Market
Class DiagonalBasket

java.lang.Object
  extended byMarket.Basket
      extended byMarket.DiagonalBasket

public class DiagonalBasket
extends Basket


Constructor Summary
DiagonalBasket(int T, double dt, double[] S_0, double r, double q, double sigma)
          Constructor
 
Method Summary
 double[] get_B()
          Reference to the array B[ ] containing the riskfree bond.
 void timeStep(int whichProbability, int t)
          Time step of riskfree bond and discounted asset prices from discrete time t to time t+1.
 void timeStep(int whichProbability, int t, int s)
           
 
Methods inherited from class Market.Basket
covarianceOfReturns, covarianceOfReturnsMatrix, dividendReductionFactor, forwardPrice, get_dim, get_dt, get_q, get_S_0, get_S, get_T, get_volatilityIsDeterministic, get_Z, newPath, newPathBranch, newPathSegment, S, simulationInit, stepToHorizonSimulationInit, timeStepToHorizon, volatilityMatrix
 
Methods inherited from class java.lang.Object
clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
 

Constructor Detail

DiagonalBasket

public DiagonalBasket(int T,
                      double dt,
                      double[] S_0,
                      double r,
                      double q,
                      double sigma)
Constructor

Method Detail

get_B

public double[] get_B()
Description copied from class: Basket

Reference to the array B[ ] containing the riskfree bond.

Overrides:
get_B in class Basket

timeStep

public void timeStep(int whichProbability,
                     int t)
Description copied from class: Basket

Time step of riskfree bond and discounted asset prices from discrete time t to time t+1. In case of nonstochastic interest rates the path of the riskfree bond is handled by the constuctor.

Specified by:
timeStep in class Basket
Parameters:
whichProbability - Probability for simulation (market/risk neutral).
t - Current time.

timeStep

public void timeStep(int whichProbability,
                     int t,
                     int s)