random

Type Members

1. trait BrownianMotion extends RandomPath[Double, Double]

   

2. final case class BrownianMotionParameters(drift: Double, volatility: Double) extends Product with Serializable

   

3. trait CovarianceMatrixSqrt extends AnyRef

   

   Some helper functions to create correlated processes

4. trait DriftCurve extends AnyRef

   

5. trait GeometricBrownianMotion extends RandomPath[Double, Double]

   

6. trait MultivariateBrownianMotion extends RandomPath[Double, RealVector]

   

7. final case class MultivariateBrownianMotionParameters(drifts: Seq[Double], covariance: CovarianceMatrix) extends Product with Serializable

   
   drifts

   drift

   covariance

   covariance matrix

8. trait MultivariateGeometricBrownianMotion extends RandomPath[Double, RealVector]

   

9. trait MultivariateRandomGenerator[V] extends Random[Seq[V]]

   

10. trait MultivariateWienerIncrements extends RandomPath[Double, (Double, Double, RealVector)]

    

    A path with points (t(n),(t(n+1), dt,sqrt(dt)*dW(n))), where W is a virtufin.math.random.MultivariateWienerProcess

11. trait MultivariateWienerProcess extends RandomPath[Double, RealVector]

    

    A Wiener process, where the elements of the vector for a given time are uncorrelated

12. final case class OrnsteinUhlenbeckParameters(theta: Double, mu: Double, sigma: Double) extends Product with Serializable

    

13. trait OrnsteinUhlenbeckProcess extends RandomPath[Double, Double]

    

14. trait Random[V] extends Seq[V]

    

15. trait RandomPath[T, V] extends Random[Path[T, V]]

    

16. trait StandardNormalRandomNumberGenerator extends UnivariateRandomGenerator[Double]

    

    Random numbers distributed as N(0,1)

17. trait TimeDependentBrownianMotion extends RandomPath[Double, Double]

    

18. final case class TimeDependentBrownianMotionParameters(mu: DriftCurve, sigma: VolatilityCurve) extends Product with Serializable

    

19. trait TimeDependentMultivariateBrownianMotion extends RandomPath[Double, MultivariateState[Double]]

    

20. trait TimeDependentMultivariateGeometricBrownianMotion extends RandomPath[Double, MultivariateState[Double]]

    

21. trait TimeDependentMultivariateWienerProcess extends RandomPath[Double, MultivariateState[Double]]

    

22. trait UncorrelatedStandardNormalRandomNumberGenerator extends MultivariateRandomGenerator[Double]

    

23. trait UniformRandomNumberGenerator extends UnivariateRandomGenerator[Double]

    

    Uniform random numbers in range [0,1]

24. trait UnivariateRandomGenerator[V] extends Random[V]

    

25. trait VolatilityCurve extends AnyRef

    

26. trait WienerIncrements extends RandomPath[Double, (Double, Double, Double)]

    

    Low-lever helper trait used when implementing processes.

    Low-lever helper trait used when implementing processes. A path with points (t(n), (t(n+1), dt, sqrt(dt)*dW(n))), where W is a virtufin.math.random.WienerProcess

27. trait WienerProcess extends RandomPath[Double, Double]