Package org.drip.dynamics.ito

Class R1StochasticDriver

java.lang.Object

org.drip.dynamics.ito.R1StochasticDriver

Direct Known Subclasses:

R1WienerDriver

public abstract class R1StochasticDriver
extends java.lang.Object

R1StochasticDriver exposes the R¹ Random Background Emission Function. 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
R1StochasticDriver()

Method Summary

Modifier and Type	Method	Description
double[]	emitSequence(int sequenceSize)	Emit the Random Sequence Array
abstract double	emitSingle()	Emit a Single Random Instance

Methods inherited from class java.lang.Object

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

Constructor Details

R1StochasticDriver

public R1StochasticDriver()

Method Details

emitSingle

public abstract double emitSingle()

Emit a Single Random Instance

Returns:

Single Random Instance

emitSequence

public double[] emitSequence(int sequenceSize)

Emit the Random Sequence Array

Parameters:

sequenceSize - The Sequence Size

Returns:

The Random Sequence Array