org.drip.quant.stochastic

Interface R1R1ToR1

public interface R1R1ToR1

R1R1ToR1 interface exposes the stubs for the evaluation of the objective function and its derivatives for a R^1 Deterministic + R^1 Random To R^1 Stochastic Function with one Random Component.

Author:

Lakshmi Krishnamurthy

Method Summary

Modifier and Type	Method and Description
double	derivativeExpectation(double dblVariate, int iOrder) Evaluate the Derivative Expectation at the given variate
double	derivativeRealization(double dblVariate, int iOrder) Evaluate the Derivative for a Single Realization for the given variate
double	evaluateExpectation(double dblVariate) Evaluate the Expectation for the given variate
double	evaluateRealization(double dblVariate) Evaluate a Single Realization for the given variate
double	integralExpectation(double dblStart, double dblEnd) Evaluate the Expected Path-wise Integral between the Vriates
double	integralRealization(double dblStart, double dblEnd) Evaluate a Path-wise Integral between the Vriates

Method Detail

evaluateRealization

double evaluateRealization(double dblVariate)
                    throws java.lang.Exception

Evaluate a Single Realization for the given variate

Parameters:

dblVariate - Variate

Returns:

Return the Single Realization for the given variate

Throws:

java.lang.Exception - Thrown if evaluation cannot be done

evaluateExpectation

double evaluateExpectation(double dblVariate)
                    throws java.lang.Exception

Evaluate the Expectation for the given variate

Parameters:

dblVariate - Variate

Returns:

Return the Expectation for the given variate

Throws:

java.lang.Exception - Thrown if evaluation cannot be done

derivativeRealization

double derivativeRealization(double dblVariate,
                             int iOrder)
                      throws java.lang.Exception

Evaluate the Derivative for a Single Realization for the given variate

Parameters:

dblVariate - Variate at which the derivative is to be calculated

iOrder - Order of the derivative to be computed

Returns:

Return the Derivative for a Single Realization for the given variate

Throws:

java.lang.Exception - Thrown if evaluation cannot be done

derivativeExpectation

double derivativeExpectation(double dblVariate,
                             int iOrder)
                      throws java.lang.Exception

Evaluate the Derivative Expectation at the given variate

Parameters:

dblVariate - Variate at which the derivative is to be calculated

iOrder - Order of the derivative to be computed

Returns:

Return the Derivative Expectation at the given variate

Throws:

java.lang.Exception - Thrown if evaluation cannot be done

integralRealization

double integralRealization(double dblStart,
                           double dblEnd)
                    throws java.lang.Exception

Evaluate a Path-wise Integral between the Vriates

Parameters:

dblStart - Variate Start

dblEnd - Variate End

Returns:

The Path-wise Integral between the Variates

Throws:

java.lang.Exception - Thrown if evaluation cannot be done

integralExpectation

double integralExpectation(double dblStart,
                           double dblEnd)
                    throws java.lang.Exception

Evaluate the Expected Path-wise Integral between the Vriates

Parameters:

dblStart - Variate Start

dblEnd - Variate End

Returns:

The Expected Path-wise Integral between the Variates

Throws:

java.lang.Exception - Thrown if evaluation cannot be done