GeometricBrownianMotionPriceProcess

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net.sourceforge.jasa.agent.valuation
Class GeometricBrownianMotionPriceProcess

java.lang.Object
  net.sourceforge.jasa.report.MarketPriceReportVariables
      net.sourceforge.jasa.agent.valuation.GeometricBrownianMotionPriceProcess

All Implemented Interfaces:: java.io.Serializable

public class GeometricBrownianMotionPriceProcess
extends MarketPriceReportVariables
extends MarketPriceReportVariables

See Also:

Serialized Form

Field Summary
`protected double`	`currentPrice`
`protected double`	`drift`
`protected double`	`dt`
`protected double`	`initialPrice`
`protected Normal`	`noiseDistribution`
`protected MutableDoubleWrapper`	`priceWrapper`
`protected RandomEngine`	`prng`
`protected double`	`volatility`
`protected double`	`wienerProcess`

Fields inherited from class net.sourceforge.jasa.report.MarketPriceReportVariables
`price, PRICE_VAR, time`

Constructor Summary
`GeometricBrownianMotionPriceProcess()`

Method Summary

void afterPropertiesSet()

void eventOccurred(SimEvent event)

double getDrift()

double getDt()

java.lang.String getName()

double getPrice(RoundFinishedEvent event)

MutableDoubleWrapper getPriceWrapper()

RandomEngine getPrng()

double getVolatility()

void initialise()

void onRoundFinished(RoundFinishedEvent event)

void onSimulationStarting(SimulationStartingEvent event)

void setDrift(double drift)

void setDt(double dt)

void setPriceWrapper(MutableDoubleWrapper priceWrapper)

void

setPrng(RandomEngine prng)

Methods inherited from class net.sourceforge.jasa.report.MarketPriceReportVariables
`compute, dispose, getNumberOfSeries, getVariableBindings, getX, getxVariableName, getY, getyVariableNames, initialise`

Methods inherited from class java.lang.Object
`clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait`

Field Detail

currentPrice

protected double currentPrice

initialPrice

protected double initialPrice

wienerProcess

protected double wienerProcess

drift

protected double drift

volatility

protected double volatility

dt

protected double dt

priceWrapper

protected MutableDoubleWrapper priceWrapper

prng

protected RandomEngine prng

noiseDistribution

protected Normal noiseDistribution

Constructor Detail