DiffusionTensor

java.lang.Object

org.drip.dynamics.ito.DiffusionTensor

public class DiffusionTensor
extends java.lang.Object

DiffusionTensor Diffusion Tensor generates Cross-Product from the Multivariate Volatility Functions. The References are:

Doob, J. L. (1942): The Brownian Movement and Stochastic Equations Annals of Mathematics 43 (2) 351-369
Gardiner, C. W. (2009): Stochastic Methods: A Handbook for the Natural and Social Sciences 4^th Edition Springer-Verlag
Kadanoff, L. P. (2000): Statistical Physics: Statics, Dynamics, and Re-normalization World Scientific
Karatzas, I., and S. E. Shreve (1991): Brownian Motion and Stochastic Calculus 2^nd Edition Springer-Verlag
Risken, H., and F. Till (1996): The Fokker-Planck Equation – Methods of Solution and Applications Springer

Module = Product Core Module
Library = Fixed Income Analytics
Project = HJM, Hull White, LMM, and SABR Dynamic Evolution Models
Package = Ito Stochastic Process Dynamics Foundation

Author:: Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor Description

DiffusionTensor(RdToR1Volatility[][] volatilityFunctionGrid)
DiffusionTensor Constructor

Method Summary

Modifier and Type	Method	Description
`double`	`diffusionCoefficient(TimeRdVertex timeRdVertex, int variateIndexI, int variateIndexJ)`	Estimate the Diffusion Coefficient
`int`	`dimension()`	Retrieve the Dimension Count
`int`	`factorCount()`	Retrieve the Factor Count
`RdToR1Volatility[][]`	`volatilityFunctionGrid()`	Retrieve the Square Volatility Grid

Methods inherited from class java.lang.Object

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

Constructor Details
- DiffusionTensor
  
  public DiffusionTensor(RdToR1Volatility[][] volatilityFunctionGrid) throws java.lang.Exception
  
  DiffusionTensor Constructor
  
  Parameters:
  
  volatilityFunctionGrid - Square Volatility Grid
  
  Throws:
  
  java.lang.Exception - Thrown if the Inputs are Invalid
Method Details
- volatilityFunctionGrid
  
  public RdToR1Volatility[][] volatilityFunctionGrid()
  
  Retrieve the Square Volatility Grid
  
  Returns:
  
  The Square Volatility Grid
- dimension
  
  public int dimension()
  
  Retrieve the Dimension Count
  
  Returns:
  
  The Dimension Count
- factorCount
  
  public int factorCount()
  
  Retrieve the Factor Count
  
  Returns:
  
  The Factor Count
- diffusionCoefficient
  
  public double diffusionCoefficient(TimeRdVertex timeRdVertex, int variateIndexI, int variateIndexJ) throws java.lang.Exception
  
  Estimate the Diffusion Coefficient
  
  Parameters:
  
  timeRdVertex - R^d Property Variate/Time Coordinate Vertex
  
  variateIndexI - Variate Index I
  
  variateIndexJ - Variate Index J
  
  Returns:
  
  The Diffusion Coefficient
  
  Throws:
  
  java.lang.Exception - Thrown if the Inputs are Invalid