List of diffusion() Examples

Examples of diffusion()

org.jquantlib.processes.GeneralizedBlackScholesProcess.diffusion()
org.jquantlib.processes.StochasticProcess1D.diffusion()
Returns the diffusion part of the equation, i.e. {@latex$ \sigma(t, x_t) }

Examples of org.jquantlib.processes.GeneralizedBlackScholesProcess.diffusion()

        //The drift = (riskFreeForwardRate - dividendForwardRate) - (Variance/2)
        System.out.println("The drift of the process after time = 18th day from today with value of the stock as specified from the quote = "+process.drift(process.time(date18.clone()), handleToStockQuote.currentLink().value()));


        //Calculating the diffusion of the process after time = 18th day from today with value of the stock as specified from the quote
        //The diffusion = volatiltiy of the stochastic process
        System.out.println("The diffusion of the process after time = 18th day from today with value of the stock as specified from the quote = "+process.diffusion(process.time(date18.clone()), handleToStockQuote.currentLink().value()));


        //Calulating the standard deviation of the process after time = 18th day from today with value of the stock as specified from the quote
        //The standard deviation = volatility*sqrt(dt)
        System.out.println("The stdDeviation of the process after time = 18th day from today with value of the stock as specified from the quote = "+process.stdDeviation(process.time(date18.clone()), handleToStockQuote.currentLink().value(), 0.01));

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Examples of org.jquantlib.processes.GeneralizedBlackScholesProcess.diffusion()

        final Array drift = process.drift(process.time(date18.clone()), new Array(1).fill(5.6));
        System.out.println("The drift of the process after time = 18th day from today with value of the stock as specified from the quote");


        //Calculating the diffusion of the process after time = 18th day from today with value of the stock as specified from the quote
        //The diffusion = volatiltiy of the stochastic process
        final Matrix diffusion = process.diffusion(process.time(date18.clone()), new Array(1).fill(5.6));
        System.out.println("The diffusion of the process after time = 18th day from today with value of the stock as specified from the quote");


        //Calulating the standard deviation of the process after time = 18th day from today with value of the stock as specified from the quote
        //The standard deviation = volatility*sqrt(dt)
        final Matrix stdDeviation = process.stdDeviation(process.time(date18.clone()), new Array(1).fill(5.6), 0.01);

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Examples of org.jquantlib.processes.StochasticProcess1D.diffusion()

        //The drift = (riskFreeForwardRate - dividendForwardRate) - (Variance/2)
        System.out.println("The drift of the process after time = 18th day from today with value of the stock as specified from the quote = "+process.drift(process.time(date18.clone()), handleToStockQuote.currentLink().value()));


        //Calculating the diffusion of the process after time = 18th day from today with value of the stock as specified from the quote
        //The diffusion = volatiltiy of the stochastic process
        System.out.println("The diffusion of the process after time = 18th day from today with value of the stock as specified from the quote = "+process.diffusion(process.time(date18.clone()), handleToStockQuote.currentLink().value()));


        //Calulating the standard deviation of the process after time = 18th day from today with value of the stock as specified from the quote
        //The standard deviation = volatility*sqrt(dt)
        System.out.println("The stdDeviation of the process after time = 18th day from today with value of the stock as specified from the quote = "+process.stdDeviation(process.time(date18.clone()), handleToStockQuote.currentLink().value(), 0.01));

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Examples of org.jquantlib.processes.StochasticProcess1D.diffusion()

        final Array drift = process.drift(process.time(date18.clone()), new Array(1).fill(5.6));
        System.out.println("The drift of the process after time = 18th day from today with value of the stock as specified from the quote");


        //Calculating the diffusion of the process after time = 18th day from today with value of the stock as specified from the quote
        //The diffusion = volatiltiy of the stochastic process
        final Matrix diffusion = process.diffusion(process.time(date18.clone()), new Array(1).fill(5.6));
        System.out.println("The diffusion of the process after time = 18th day from today with value of the stock as specified from the quote");


        //Calulating the standard deviation of the process after time = 18th day from today with value of the stock as specified from the quote
        //The standard deviation = volatility*sqrt(dt)
        final Matrix stdDeviation = process.stdDeviation(process.time(date18.clone()), new Array(1).fill(5.6), 0.01);

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