Package jdistlib.finance

Class PositiveTemperedStableDistribution

java.lang.Object

jdistlib.generic.GenericDistribution

jdistlib.finance.PositiveTemperedStableDistribution

All Implemented Interfaces:

TransformDistribution, SupportedDistribution

public final class PositiveTemperedStableDistribution
extends GenericDistribution

Positive tempered-stable subordinator increment with Laplace exponent.

Field Summary

Fields inherited from class jdistlib.generic.GenericDistribution

random

Constructor Summary

Constructors

Constructor	Description
PositiveTemperedStableDistribution(double alpha, double tempering, double intensity)

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	getLowerBound()
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

PositiveTemperedStableDistribution

public PositiveTemperedStableDistribution(double alpha,
 double tempering,
 double intensity)

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()

getLowerBound

public double getLowerBound()

Specified by:

getLowerBound in interface SupportedDistribution

density

public double density(double x,
 boolean log)

cumulative

public double cumulative(double x,
 boolean lowerTail,
 boolean logP)

quantile

public double quantile(double p,
 boolean lowerTail,
 boolean logP)

getInversionOptions

public FourierInversionOptions getInversionOptions()

densityResult

public NumericalEstimate densityResult(double x)

cumulativeResult

public NumericalEstimate cumulativeResult(double x)

random

public double random()

Specified by:

random in class GenericDistribution

getUpperBound

public double getUpperBound()

Specified by:

getUpperBound in interface SupportedDistribution