Package org.drip.dynamics.ito

Class RdWienerDriver

java.lang.Object
org.drip.dynamics.ito.RdStochasticDriver
org.drip.dynamics.ito.RdWienerDriver
public class RdWienerDriver
extends RdStochasticDriver
RdWienerDriver exposes the Rd 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 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
    RdWienerDriver​(double timeWidth, Covariance correlation)
    RdWienerDriver Constructor

  • Method Summary

    Modifier and Type Method Description
    Covariance correlation()
    Retrieve the Correlation
    double[] emitSingle()
    Emit a Single Random Rd Instance
    double timeWidthSQRT()
    Retrieve the Square Root of the Time Width

    Methods inherited from class org.drip.dynamics.ito.RdStochasticDriver

    emitSequence

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • RdWienerDriver

      public RdWienerDriver​(double timeWidth, Covariance correlation) throws java.lang.Exception
      RdWienerDriver Constructor
      Parameters:
      timeWidth - The Wiener Time Width
      correlation - The Correlation
      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

    • correlation

      public Covariance correlation()
      Retrieve the Correlation
      Returns:
      The Correlation

    • emitSingle

      public double[] emitSingle()
      Description copied from class: RdStochasticDriver
      Emit a Single Random Rd Instance
      Specified by:
      emitSingle in class RdStochasticDriver
      Returns:
      Single Random Rd Instance