Package jdistlib.finance

Class CgmyDistribution

java.lang.Object

jdistlib.generic.GenericDistribution

jdistlib.finance.CgmyDistribution

All Implemented Interfaces:

TransformDistribution, SupportedDistribution

public final class CgmyDistribution
extends GenericDistribution

CGMY/KoBoL infinitely-divisible return law in (C,G,M,Y,location) form.

Field Summary

Fields inherited from class jdistlib.generic.GenericDistribution

random

Constructor Summary

Constructors

Constructor	Description
CgmyDistribution(double c, double g, double m, double y, double location)
CgmyDistribution(double c, double g, double m, double y, double location, FourierInversionOptions options)

Method Summary

Modifier and Type	Method	Description
double	cumulative(double x, boolean lowerTail, boolean logP)
NumericalEstimate	cumulativeResult(double x)
double	density(double x, boolean log)
NumericalEstimate	densityResult(double x)
double	getC()
double	getG()
FourierInversionOptions	getInversionOptions()
double	getLocation()
double	getLowerBound()
double	getM()
double	getUpperBound()
double	getY()
Complex	logCharacteristic(double frequency)
Complex	logMomentGenerating(double argument)
TransformDomain	momentGeneratingDomain()
double	quantile(double p, boolean lowerTail, boolean logP)
double	random()

Methods inherited from class jdistlib.generic.GenericDistribution

copyBackward, cumulative, cumulative, cumulative, cumulative_hazard, cumulative_hazard, cumulativeInto, density, density, densityInto, getRandomEngine, hazard, hazard, inverse_survival, inverse_survival, quantile, quantile, quantile, quantileInto, random, random, randomInto, setRandomEngine, survival, survival, survival

Methods inherited from class java.lang.Object

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

Constructor Details

CgmyDistribution

public CgmyDistribution(double c,
 double g,
 double m,
 double y,
 double location)

CgmyDistribution

public CgmyDistribution(double c,
 double g,
 double m,
 double y,
 double location,
 FourierInversionOptions options)

Method Details

getC

public double getC()

getG

public double getG()

getM

public double getM()

getY

public double getY()

getLocation

public double getLocation()

logCharacteristic

public Complex logCharacteristic(double frequency)

logMomentGenerating

public Complex logMomentGenerating(double argument)

momentGeneratingDomain

public TransformDomain momentGeneratingDomain()

getInversionOptions

public FourierInversionOptions getInversionOptions()

densityResult

public NumericalEstimate densityResult(double x)

cumulativeResult

public NumericalEstimate cumulativeResult(double x)

density

public double density(double x,
 boolean log)

Specified by:

density in class GenericDistribution

cumulative

public double cumulative(double x,
 boolean lowerTail,
 boolean logP)

Specified by:

cumulative in class GenericDistribution

quantile

public double quantile(double p,
 boolean lowerTail,
 boolean logP)

Specified by:

quantile in class GenericDistribution

random

public double random()

Specified by:

random in class GenericDistribution

getLowerBound

public double getLowerBound()

Specified by:

getLowerBound in interface SupportedDistribution

getUpperBound

public double getUpperBound()

Specified by:

getUpperBound in interface SupportedDistribution