Package org.drip.dynamics.evolution

Interface PointStateEvolver

All Known Implementing Classes:

ContinuousForwardRateEvolver, LognormalLIBORPointEvolver, MultiFactorStateEvolver, SingleFactorStateEvolver, StochasticVolatilityStateEvolver

public interface PointStateEvolver

PointStateEvolver is the Interface on top of which the Point State Evolution Dynamics is constructed.

• Module = Product Core Module
• Library = Fixed Income Analytics
• Project = HJM, Hull White, LMM, and SABR Dynamic Evolution Models
• Package = Latent State Evolution Edges/Vertexes

Author:

Lakshmi Krishnamurthy

Method Summary

Modifier and Type	Method	Description
LSQMPointUpdate	evolve(int iSpotDate, int iViewDate, int iSpotTimeIncrement, LSQMPointUpdate lsqmPrev)	Evolve the Latent State and return the LSQM Point Update

Method Details

evolve

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

Evolve the Latent State and return the LSQM Point Update

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