Methods inherited from class java.lang.Object

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

Constructor Detail

FtWt

public FtWt()

Construct an empty filtration (no information).

FtWt

public FtWt(FtWt that)

Copy constructor.

Parameters:

that - another Ft

Method Detail

deepCopy

public FtWt deepCopy()

Description copied from interface: DeepCopyable

The implementation can return an instance created from this by the copy constructor of the class, or just this if the instance itself is immutable.

Specified by:

deepCopy in interface DeepCopyable

Overrides:

deepCopy in class Ft

Returns:

an independent (deep) copy of the instance

t

public double t()

Get the current time.

Returns:

the current time

Wt

public Vector Wt()

Get the current value(s) of the driving Brownian motion(s).

Returns:

the current value(s) of the driving Brownian motion(s)

setDt

public void setDt(double dt)

Description copied from class: Ft

Set the current time differential.

Overrides:

setDt in class Ft

Parameters:

dt - the time differential

setZt

public void setZt(Vector Zt)

Description copied from class: Ft

Set the value of the Gaussian distribution innovation.

Overrides:

setZt in class Ft

Parameters:

Zt - the Gaussian distribution innovation