org.drip.dynamics.hjm

Class G2PlusPlus

java.lang.Object

org.drip.dynamics.hjm.G2PlusPlus

public class G2PlusPlus
extends java.lang.Object

G2PlusPlus provides the Hull-White-type, but Two-Factor Gaussian HJM Short Rate Dynamics Implementation.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
G2PlusPlus(double dblSigma, double dblA, double dblEta, double dblB, UnivariateSequenceGenerator[] aRSG, double dblRho, R1ToR1 auIFRInitial) G2PlusPlus Constructor

Method Summary

Modifier and Type	Method and Description
double	a() Retrieve A
double	b() Retrieve B
double	deltaX(int iSpotDate, int iViewDate, double dblX, int iSpotTimeIncrement) Compute the X Increment
double	deltaY(int iSpotDate, int iViewDate, double dblY, int iSpotTimeIncrement) Compute the Y Increment
double	eta() Retrieve Eta
R1ToR1	ifrInitialTermStructure() Retrieve the Initial Instantaneous Forward Rate Term Structure
double	phi(int iSpotDate, int iViewDate) Compute the G2++ Phi
double	rho() Retrieve Rho
UnivariateSequenceGenerator[]	rsg() Retrieve the Random Sequence Generator Array
double	sigma() Retrieve Sigma

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

G2PlusPlus

public G2PlusPlus(double dblSigma,
                  double dblA,
                  double dblEta,
                  double dblB,
                  UnivariateSequenceGenerator[] aRSG,
                  double dblRho,
                  R1ToR1 auIFRInitial)
           throws java.lang.Exception

G2PlusPlus Constructor

Parameters:

dblSigma - Sigma

dblA - A

dblEta - Eta

dblB - B

aRSG - Array of the Random Sequence Generators

dblRho - Rho

auIFRInitial - The Initial Instantaneous Forward Rate Term Structure

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid

Method Detail

sigma

public double sigma()

Retrieve Sigma

Returns:

Sigma

a

public double a()

Retrieve A

Returns:

A

eta

public double eta()

Retrieve Eta

Returns:

Eta

b

public double b()

Retrieve B

Returns:

B

ifrInitialTermStructure

public R1ToR1 ifrInitialTermStructure()

Retrieve the Initial Instantaneous Forward Rate Term Structure

Returns:

The Initial Instantaneous Forward Rate Term Structure

rsg

public UnivariateSequenceGenerator[] rsg()

Retrieve the Random Sequence Generator Array

Returns:

The Random Sequence Generator Array

rho

public double rho()

Retrieve Rho

Returns:

Rho

phi

public double phi(int iSpotDate,
                  int iViewDate)
           throws java.lang.Exception

Compute the G2++ Phi

Parameters:

iSpotDate - The Spot Date

iViewDate - The View Date

Returns:

The G2++ Phi

Throws:

java.lang.Exception - Thrown if the G2++ Phi cannot be computed

deltaX

public double deltaX(int iSpotDate,
                     int iViewDate,
                     double dblX,
                     int iSpotTimeIncrement)
              throws java.lang.Exception

Compute the X Increment

Parameters:

iSpotDate - The Spot Date

iViewDate - The View Date

dblX - The X Value

iSpotTimeIncrement - The Spot Time Increment

Returns:

The X Increment

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid

deltaY

public double deltaY(int iSpotDate,
                     int iViewDate,
                     double dblY,
                     int iSpotTimeIncrement)
              throws java.lang.Exception

Compute the Y Increment

Parameters:

iSpotDate - The Spot Date

iViewDate - The View Date

dblY - The Y Value

iSpotTimeIncrement - The Spot Time Increment

Returns:

The Y Increment

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid