Package jdistlib.finance

Class OptionImpliedDistribution

java.lang.Object

jdistlib.generic.GenericDistribution

jdistlib.finance.OptionImpliedDistribution

All Implemented Interfaces:

AtomAwareDistribution, SupportedDistribution

public final class OptionImpliedDistribution
extends GenericDistribution
implements AtomAwareDistribution, SupportedDistribution

Atom-aware risk-neutral law recovered from a convex piecewise-linear call curve.

Field Summary

Fields inherited from class jdistlib.generic.GenericDistribution

random

Method Summary

Modifier and Type	Method	Description
double	atomProbability(double x)	Returns P(X = x); zero means no declared atom at x.
double	cumulative(double x, boolean lowerTail, boolean logP)
double	density(double x, boolean log)
double[]	getAtomLocations()
double[]	getAtomMasses()
double	getLowerBound()
double	getUpperBound()
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

Method Details

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

atomProbability

public double atomProbability(double x)

Description copied from interface: AtomAwareDistribution

Returns P(X = x); zero means no declared atom at x.

Specified by:

atomProbability in interface AtomAwareDistribution

getLowerBound

public double getLowerBound()

Specified by:

getLowerBound in interface SupportedDistribution

getUpperBound

public double getUpperBound()

Specified by:

getUpperBound in interface SupportedDistribution

getAtomLocations

public double[] getAtomLocations()

getAtomMasses

public double[] getAtomMasses()