Package jdistlib.finance

Class DistributionTransforms

java.lang.Object

jdistlib.finance.DistributionTransforms

public final class DistributionTransforms
extends Object

Numerical transform, cumulant, Fourier-inversion, and Esscher-tilt helpers.

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static final class	DistributionTransforms.TiltResult	Result retaining the tilted law and its normalization diagnostics.

Method Summary

Modifier and Type	Method	Description
static NumericalEstimate	cumulant(GenericDistribution distribution, int order)	Numerical cumulant obtained by centered finite differences of log M(t).
static NumericalEstimate	cumulative(TransformDistribution distribution, double x)	Gil-Pelaez inversion of a characteristic function.
static NumericalEstimate	cumulativeAdaptive(TransformDistribution distribution, double x, FourierInversionOptions options)	Adaptive Gil-Pelaez inversion with explicit truncation/work controls.
static NumericalEstimate	densityAdaptive(TransformDistribution distribution, double x, FourierInversionOptions options)	Adaptive Fourier density inversion with explicit truncation/work controls.
static DistributionTransforms.TiltResult	esscherTilt(GenericDistribution distribution, double theta)	Constructs a normalized exponentially tilted continuous distribution.
static Complex	logCharacteristic(GenericDistribution distribution, double frequency)
static Complex	logMomentGenerating(GenericDistribution distribution, double argument)
static NumericalEstimate	saddlepointCumulative(TransformDistribution distribution, double x)	Lugannani-Rice saddlepoint CDF using numerical derivatives of log M(t).

Methods inherited from class java.lang.Object

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

Method Details

logCharacteristic

public static Complex logCharacteristic(GenericDistribution distribution,
 double frequency)

logMomentGenerating

public static Complex logMomentGenerating(GenericDistribution distribution,
 double argument)

cumulant

public static NumericalEstimate cumulant(GenericDistribution distribution,
 int order)

Numerical cumulant obtained by centered finite differences of log M(t).

cumulative

public static NumericalEstimate cumulative(TransformDistribution distribution,
 double x)

Gil-Pelaez inversion of a characteristic function.

cumulativeAdaptive

public static NumericalEstimate cumulativeAdaptive(TransformDistribution distribution,
 double x,
 FourierInversionOptions options)

Adaptive Gil-Pelaez inversion with explicit truncation/work controls.

densityAdaptive

public static NumericalEstimate densityAdaptive(TransformDistribution distribution,
 double x,
 FourierInversionOptions options)

Adaptive Fourier density inversion with explicit truncation/work controls.

saddlepointCumulative

public static NumericalEstimate saddlepointCumulative(TransformDistribution distribution,
 double x)

Lugannani-Rice saddlepoint CDF using numerical derivatives of log M(t).

esscherTilt

public static DistributionTransforms.TiltResult esscherTilt(GenericDistribution distribution,
 double theta)

Constructs a normalized exponentially tilted continuous distribution.