SuanShu, a Java numerical and statistical library



com.numericalmethod.suanshu.stats.stochasticprocess.univariate.sde
Class FtWt

java.lang.Object
  extended by com.numericalmethod.suanshu.stats.stochasticprocess.univariate.sde.Ft
      extended by com.numericalmethod.suanshu.stats.stochasticprocess.univariate.sde.FtWt
All Implemented Interfaces:
DeepCopyable

public class FtWt
extends Ft

This is a filtration implementation that includes the path-dependent information, Wt.

See Also:
Ft

Constructor Summary
FtWt()
          Construct an empty filtration (no information).
FtWt(FtWt that)
          Copy constructor.
 
Method Summary
 FtWt deepCopy()
          The implementation returns an instance created from this by the copy constructor of the class, or just this if the instance itself is immutable.
 void setDt(double dt)
          Set the current time differential.
 void setZt(double Zt)
          Set the current value of the Gaussian innovation.
 double t()
          Get the current time.
 double Wt()
          Get the current value of the driving Brownian motion.
 
Methods inherited from class com.numericalmethod.suanshu.stats.stochasticprocess.univariate.sde.Ft
dt, dWt, setXt, Xt, Zt
 
Methods inherited from class java.lang.Object
clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
 

Constructor Detail

FtWt

public FtWt()
Construct an empty filtration (no information).


FtWt

public FtWt(FtWt that)
Copy constructor.

Parameters:
that - another Ft
Method Detail

deepCopy

public FtWt deepCopy()
Description copied from interface: DeepCopyable
The implementation returns an instance created from this by the copy constructor of the class, or just this if the instance itself is immutable.

Specified by:
deepCopy in interface DeepCopyable
Overrides:
deepCopy in class Ft
Returns:
an independent (deep) copy of the instance

t

public double t()
Get the current time.

Returns:
the current time

Wt

public double Wt()
Get the current value of the driving Brownian motion.

Returns:
the current value of the driving Brownian motion

setDt

public void setDt(double dt)
Description copied from class: Ft
Set the current time differential.

Overrides:
setDt in class Ft
Parameters:
dt - the time differential

setZt

public void setZt(double Zt)
Description copied from class: Ft
Set the current value of the Gaussian innovation.

Overrides:
setZt in class Ft
Parameters:
Zt - the current Gaussian innovation


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