Package jdistlib.finance

Class PathFunctionalDistributions

java.lang.Object

jdistlib.finance.PathFunctionalDistributions

public final class PathFunctionalDistributions
extends Object

Exact iid-observation extrema and simulated drawdowns for iid discrete-time increments.

Method Summary

Modifier and Type	Method	Description
static DistributionApproximation	maximumDrawdown(GenericDistribution increments, int steps, int draws, long seed)
static OrderStatisticDistribution	runningMaximum(GenericDistribution observations, int steps)
static OrderStatisticDistribution	runningMinimum(GenericDistribution observations, int steps)
static DistributionApproximation	terminalDrawdown(GenericDistribution increments, int steps, int draws, long seed)

Methods inherited from class java.lang.Object

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

Method Details

runningMaximum

public static OrderStatisticDistribution runningMaximum(GenericDistribution observations,
 int steps)

runningMinimum

public static OrderStatisticDistribution runningMinimum(GenericDistribution observations,
 int steps)

maximumDrawdown

public static DistributionApproximation maximumDrawdown(GenericDistribution increments,
 int steps,
 int draws,
 long seed)

terminalDrawdown

public static DistributionApproximation terminalDrawdown(GenericDistribution increments,
 int steps,
 int draws,
 long seed)