Market
Class BasicAssetPair

java.lang.Object
  extended byMarket.Basket
      extended byMarket.ConstantVolBasket
          extended byMarket.BasicAssetPair

public class BasicAssetPair
extends ConstantVolBasket

Market consisting of two assets (excluding the riskfree bond) with constant instantaneous volatility and correlation of returns.


Constructor Summary
BasicAssetPair(int T, double dt, double[] S_0, double r, double[] mu, double[] sigma, double rho, double[] q)
           
 
Method Summary
 double rho(int i, int j)
          Constant correlation of the asset returns R_i=log(S_i(t)): d< R_i,R_j >_t=rho(i,j)dt.
 
Methods inherited from class Market.ConstantVolBasket
covarianceOfReturns, covarianceOfReturnsMatrix, get_r, get_Z, new_Z_vector, sigma, stepToHorizonSimulationInit, timeStep, timeStepToHorizon, volatilityMatrix
 
Methods inherited from class Market.Basket
covarianceOfReturnsMatrix, dividendReductionFactor, forwardPrice, get_B, get_dim, get_dt, get_q, get_S_0, get_S, get_T, get_volatilityIsDeterministic, newPath, newPathBranch, newPathSegment, S, simulationInit
 
Methods inherited from class java.lang.Object
clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
 

Constructor Detail

BasicAssetPair

public BasicAssetPair(int T,
                      double dt,
                      double[] S_0,
                      double r,
                      double[] mu,
                      double[] sigma,
                      double rho,
                      double[] q)
Parameters:
T - number of time steps to horizon.
dt - size of time step.
S_0 - asset price vector at time t=0.
r - constant riskfree rate.
mu - vector of constant drifts of returns.
sigma - vector of constant volatilities of returns.
rho - constant correlation of returns.
q - vector of constant continuous dividend yields.
Method Detail

rho

public double rho(int i,
                  int j)
Description copied from class: ConstantVolBasket

Constant correlation of the asset returns R_i=log(S_i(t)): d< R_i,R_j >_t=rho(i,j)dt. Will be stored (constructor) rather than recomputed in each path.

Specified by:
rho in class ConstantVolBasket
Parameters:
i - asset index.
j - asset index.