org.drip.dynamics.hullwhite

Class SingleFactorStateEvolver

java.lang.Object

org.drip.dynamics.hullwhite.SingleFactorStateEvolver

All Implemented Interfaces:

PointStateEvolver

public class SingleFactorStateEvolver
extends java.lang.Object
implements PointStateEvolver

SingleFactorStateEvolver provides the Hull-White One-Factor Gaussian HJM Short Rate Dynamics Implementation.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
SingleFactorStateEvolver(FundingLabel lslFunding, double dblSigma, double dblA, R1ToR1 auIFRInitial, UnivariateSequenceGenerator usg) SingleFactorStateEvolver Constructor

Method Summary

Modifier and Type	Method and Description
double	a() Retrieve A
double	alpha(int iSpotDate, int iViewDate) Calculate the Alpha
LSQMPointUpdate	evolve(int iSpotDate, int iViewDate, int iSpotTimeIncrement, LSQMPointUpdate lsqmPrev) Evolve the Latent State and return the LSQM Point Update
TrinomialTreeTransitionMetrics	evolveTrinomialTree(int iSpotDate, int iInitialDate, int iTerminalDate, TrinomialTreeNodeMetrics hwnmInitial) Generate the Metrics associated with the Transition that results from using a Trinomial Tree Using the Starting Node Metrics
TrinomialTreeSequenceMetrics	evolveTrinomialTreeSequence(int iSpotDate, int iDayIncrement, int iNumIncrement) Evolve the Trinomial Tree Sequence
boolean	evolveTrinomialTreeSequence(int iSpotDate, int iInitialDate, int iDayIncrement, int iNumIncrement, TrinomialTreeNodeMetrics hwnm, TrinomialTreeSequenceMetrics hwsm) Evolve the Trinomial Tree Sequence
FundingLabel	fundingLabel() Retrieve the Funding Label
R1ToR1	ifrInitialTermStructure() Retrieve the Initial Instantaneous Forward Rate Term Structure
UnivariateSequenceGenerator	rsg() Retrieve the Random Sequence Generator
double	shortRateIncrement(int iSpotDate, int iViewDate, double dblShortRate, int iViewTimeIncrement) Calculate the Short Rate Increment
double	sigma() Retrieve Sigma
double	theta(int iSpotDate, int iViewDate) Calculate the Theta

Methods inherited from class java.lang.Object

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

Constructor Detail

SingleFactorStateEvolver

public SingleFactorStateEvolver(FundingLabel lslFunding,
                                double dblSigma,
                                double dblA,
                                R1ToR1 auIFRInitial,
                                UnivariateSequenceGenerator usg)
                         throws java.lang.Exception

SingleFactorStateEvolver Constructor

Parameters:

lslFunding - The Funding Latent State Label

dblSigma - Sigma

dblA - A

auIFRInitial - The Initial Instantaneous Forward Rate Term Structure

usg - Univariate Random Sequence Generator

Throws:

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

Method Detail

fundingLabel

public FundingLabel fundingLabel()

Retrieve the Funding Label

Returns:

The Funding Label

sigma

public double sigma()

Retrieve Sigma

Returns:

Sigma

a

public double a()

Retrieve A

Returns:

A

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

Returns:

The Random Sequence Generator

alpha

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

Calculate the Alpha

Parameters:

iSpotDate - The Spot Date

iViewDate - The View Date

Returns:

Alpha

Throws:

java.lang.Exception - Thrown if Alpha cannot be computed

theta

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

Calculate the Theta

Parameters:

iSpotDate - The Spot Date

iViewDate - The View Date

Returns:

Theta

Throws:

java.lang.Exception - Thrown if Theta cannot be computed

shortRateIncrement

public double shortRateIncrement(int iSpotDate,
                                 int iViewDate,
                                 double dblShortRate,
                                 int iViewTimeIncrement)
                          throws java.lang.Exception

Calculate the Short Rate Increment

Parameters:

iSpotDate - The Spot Date

iViewDate - The View Date

dblShortRate - The Short Rate

iViewTimeIncrement - The View Time Increment

Returns:

The Short Rate Increment

Throws:

java.lang.Exception - Thrown if the Short Rate cannot be computed

evolve

public LSQMPointUpdate evolve(int iSpotDate,
                              int iViewDate,
                              int iSpotTimeIncrement,
                              LSQMPointUpdate lsqmPrev)

Description copied from interface: PointStateEvolver

Evolve the Latent State and return the LSQM Point Update

Specified by:

evolve in interface PointStateEvolver

Parameters:

iSpotDate - The Spot Date

iViewDate - The View Date

iSpotTimeIncrement - The Spot Time Increment

lsqmPrev - The Previous LSQM Point Update

Returns:

The LSQM Point Update

evolveTrinomialTree

public TrinomialTreeTransitionMetrics evolveTrinomialTree(int iSpotDate,
                                                          int iInitialDate,
                                                          int iTerminalDate,
                                                          TrinomialTreeNodeMetrics hwnmInitial)

Generate the Metrics associated with the Transition that results from using a Trinomial Tree Using the Starting Node Metrics

Parameters:

iSpotDate - The Spot/Epoch Date

iInitialDate - The Initial Date

iTerminalDate - The Terminal Date

hwnmInitial - The Initial Node Metrics

Returns:

The Hull White Transition Metrics

evolveTrinomialTreeSequence

public boolean evolveTrinomialTreeSequence(int iSpotDate,
                                           int iInitialDate,
                                           int iDayIncrement,
                                           int iNumIncrement,
                                           TrinomialTreeNodeMetrics hwnm,
                                           TrinomialTreeSequenceMetrics hwsm)

Evolve the Trinomial Tree Sequence

Parameters:

iSpotDate - The Spot Date

iInitialDate - The Initial Date

iDayIncrement - The Day Increment

iNumIncrement - Number of Times to Increment

hwnm - Starting Node Metrics

hwsm - The Sequence Metrics

Returns:

TRUE - The Tree Successfully Evolved

evolveTrinomialTreeSequence

public TrinomialTreeSequenceMetrics evolveTrinomialTreeSequence(int iSpotDate,
                                                                int iDayIncrement,
                                                                int iNumIncrement)

Evolve the Trinomial Tree Sequence

Parameters:

iSpotDate - The Spot Date

iDayIncrement - The Day Increment

iNumIncrement - Number of Times to Increment

Returns:

The Sequence Metrics