Package jdistlib.finance

Class VarianceGammaDistribution

java.lang.Object

jdistlib.generic.GenericDistribution

jdistlib.finance.VarianceGammaDistribution

All Implemented Interfaces:

TransformDistribution, SupportedDistribution

public final class VarianceGammaDistribution
extends GenericDistribution
implements SupportedDistribution, TransformDistribution

Variance-gamma law X=mu+theta*G+sigma*sqrt(G)*Z, G~Gamma(shape,1).

Field Summary

Fields inherited from class jdistlib.generic.GenericDistribution

random

Constructor Summary

Constructors

Constructor	Description
VarianceGammaDistribution(double shape, double theta, double sigma, double mu)

Method Summary

Modifier and Type	Method	Description
double	cumulative(double x, boolean lowerTail, boolean logP)
double	density(double x, boolean log)
double	getLowerBound()
double	getMu()
double	getShape()
double	getSigma()
double	getTheta()
double	getUpperBound()
Complex	logCharacteristic(double frequency)
Complex	logMomentGenerating(double argument)
TransformDomain	momentGeneratingDomain()
double	quantile(double probability, 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

VarianceGammaDistribution

public VarianceGammaDistribution(double shape,
 double theta,
 double sigma,
 double mu)

Method Details

getShape

public double getShape()

getTheta

public double getTheta()

getSigma

public double getSigma()

getMu

public double getMu()

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 probability,
 boolean lowerTail,
 boolean logP)

Specified by:

quantile in class GenericDistribution

random

public double random()

Specified by:

random in class GenericDistribution

logCharacteristic

public Complex logCharacteristic(double frequency)

Specified by:

logCharacteristic in interface TransformDistribution

logMomentGenerating

public Complex logMomentGenerating(double argument)

Specified by:

logMomentGenerating in interface TransformDistribution

momentGeneratingDomain

public TransformDomain momentGeneratingDomain()

Specified by:

momentGeneratingDomain in interface TransformDistribution

getLowerBound

public double getLowerBound()

Specified by:

getLowerBound in interface SupportedDistribution

getUpperBound

public double getUpperBound()

Specified by:

getUpperBound in interface SupportedDistribution