Record Class OrnsteinUhlenbeck.Params

java.lang.Object
java.lang.Record
com.quantfinlib.microstructure.OrnsteinUhlenbeck.Params
Record Components:
kappa - mean-reversion speed, per unit of dt's time
theta - long-run mean
sigma - diffusion volatility (same time units as κ)
halfLife - ln2/κ, in dt time units
Enclosing class:
OrnsteinUhlenbeck
public static record OrnsteinUhlenbeck.Params(double kappa, double theta, double sigma, double halfLife) extends Record

  • Constructor Summary

    Constructors
    Constructor
    Description
    Params(double kappa, double theta, double sigma, double halfLife)
    Creates an instance of a Params record class.

  • Method Summary

    Modifier and Type
    Method
    Description
    final boolean
    equals(Object o)
    Indicates whether some other object is "equal to" this one.
    double
    halfLife()
    Returns the value of the halfLife record component.
    final int
    hashCode()
    Returns a hash code value for this object.
    double
    kappa()
    Returns the value of the kappa record component.
    double
    sigma()
    Returns the value of the sigma record component.
    double
    stationaryStdev()
    Stationary standard deviation σ/√(2κ) — the z-score's yardstick.
    double
    theta()
    Returns the value of the theta record component.
    final String
    toString()
    Returns a string representation of this record class.
    double
    zScore(double x)
    (x − θ) / stationary stdev: the entry/exit signal.

    Methods inherited from class java.lang.Object

    clone, finalize, getClass, notify, notifyAll, wait, wait, wait

  • Constructor Details

    • Params

      public Params(double kappa, double theta, double sigma, double halfLife)
      Creates an instance of a Params record class.
      Parameters:
      kappa - the value for the kappa record component
      theta - the value for the theta record component
      sigma - the value for the sigma record component
      halfLife - the value for the halfLife record component

  • Method Details

    • stationaryStdev

      public double stationaryStdev()
      Stationary standard deviation σ/√(2κ) — the z-score's yardstick.

    • zScore

      public double zScore(double x)
      (x − θ) / stationary stdev: the entry/exit signal.

    • toString

      public final String toString()
      Returns a string representation of this record class. The representation contains the name of the class, followed by the name and value of each of the record components.
      Specified by:
      toString in class Record
      Returns:
      a string representation of this object

    • hashCode

      public final int hashCode()
      Returns a hash code value for this object. The value is derived from the hash code of each of the record components.
      Specified by:
      hashCode in class Record
      Returns:
      a hash code value for this object

    • equals

      public final boolean equals(Object o)
      Indicates whether some other object is "equal to" this one. The objects are equal if the other object is of the same class and if all the record components are equal. All components in this record class are compared with the compare method from their corresponding wrapper classes.
      Specified by:
      equals in class Record
      Parameters:
      o - the object with which to compare
      Returns:
      true if this object is the same as the o argument; false otherwise.

    • kappa

      public double kappa()
      Returns the value of the kappa record component.
      Returns:
      the value of the kappa record component

    • theta

      public double theta()
      Returns the value of the theta record component.
      Returns:
      the value of the theta record component

    • sigma

      public double sigma()
      Returns the value of the sigma record component.
      Returns:
      the value of the sigma record component

    • halfLife

      public double halfLife()
      Returns the value of the halfLife record component.
      Returns:
      the value of the halfLife record component