tech.nmfin.meanreversion.hvolatility

Class KagiModel

java.lang.Object

tech.nmfin.meanreversion.hvolatility.KagiModel

public class KagiModel
extends Object

Maintains the states of a KAGI model.

Constructor Summary

Constructors

Constructor and Description
KagiModel(double H)

Method Summary

Modifier and Type	Method and Description
double	H()
double	maxZ()
double	minZ()
int	state() UP trend is -ve; DOWN trend is +ve.
String	toString()
Kagi.Trend	trend()
boolean	update(double z)

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, wait, wait, wait

Constructor Detail

KagiModel

public KagiModel(double H)

Method Detail

update

public boolean update(double z)

Parameters:

z -

Returns:

true if the state changes sign

H

public double H()

state

public int state()

UP trend is -ve; DOWN trend is +ve.

Returns:

-1 if a min is found (UP trend); +1 is a max is found (DOWN trend)

trend

public Kagi.Trend trend()

minZ

public double minZ()

maxZ

public double maxZ()

toString

public String toString()

Overrides:

toString in class Object