Package jdistlib.finance

Class LevyIncrementDistribution

java.lang.Object

jdistlib.generic.GenericDistribution

jdistlib.finance.LevyIncrementDistribution

All Implemented Interfaces:

TransformDistribution, SupportedDistribution

public final class LevyIncrementDistribution
extends GenericDistribution

Time-scaled increment of an infinitely-divisible transform-defined unit law.

Field Summary

Fields inherited from class jdistlib.generic.GenericDistribution

random

Constructor Summary

Constructors

Constructor	Description
LevyIncrementDistribution(TransformDistribution unitIncrement, double time)
LevyIncrementDistribution(TransformDistribution unitIncrement, double time, 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)
FourierInversionOptions	getInversionOptions()
double	getLowerBound()
double	getTime()
TransformDistribution	getUnitIncrement()
double	getUpperBound()
Complex	logCharacteristic(double frequency)
Complex	logMomentGenerating(double argument)
TransformDomain	momentGeneratingDomain()
LevyIncrementDistribution	plus(LevyIncrementDistribution other)	Exact composition of independent increments sharing this unit exponent.
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

LevyIncrementDistribution

public LevyIncrementDistribution(TransformDistribution unitIncrement,
 double time)

LevyIncrementDistribution

public LevyIncrementDistribution(TransformDistribution unitIncrement,
 double time,
 FourierInversionOptions options)

Method Details

getTime

public double getTime()

getUnitIncrement

public TransformDistribution getUnitIncrement()

logCharacteristic

public Complex logCharacteristic(double frequency)

logMomentGenerating

public Complex logMomentGenerating(double argument)

momentGeneratingDomain

public TransformDomain momentGeneratingDomain()

plus

public LevyIncrementDistribution plus(LevyIncrementDistribution other)

Exact composition of independent increments sharing this unit exponent.

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