GeometricNormalInverseGaussianProcess.java

/*
 * Class:        GeometricNormalInverseGaussianProcess
 * Description:  
 * Environment:  Java
 * Software:     SSJ 
 * Copyright (C) 2001  Pierre L'Ecuyer and Universite de Montreal
 * Organization: DIRO, Universite de Montreal
 * @author       
 * @since
 *
 *
 * Licensed under the Apache License, Version 2.0 (the "License");
 * you may not use this file except in compliance with the License.
 * You may obtain a copy of the License at
 *
 *     http://www.apache.org/licenses/LICENSE-2.0
 *
 * Unless required by applicable law or agreed to in writing, software
 * distributed under the License is distributed on an "AS IS" BASIS,
 * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
 * See the License for the specific language governing permissions and
 * limitations under the License.
 *
 */
package umontreal.ssj.stochprocess;
 
import umontreal.ssj.rng.*;
import umontreal.ssj.probdist.*;
import umontreal.ssj.randvar.*;

public class GeometricNormalInverseGaussianProcess extends GeometricLevyProcess {

   public GeometricNormalInverseGaussianProcess(double s0, double muGeom, double alpha, double beta, double mu,
         double delta, RandomStream streamBrownian, NormalInverseGaussianProcess nigP) {
      levyProcess = nigP;
      ((NormalInverseGaussianProcess) levyProcess).setParams(0.0, alpha, beta, mu, delta);
      this.x0 = s0;
      this.muGeom = muGeom;
      omegaRiskNeutralCorrection = mu + delta * ((NormalInverseGaussianProcess) levyProcess).getGamma()
            - delta * Math.sqrt(alpha * alpha - (1. + beta) * (1. + beta));
   }

   public GeometricNormalInverseGaussianProcess(double s0, double muGeom, double alpha, double beta, double mu,
         double delta, RandomStream streamBrownian, InverseGaussianProcess igP) {
 
      levyProcess = new NormalInverseGaussianProcess(0.0, alpha, beta, mu, delta, streamBrownian, igP);
      this.x0 = s0;
      this.muGeom = muGeom;
      omegaRiskNeutralCorrection = mu + delta * ((NormalInverseGaussianProcess) levyProcess).getGamma()
            - delta * Math.sqrt(alpha * alpha - (1. + beta) * (1. + beta));
   }

   public GeometricNormalInverseGaussianProcess(double s0, double muGeom, double alpha, double beta, double mu,
         double delta, RandomStream streamBrownian, RandomStream streamNIG1, RandomStream streamNIG2, String igType) {
      levyProcess = new NormalInverseGaussianProcess(0.0, alpha, beta, mu, delta, streamBrownian, streamNIG1,
            streamNIG2, igType);
      this.x0 = s0;
      this.muGeom = muGeom;
      omegaRiskNeutralCorrection = mu + delta * ((NormalInverseGaussianProcess) levyProcess).getGamma()
            - delta * Math.sqrt(alpha * alpha - (1. + beta) * (1. + beta));
   }

   public GeometricNormalInverseGaussianProcess(double s0, double muGeom, double alpha, double beta, double mu,
         double delta, RandomStream streamAll, String igType) {
      this(s0, muGeom, alpha, beta, mu, delta, streamAll, streamAll, streamAll, igType);
   }
 
}