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SVEOU Class Reference

Stochastic volatility model with Exponential Ornstein-Uhlenbeck-type process. More...

#include <models.h>

Inheritance diagram for SVEOU:

SVMODEL MARKOVMODEL PREESTMODEL MODEL SVEOU1 List of all members.

Public Member Functions

 SVEOU (functionvector FF, double d=1.0, long PPD=200, long N1=100, long N2=100, long qq=5, long ss=6, long ll=10, long sd=-123456)
 Constructor of SVEOU-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 double next (double oldvalue) const
 updating in the simulation.

virtual void setinitvalue ()

Protected Attributes

double alpha
double theta
double sigma

Detailed Description

Stochastic volatility model with Exponential Ornstein-Uhlenbeck-type process.

inherits from SVMODEL

Definition at line 355 of file models.h.

Constructor & Destructor Documentation

SVEOU::SVEOU (  functionvector  FF,
double  d = 1.0,
long  PPD = 200,
long  N1 = 100,
long  N2 = 100,
long  qq = 5,
long  ss = 6,
long  ll = 10,
long  sd = -123456
)  [inline]
 

Constructor of SVEOU-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 373 of file models.h.

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

00373                                                                                                                                             {
00374     ifuncs = FF;
00375     Delta=d; PointsPerDelta=PPD; setdelta(d/PPD); MbarNOS = N1; q = qq; 
00376     if (q>ss) 
00377       s = q;
00378     else
00379       s = ss; 
00380     l = ll; setseed(sd); 
00381     iter_Mbar = true; 
00382     numsimul = N2;
00383     N = FF.size();
00384   }

Member Function Documentation

unsigned SVEOU::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 505 of file models.cpp. 

00505 { return(3); }

void SVEOU::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 501 of file models.cpp.

References MODEL::setpar(). 

00501                              {
00502   alpha=par.get(0); theta=par.get(1); sigma=par.get(2); MODEL::setpar(par);
00503 }

The documentation for this class was generated from the following files:
Generated on Tue Feb 14 16:05:53 2006 for estfunc by doxygen 1.3.6