Package org.drip.dynamics.process

Interface RdProbabilityDensityFunction

public interface RdProbabilityDensityFunction

RdProbabilityDensityFunction exposes the R^d Probability Density Function Evaluation Equation. The References are:

• Bogoliubov, N. N., and D. P. Sankevich (1994): N. N. Bogoliubov and Statistical Mechanics Russian Mathematical Surveys 49 (5) 19-49
• Holubec, V., K. Kroy, and S. Steffenoni (2019): Physically Consistent Numerical Solver for Time-dependent Fokker-Planck Equations Physical Review E 99 (4) 032117
• Kadanoff, L. P. (2000): Statistical Physics: Statics, Dynamics, and Re-normalization World Scientific
• Ottinger, H. C. (1996): Stochastic Processes in Polymeric Fluids Springer-Verlag Berlin-Heidelberg
• Wikipedia (2019): Fokker-Planck Equation https://en.wikipedia.org/wiki/Fokker%E2%80%93Planck_equation

• Module = Product Core Module
• Library = Fixed Income Analytics
• Project = HJM, Hull White, LMM, and SABR Dynamic Evolution Models
• Package = Ito-Dynamics Based Stochastic Process

Author:

Lakshmi Krishnamurthy

Method Summary

Modifier and Type	Method	Description
double	density(TimeRdVertex timeRdVertex)	Calculates the PDF Density Value

Method Details

density

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

Calculates the PDF Density Value

Parameters:

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

Returns:

The PDF Density Value

Throws:

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