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SVCIR Class Reference

Stochastic volatility model with CIR process. More...

#include <models.h>

Inheritance diagram for SVCIR:

SVMODEL MARKOVMODEL PREESTMODEL MODEL List of all members.

Public Member Functions

 SVCIR (functionvector FF, double d=1.0, long PPD=200, long N1=150, long N2=150, long qq=5, long ss=6, long ll=10, long sd=-123456)
 Constructor of SV-CIR-process model.

virtual void setpar (matrix par)
 Sets parameters of the model. Only used in simulations.

virtual unsigned getdim ()
 Virtual simulation function.


Protected Member Functions

virtual void setinitvalue ()
virtual double next (double oldvalue) const
 updating in the simulation.


Protected Attributes

double alpha
double theta
double sigma

Detailed Description

Stochastic volatility model with CIR process.

inherits from SVMODEL

Definition at line 300 of file models.h.

Constructor & Destructor Documentation

SVCIR::SVCIR (  functionvector  FF,
double  d = 1.0,
long  PPD = 200,
long  N1 = 150,
long  N2 = 150,
long  qq = 5,
long  ss = 6,
long  ll = 10,
long  sd = -123456
)  [inline]
 

Constructor of SV-CIR-process model.

Parameters:
FF : Inner functions
d : The time-distance between the observations (delta)
PPD : Points pr. delta (time-distance)
N1 : Number of variables to simulate in Mbar-calculation
N2 : Number of variables to simulate to estimate moments of process
qq : The lag-length in the prediction
ss : Summation-start in estimating function
ll :Summation-start in the expresion of Mbar
sd : seed
Returns:

Definition at line 317 of file models.h.

References PREESTMODEL::l, PREESTMODEL::N, PREESTMODEL::q, PREESTMODEL::s, MARKOVMODEL::setdelta(), and MODEL::setseed(). 

00317                                                                                                                                             {
00318     ifuncs = FF;
00319     Delta=d; PointsPerDelta=PPD; setdelta(d/PPD); MbarNOS = N1; q = qq; 
00320     if (q>ss) 
00321       s = q;
00322     else
00323       s = ss; 
00324     l = ll; setseed(sd); 
00325     iter_Mbar = true; // Astar (and hence Mbar) is calculated
00326     numsimul = N2;
00327     N = FF.size();
00328   }

Member Function Documentation

unsigned SVCIR::getdim (   )  [virtual]
 

Virtual simulation function.

Parameters:
n : number of variables simulated
Returns:
vector of variables opposed to function simulate which returns matrix.

Implements MODEL.

Definition at line 483 of file models.cpp. 

00483 { return(3); }

void SVCIR::setpar (  matrix  par  )  [virtual]
 

Sets parameters of the model. Only used in simulations.

Parameters:
par : $ 3\times 1$-matrix containing parameters (alpha,theta,sigma).

Reimplemented from MODEL.

Definition at line 479 of file models.cpp.

References MODEL::setpar(). 

00479                              {
00480   alpha=par.get(0); theta=par.get(1); sigma=par.get(2); MODEL::setpar(par);
00481 }

The documentation for this class was generated from the following files:
Generated on Tue Feb 14 16:05:52 2006 for estfunc by doxygen 1.3.6