tech.nmfin.meanreversion.volarb

Interface MRModel

All Known Implementing Classes:

MRModelRanged

public interface MRModel

A Mean Reversion Model computes the target position given the current price.

Method Summary

Modifier and Type	Method and Description
double	position() Gets the current target position computed by this model.
void	update(LocalDateTime time, double px) Updates the model with the current price.

Method Detail

update

void update(LocalDateTime time,
            double px)

Updates the model with the current price.

Parameters:

time - the update time

px - the current price

position

double position()

Gets the current target position computed by this model.

Returns:

the target position computed by the model