SVEOU1 Class Reference

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

#include <models.h>

Inheritance diagram for SVEOU1:

List of all members.

Public Member Functions
	SVEOU1 (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 SVEOU1-process model.
Protected Member Functions
virtual double	Zval (unsigned j, long i, long k, matrix const &Y)
	Z_{jk}^{(i)}, j=0,...,N-1, k=1,...,q, i.
virtual void	calculate_Z ()

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Detailed Description

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

inherits from SVEOU. Simple example of implementation of new Z_i-fuunctions. In this case the squareroot of each f_i is taken.

Definition at line 410 of file models.h.

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Constructor & Destructor Documentation

SVEOU1::SVEOU1 (  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 SVEOU1-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 428 of file models.h. : SVEOU(FF,d,PPD,N1,N2,qq,ss,ll,sd) {}

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The documentation for this class was generated from the following files:

• models.h
• models.cpp

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