Package org.drip.dynamics.hullwhite

Class TrinomialTreeNodeMetrics

java.lang.Object
org.drip.dynamics.hullwhite.TrinomialTreeNodeMetrics
public class TrinomialTreeNodeMetrics
extends java.lang.Object
TrinomialTreeNodeMetrics records the Metrics associated with each Node in the Trinomial Tree Evolution of the Instantaneous Short Rate using the Hull-White Model.

Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    TrinomialTreeNodeMetrics​(long lTimeIndex, long lXStochasticIndex, double dblX, double dblAlpha)
    TrinomialTreeNodeMetrics Constructor

  • Method Summary

    Modifier and Type Method Description
    double alpha()
    Retrieve the Node's Alpha
    double shortRate()
    Retrieve the Node's Short Rate
    long timeIndex()
    Retrieve the Tree Node's Time Index
    double x()
    Retrieve the Node's X
    long xStochasticIndex()
    Retrieve the Tree Node's X Stochastic Index

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • TrinomialTreeNodeMetrics

      public TrinomialTreeNodeMetrics​(long lTimeIndex, long lXStochasticIndex, double dblX, double dblAlpha) throws java.lang.Exception
      TrinomialTreeNodeMetrics Constructor
      Parameters:
      lTimeIndex - The Tree Node's Time Index
      lXStochasticIndex - The Tree Node's Stochastic Index
      dblX - X
      dblAlpha - Alpha
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • x

      public double x()
      Retrieve the Node's X
      Returns:
      The Node's X

    • alpha

      public double alpha()
      Retrieve the Node's Alpha
      Returns:
      The Node's Alpha

    • shortRate

      public double shortRate()
      Retrieve the Node's Short Rate
      Returns:
      The Node's Short Rate

    • timeIndex

      public long timeIndex()
      Retrieve the Tree Node's Time Index
      Returns:
      The Time Index

    • xStochasticIndex

      public long xStochasticIndex()
      Retrieve the Tree Node's X Stochastic Index
      Returns:
      The Tree Node's X Stochastic Index