Package org.drip.dynamics.ito

Class TimeR1Vertex

java.lang.Object

org.drip.dynamics.ito.TimeR1Vertex

public class TimeR1Vertex
extends java.lang.Object

TimeR1Vertex holds the R¹ "Space" or Property Variate and the Time Coordinate Vertexes. 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
TimeR1Vertex(double t, double x)	TimeR1Vertex Constructor

Method Summary

Modifier and Type	Method	Description
double	t()	Retrieve the Time Instant
double	x()	Retrieve the Variate

Methods inherited from class java.lang.Object

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

Constructor Details

TimeR1Vertex

public TimeR1Vertex(double t,
double x)
             throws java.lang.Exception

TimeR1Vertex Constructor

Parameters:

t - Time Instant

x - Property Variate

Throws:

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

Method Details

t

public double t()

Retrieve the Time Instant

Returns:

The Time Instant

x

public double x()

Retrieve the Variate

Returns:

The Variate