Package org.drip.dynamics.ito

Class R1ToR1Volatility

java.lang.Object
org.drip.dynamics.ito.R1ToR1Volatility
All Implemented Interfaces:
R2ToR1
Direct Known Subclasses:
R1WhiteThermalFrictionalNoise
public abstract class R1ToR1Volatility
extends java.lang.Object
implements R2ToR1
R1ToR1Volatility implements the R1 to R1 Volatility 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 4th 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 2nd Edition Springer-Verlag
  • Risken, H., and F. Till (1996): The Fokker-Planck Equation – Methods of Solution and Applications Springer


Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    R1ToR1Volatility()  

  • Method Summary

    Modifier and Type Method Description
    double evaluate​(double t, double x)
    Evaluate for the given variate Pair
    abstract double volatility​(TimeR1Vertex r1TimeVertex)
    Calculates the Volatility Value

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • R1ToR1Volatility

      public R1ToR1Volatility()

  • Method Details

    • volatility

      public abstract double volatility​(TimeR1Vertex r1TimeVertex) throws java.lang.Exception
      Calculates the Volatility Value
      Parameters:
      r1TimeVertex - The R1 Property Variate/Time Coordinate Vertex
      Returns:
      The Volatility Value
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

    • evaluate

      public double evaluate​(double t, double x) throws java.lang.Exception
      Description copied from interface: R2ToR1
      Evaluate for the given variate Pair
      Specified by:
      evaluate in interface R2ToR1
      Parameters:
      t - X
      x - Y
      Returns:
      Returns the calculated value
      Throws:
      java.lang.Exception - Thrown if evaluation cannot be done