Package jdistlib.finance

Class MultivariateFinancialDistribution

java.lang.Object

jdistlib.finance.MultivariateFinancialDistribution

public final class MultivariateFinancialDistribution
extends Object

Multivariate GH/NIG/VG, symmetric stable, or normal-tempered-stable construction.

Method Summary

Modifier and Type	Method	Description
int	dimension()
static MultivariateFinancialDistribution	generalizedHyperbolic(double lambda, double chi, double psi, double[] location, double[] skew, double[][] covariance)	Multivariate GH normal-variance mixture with W~GIG(lambda,chi,psi).
double[][]	getCovariance()
double[]	getLocation()
double[]	getSkew()
GenericDistribution	linearCombination(double[] weights)	Exact scalar law for a linear combination of the vector.
static MultivariateFinancialDistribution	normalInverseGaussian(double delta, double gamma, double[] location, double[] skew, double[][] covariance)
static MultivariateFinancialDistribution	normalTemperedStable(double alpha, double tempering, double intensity, double[] location, double[] skew, double[][] covariance)	Multivariate normal-tempered-stable normal variance mixture.
double[]	random(long seed)
double[]	random(RandomEngine random)
static MultivariateFinancialDistribution	stable(double alpha, double[] location, double[][] covariance)	Symmetric elliptical alpha-stable law with CF exp(-(t' covariance t)^(alpha/2)).
static MultivariateFinancialDistribution	varianceGamma(double shape, double[] location, double[] skew, double[][] covariance)	Multivariate VG with shared Gamma(shape,1) mixer.

Methods inherited from class java.lang.Object

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

Method Details

generalizedHyperbolic

public static MultivariateFinancialDistribution generalizedHyperbolic(double lambda,
 double chi,
 double psi,
 double[] location,
 double[] skew,
 double[][] covariance)

Multivariate GH normal-variance mixture with W~GIG(lambda,chi,psi).

normalInverseGaussian

public static MultivariateFinancialDistribution normalInverseGaussian(double delta,
 double gamma,
 double[] location,
 double[] skew,
 double[][] covariance)

varianceGamma

public static MultivariateFinancialDistribution varianceGamma(double shape,
 double[] location,
 double[] skew,
 double[][] covariance)

Multivariate VG with shared Gamma(shape,1) mixer.

stable

public static MultivariateFinancialDistribution stable(double alpha,
 double[] location,
 double[][] covariance)

Symmetric elliptical alpha-stable law with CF exp(-(t' covariance t)^(alpha/2)).

normalTemperedStable

public static MultivariateFinancialDistribution normalTemperedStable(double alpha,
 double tempering,
 double intensity,
 double[] location,
 double[] skew,
 double[][] covariance)

Multivariate normal-tempered-stable normal variance mixture.

dimension

public int dimension()

getLocation

public double[] getLocation()

getSkew

public double[] getSkew()

getCovariance

public double[][] getCovariance()

random

public double[] random(long seed)

random

public double[] random(RandomEngine random)

linearCombination

public GenericDistribution linearCombination(double[] weights)

Exact scalar law for a linear combination of the vector.