Examples with SampleSet org.ojalgo.random.SampleSet used on opensource projects

Example 6 with SampleSet

use of org.ojalgo.random.SampleSet in project ojAlgo-finance by optimatika.

the class FinanceUtils method estimateExcessDiffusionProcess.

public static GeometricBrownianMotion estimateExcessDiffusionProcess(final CalendarDateSeries<?> priceSeries, final CalendarDateSeries<?> riskFreeInterestRateSeries, final CalendarDateUnit timeUnit) {
    final SampleSet tmpSampleSet = FinanceUtils.makeExcessGrowthRateSampleSet(priceSeries, riskFreeInterestRateSeries);
    // The average number of millis between to subsequent keys in the series.
    double tmpStepSize = priceSeries.getResolution().size();
    // The time between to keys expressed in terms of the specified time meassure and unit.
    tmpStepSize /= timeUnit.size();
    final double tmpExp = tmpSampleSet.getMean();
    final double tmpVar = tmpSampleSet.getVariance();
    final double tmpDiff = PrimitiveFunction.SQRT.invoke(tmpVar / tmpStepSize);
    final double tmpDrift = (tmpExp / tmpStepSize) + ((tmpDiff * tmpDiff) / TWO);
    final GeometricBrownianMotion retVal = new GeometricBrownianMotion(tmpDrift, tmpDiff);
    return retVal;
}