Package org.drip.dynamics.ito

Interface RdToR1Drift

public interface RdToR1Drift

RdToR1Drift implements the R^d to R¹ Drift 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

Method Summary

Modifier and Type	Method	Description
double	drift(TimeRdVertex timeRdVertex)	Calculates the Drift Value

Method Details

drift

double drift(TimeRdVertex timeRdVertex)
      throws java.lang.Exception

Calculates the Drift Value

Parameters:

timeRdVertex - The R^d Property Variate/Time Coordinate Vertex

Returns:

The Drift Value

Throws:

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