R1WienerDriver

java.lang.Object

org.drip.dynamics.ito.R1StochasticDriver

org.drip.dynamics.ito.R1WienerDriver

public class R1WienerDriver
extends R1StochasticDriver

R1WienerDriver exposes the R¹ Wiener 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

R1WienerDriver(double timeWidth)
R1WienerDriver Constructor
Method Summary

Modifier and Type Method Description

double emitSingle()
Emit a Single Random Instance

double timeWidthSQRT()
Retrieve the Square Root of the Time Width

Methods inherited from class org.drip.dynamics.ito.R1StochasticDriver
emitSequence

Methods inherited from class java.lang.Object
equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Details
- R1WienerDriver
  
  public R1WienerDriver(double timeWidth) throws java.lang.Exception
  
  R1WienerDriver Constructor
  
  Parameters:
  
  timeWidth - Wiener Time Width
  
  Throws:
  
  java.lang.Exception - Thrown if the Inputs are Invalid
Method Details
- timeWidthSQRT
  
  public double timeWidthSQRT()
  
  Retrieve the Square Root of the Time Width
  
  Returns:
  
  Square Root of the Time Width
- emitSingle
  
  public double emitSingle()
  
  Description copied from class: R1StochasticDriver
  
  Emit a Single Random Instance
  
  Specified by:
  
  emitSingle in class R1StochasticDriver
  
  Returns:
  
  Single Random Instance