List of expectation() Examples

Examples of expectation()

org.jquantlib.processes.GeneralizedBlackScholesProcess.expectation()
org.jquantlib.processes.StochasticProcess1D.expectation()
Returns the expectation {@latex$} E(x_t_0 + \Delta t} | x_{t_0} = x_0) } of the process after a time interval {@latex$ \Delta t }according to the given discretization. This method can be overridden in derived classes which want to hard-code a particular discretization.

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

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


        //Calulating the expected value of the stock quote after time = 18th day from today with the current value of the stock as specified from the quote
        //The expectedValue = intialValue*exp(drift*dt)-----can be obtained by integrating----->dx/x= drift*dt
        System.out.println("Expected value = "+process.expectation(process.time(date18.clone()), handleToStockQuote.currentLink().value(), 0.01));


        //Calulating the exact value of the stock quote after time = 18th day from today with the current value of the stock as specified from the quote
        //The exact value = intialValue*exp(drift*dt)*exp(volatility*sqrt(dt))-----can be obtained by integrating----->dx/x= drift*dt+volatility*sqrt(dt)
        System.out.println("Exact value = "+process.evolve(process.time(date18.clone()), 6.7, .001, new NormalDistribution().op(Math.random())));

View Full Code Here

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

        final Matrix stdDeviation = process.stdDeviation(process.time(date18.clone()), new Array(1).fill(5.6), 0.01);
        System.out.println("The stdDeviation of the process after time = 18th day from today with value of the stock as specified from the quote");


        //Calulating the expected value of the stock quote after time = 18th day from today with the current value of the stock as specified from the quote
        //The expectedValue = intialValue*exp(drift*dt)-----can be obtained by integrating----->dx/x= drift*dt
        final Array expectation = process.expectation(process.time(date18.clone()), new Array(1).fill(5.6), 0.01);
        System.out.println("Expected value = "+expectation.first());


        //Calulating the exact value of the stock quote after time = 18th day from today with the current value of the stock as specified from the quote
        //The exact value = intialValue*exp(drift*dt)*exp(volatility*sqrt(dt))-----can be obtained by integrating----->dx/x= drift*dt+volatility*sqrt(dt)
        final Array evolve = process.evolve(process.time(date18.clone()), new Array(1).fill(6.7), .001, new Array(1).fill(new NormalDistribution().op(Math.random()) ));

View Full Code Here

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

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


        //Calulating the expected value of the stock quote after time = 18th day from today with the current value of the stock as specified from the quote
        //The expectedValue = intialValue*exp(drift*dt)-----can be obtained by integrating----->dx/x= drift*dt
        System.out.println("Expected value = "+process.expectation(process.time(date18.clone()), handleToStockQuote.currentLink().value(), 0.01));


        //Calulating the exact value of the stock quote after time = 18th day from today with the current value of the stock as specified from the quote
        //The exact value = intialValue*exp(drift*dt)*exp(volatility*sqrt(dt))-----can be obtained by integrating----->dx/x= drift*dt+volatility*sqrt(dt)
        System.out.println("Exact value = "+process.evolve(process.time(date18.clone()), 6.7, .001, new NormalDistribution().op(Math.random())));

View Full Code Here

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

        final Matrix stdDeviation = process.stdDeviation(process.time(date18.clone()), new Array(1).fill(5.6), 0.01);
        System.out.println("The stdDeviation of the process after time = 18th day from today with value of the stock as specified from the quote");


        //Calulating the expected value of the stock quote after time = 18th day from today with the current value of the stock as specified from the quote
        //The expectedValue = intialValue*exp(drift*dt)-----can be obtained by integrating----->dx/x= drift*dt
        final Array expectation = process.expectation(process.time(date18.clone()), new Array(1).fill(5.6), 0.01);
        System.out.println("Expected value = "+expectation.first());


        //Calulating the exact value of the stock quote after time = 18th day from today with the current value of the stock as specified from the quote
        //The exact value = intialValue*exp(drift*dt)*exp(volatility*sqrt(dt))-----can be obtained by integrating----->dx/x= drift*dt+volatility*sqrt(dt)
        final Array evolve = process.evolve(process.time(date18.clone()), new Array(1).fill(6.7), .001, new Array(1).fill(new NormalDistribution().op(Math.random()) ));

View Full Code Here

TOP

All source code are property of their respective owners. Java is a trademark of Sun Microsystems, Inc and owned by ORACLE Inc. Contact coftware#gmail.com.