Statistics
This is the main package defining RandomVariables
and
RandomVectors
. Each of these classes becomes concrete by defining
a single abstract method getValue(int t)
intepreted as the next
draw from the underlying distribution conditioned on all information available
at time t
. Typically this information is the state of the path
sε[0,t]-> X(s)
of some stochastic process
X
up to time t
.
Random variables and vectors have a variety of methods to compute statistics associated with the underlying distribution. Histograms are also supported. Random vectors are necessary if we have to deal with correlations and have a method to compute the covariation matrix. One call to the underlying stochastic mechanism produces the next sample for each coordinate. Separate random variables make separate calls to the underlying stochastic mechanism and thus appear to be independent.
There is also a utility class FinMath
containing some
static methods which are useful in financial mathematics: the Black-Scholes
formula, solving for implied volatlities, cumulative normal and inverse
cumulative normal distribution function etc.
The various data source
classes make the connection to the
jas
(java analyis studio) library to support the computation
and display of histograms.