Package org.drip.dynamics.hullwhite

Class TrinomialTreeSequenceMetrics

java.lang.Object

org.drip.dynamics.hullwhite.TrinomialTreeSequenceMetrics

public class TrinomialTreeSequenceMetrics
extends java.lang.Object

TrinomialTreeSequenceMetrics records the Evolution Metrics of the Hull-White Model Trinomial Tree Sequence.

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

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
TrinomialTreeSequenceMetrics()	Empty TrinomialTreeSequenceMetrics Constructor

Method Summary

Modifier and Type	Method	Description
boolean	addNodeMetrics(TrinomialTreeNodeMetrics hwnm)	Add the Hull-White Node Metrics Instance
boolean	addTransitionMetrics(TrinomialTreeTransitionMetrics hwtm)	Add a Path Transition Metrics Instance
java.util.Map<java.lang.String,TrinomialTreeNodeMetrics>	nodeMetrics()	Retrieve the Node Metrics Map
TrinomialTreeNodeMetrics	nodeMetrics(long lTreeTimeIndex, long lTreeStochasticIndex)	Retrieve the Node Metrics from the corresponding Tree Time/Space Indexes
boolean	setTransitionProbability(TrinomialTreeNodeMetrics hwnmSource, TrinomialTreeNodeMetrics hwnmTarget, double dblTransitionProbability)	Set the Transition Probability for the specified Pair of Nodes
java.util.Map<java.lang.String,java.lang.Double>	sourceTargetTransitionProbability()	Retrieve the FULL Source-Target Transition Probability Map
double	sourceTargetTransitionProbability(TrinomialTreeNodeMetrics hwnmSource, TrinomialTreeNodeMetrics hwnmTarget)	Retrieve the Source-To-Target Transition Probability
java.util.Map<java.lang.String,java.lang.Double>	targetSourceTransitionProbability()	Retrieve the FULL Target-Source Transition Probability Map
double	targetSourceTransitionProbability(TrinomialTreeNodeMetrics hwnmTarget, TrinomialTreeNodeMetrics hwnmSource)	Retrieve the Target-From-Source Transition Probability
java.util.Map<java.lang.Long,TrinomialTreeTransitionMetrics>	transitionMetrics()	Retrieve the Transition Metrics Map
TrinomialTreeTransitionMetrics	transitionMetrics(long lTreeTimeIndex)	Retrieve the Transition Metrics associated with the specified Tree Time Index

Methods inherited from class java.lang.Object

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

Constructor Details

TrinomialTreeSequenceMetrics

public TrinomialTreeSequenceMetrics()

Empty TrinomialTreeSequenceMetrics Constructor

Method Details

addTransitionMetrics

public boolean addTransitionMetrics(TrinomialTreeTransitionMetrics hwtm)

Add a Path Transition Metrics Instance

Parameters:

hwtm - The Path Transition Metrics Instance

Returns:

TRUE - The Path Transition Metrics Instance successfully added

transitionMetrics

public TrinomialTreeTransitionMetrics transitionMetrics(long lTreeTimeIndex)

Retrieve the Transition Metrics associated with the specified Tree Time Index

Parameters:

lTreeTimeIndex - The Tree Time Index

Returns:

The Transition Metrics associated with the specified Tree Time Index

transitionMetrics

public java.util.Map<java.lang.Long,TrinomialTreeTransitionMetrics> transitionMetrics()

Retrieve the Transition Metrics Map

Returns:

The Transition Metrics Map

addNodeMetrics

public boolean addNodeMetrics(TrinomialTreeNodeMetrics hwnm)

Add the Hull-White Node Metrics Instance

Parameters:

hwnm - The Hull-White Node Metrics Instance

Returns:

The Node Met5rics Instance successfully added

nodeMetrics

public TrinomialTreeNodeMetrics nodeMetrics(long lTreeTimeIndex,
long lTreeStochasticIndex)

Retrieve the Node Metrics from the corresponding Tree Time/Space Indexes

Parameters:

lTreeTimeIndex - The Tree Time Index

lTreeStochasticIndex - The Tree Space Index

Returns:

The Node Metrics

nodeMetrics

public java.util.Map<java.lang.String,TrinomialTreeNodeMetrics> nodeMetrics()

Retrieve the Node Metrics Map

Returns:

The Node Metrics Map

setTransitionProbability

public boolean setTransitionProbability(TrinomialTreeNodeMetrics hwnmSource,
TrinomialTreeNodeMetrics hwnmTarget,
double dblTransitionProbability)

Set the Transition Probability for the specified Pair of Nodes

Parameters:

hwnmSource - Source Node

hwnmTarget - Target Node

dblTransitionProbability - The Transition Probability

Returns:

TRUE - The Transition Probability Successfully set

sourceTargetTransitionProbability

public double sourceTargetTransitionProbability(TrinomialTreeNodeMetrics hwnmSource,
TrinomialTreeNodeMetrics hwnmTarget)
                                         throws java.lang.Exception

Retrieve the Source-To-Target Transition Probability

Parameters:

hwnmSource - Source Node

hwnmTarget - Target Node

Returns:

The Source-To-Target Transition Probability

Throws:

java.lang.Exception - Thrown if the Source-To-Target Transition Probability cannot be computed

sourceTargetTransitionProbability

public java.util.Map<java.lang.String,java.lang.Double> sourceTargetTransitionProbability()

Retrieve the FULL Source-Target Transition Probability Map

Returns:

The Source-Target Transition Probability Map

targetSourceTransitionProbability

public double targetSourceTransitionProbability(TrinomialTreeNodeMetrics hwnmTarget,
TrinomialTreeNodeMetrics hwnmSource)
                                         throws java.lang.Exception

Retrieve the Target-From-Source Transition Probability

Parameters:

hwnmTarget - Target Node

hwnmSource - Source Node

Returns:

The Target-From-Source Transition Probability

Throws:

java.lang.Exception - Thrown if the Target-From-Source Transition Probability cannot be computed

targetSourceTransitionProbability

public java.util.Map<java.lang.String,java.lang.Double> targetSourceTransitionProbability()

Retrieve the FULL Target-Source Transition Probability Map

Returns:

The Target-Source Transition Probability Map