Package org.drip.dynamics.hullwhite

Class TrinomialTreeTransitionMetrics

java.lang.Object

org.drip.dynamics.hullwhite.TrinomialTreeTransitionMetrics

public class TrinomialTreeTransitionMetrics
extends java.lang.Object

TrinomialTreeTransitionMetrics records the Transition Metrics associated with Node-to-Node Evolution of the Instantaneous Short Rate using the Hull-White Model Trinomial Tree.

• 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
TrinomialTreeTransitionMetrics(int iInitialDate, int iTerminalDate, long lTreeTimeIndex, long lTreeStochasticBaseIndex, double dblExpectedTerminalX, double dblXVariance, double dblTerminalAlpha)	TrinomialTreeTransitionMetrics Constructor

Method Summary

Modifier and Type	Method	Description
TrinomialTreeNodeMetrics	downNodeMetrics()	Retrieve the "Down" Node Metrics
double	expectedTerminalX()	Retrieve the Expected Final/Terminal Value for X
int	initialDate()	Retrieve the Initial Date
double	probabilityDown()	Retrieve the Probability of the Down Stochastic Shift
double	probabilityStay()	Retrieve the Probability of the No Shift
double	probabilityUp()	Retrieve the Probability of the Up Stochastic Shift
TrinomialTreeNodeMetrics	stayNodeMetrics()	Retrieve the "Stay" Node Metrics
double	terminalAlpha()	Retrieve the Final/Terminal Alpha
int	terminalDate()	Retrieve the Terminal Date
long	treeStochasticDisplacementIndex()	Retrieve the Tree Stochastic Displacement Index
long	treeTimeIndex()	Retrieve the Tree Time Index
TrinomialTreeNodeMetrics	upNodeMetrics()	Retrieve the "Up" Node Metrics
double	xDown()	Retrieve the "Down" Value for X
double	xStochasticShift()	Retrieve the Stochastic Shift of X
double	xUp()	Retrieve the "Up" Value for X
double	xVariance()	Retrieve the Variance in the Final Value of X

Methods inherited from class java.lang.Object

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

Constructor Details

TrinomialTreeTransitionMetrics

public TrinomialTreeTransitionMetrics(int iInitialDate,
int iTerminalDate,
long lTreeTimeIndex,
long lTreeStochasticBaseIndex,
double dblExpectedTerminalX,
double dblXVariance,
double dblTerminalAlpha)
                               throws java.lang.Exception

TrinomialTreeTransitionMetrics Constructor

Parameters:

iInitialDate - The Initial Date

iTerminalDate - The Terminal/Final Date

lTreeTimeIndex - The Tree Time Index

lTreeStochasticBaseIndex - The Tree Stochastic Base Index

dblExpectedTerminalX - Expectation of the Final/Terminal Value for X

dblXVariance - Variance of X

dblTerminalAlpha - The Final/Terminal Alpha

Throws:

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

Method Details

initialDate

public int initialDate()

Retrieve the Initial Date

Returns:

The Initial Date

terminalDate

public int terminalDate()

Retrieve the Terminal Date

Returns:

The Terminal Date

treeTimeIndex

public long treeTimeIndex()

Retrieve the Tree Time Index

Returns:

The Tree Time Index

expectedTerminalX

public double expectedTerminalX()

Retrieve the Expected Final/Terminal Value for X

Returns:

The Expected Final/Terminal Value for X

xVariance

public double xVariance()

Retrieve the Variance in the Final Value of X

Returns:

The Variance in the Final Value of X

xStochasticShift

public double xStochasticShift()

Retrieve the Stochastic Shift of X

Returns:

The Stochastic Shift of X

treeStochasticDisplacementIndex

public long treeStochasticDisplacementIndex()

Retrieve the Tree Stochastic Displacement Index

Returns:

The Tree Stochastic Displacement Index

probabilityUp

public double probabilityUp()

Retrieve the Probability of the Up Stochastic Shift

Returns:

Probability of the Up Stochastic Shift

probabilityDown

public double probabilityDown()

Retrieve the Probability of the Down Stochastic Shift

Returns:

Probability of the Down Stochastic Shift

probabilityStay

public double probabilityStay()

Retrieve the Probability of the No Shift

Returns:

Probability of the No Shift

xUp

public double xUp()

Retrieve the "Up" Value for X

Returns:

The "Up" Value for X

xDown

public double xDown()

Retrieve the "Down" Value for X

Returns:

The "Down" Value for X

terminalAlpha

public double terminalAlpha()

Retrieve the Final/Terminal Alpha

Returns:

The Final/Terminal Alpha

upNodeMetrics

public TrinomialTreeNodeMetrics upNodeMetrics()

Retrieve the "Up" Node Metrics

Returns:

The "Up" Node Metrics

downNodeMetrics

public TrinomialTreeNodeMetrics downNodeMetrics()

Retrieve the "Down" Node Metrics

Returns:

The "Down" Node Metrics

stayNodeMetrics

public TrinomialTreeNodeMetrics stayNodeMetrics()

Retrieve the "Stay" Node Metrics

Returns:

The "Stay" Node Metrics