Package jdistlib.finance

Class NormalTemperedStableDistribution

java.lang.Object

jdistlib.generic.GenericDistribution

jdistlib.finance.NormalTemperedStableDistribution

All Implemented Interfaces:

TransformDistribution, SupportedDistribution

public final class NormalTemperedStableDistribution
extends GenericDistribution

Normal-tempered-stable law defined by a tempered-stable normal variance mixture.

Field Summary

Fields inherited from class jdistlib.generic.GenericDistribution

random

Constructor Summary

Constructors

Constructor	Description
NormalTemperedStableDistribution(double alpha, double tempering, double intensity, double skew, double scale, double location)
NormalTemperedStableDistribution(double alpha, double tempering, double intensity, double skew, double scale, 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	getAlpha()
double	getIntensity()
FourierInversionOptions	getInversionOptions()
double	getLocation()
double	getLowerBound()
double	getScale()
double	getSkew()
double	getTempering()
double	getUpperBound()
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

NormalTemperedStableDistribution

public NormalTemperedStableDistribution(double alpha,
 double tempering,
 double intensity,
 double skew,
 double scale,
 double location)

NormalTemperedStableDistribution

public NormalTemperedStableDistribution(double alpha,
 double tempering,
 double intensity,
 double skew,
 double scale,
 double location,
 FourierInversionOptions options)

Method Details

logCharacteristic

public Complex logCharacteristic(double frequency)

logMomentGenerating

public Complex logMomentGenerating(double argument)

momentGeneratingDomain

public TransformDomain momentGeneratingDomain()

getAlpha

public double getAlpha()

getTempering

public double getTempering()

getIntensity

public double getIntensity()

getSkew

public double getSkew()

getScale

public double getScale()

getLocation

public double getLocation()

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