tech.nmfin.meanreversion.volarb

Class MeanEstimatorMaxLevelShift

java.lang.Object

tech.nmfin.meanreversion.volarb.MeanEstimatorMaxLevelShift

All Implemented Interfaces:

MeanPriceEstimator

public class MeanEstimatorMaxLevelShift
extends Object
implements MeanPriceEstimator

Constructor Summary

Constructors

Constructor and Description
MeanEstimatorMaxLevelShift(int maxLevel, double gridSize, double precision)
MeanEstimatorMaxLevelShift(int maxLevel, double gridSize, double precision, double mean)

Method Summary

Modifier and Type	Method and Description
double	mean()
String	toString()
void	update(LocalDateTime now, double px) Updates the model with the current price.

Methods inherited from class java.lang.Object

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

Constructor Detail

MeanEstimatorMaxLevelShift

public MeanEstimatorMaxLevelShift(int maxLevel,
                                  double gridSize,
                                  double precision,
                                  double mean)

MeanEstimatorMaxLevelShift

public MeanEstimatorMaxLevelShift(int maxLevel,
                                  double gridSize,
                                  double precision)

Method Detail

update

public void update(LocalDateTime now,
                   double px)

Description copied from interface: MeanPriceEstimator

Updates the model with the current price.

Specified by:

update in interface MeanPriceEstimator

Parameters:

now - the update time

px - the current price

mean

public double mean()

Specified by:

mean in interface MeanPriceEstimator

toString

public String toString()

Overrides:

toString in class Object