Package org.drip.dynamics.process

Class RdStochasticEvolver

java.lang.Object

org.drip.dynamics.process.RdStochasticEvolver

public class RdStochasticEvolver
extends java.lang.Object

RdStochasticEvolver implements the R^d Stochastic Evolver. 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-Dynamics Based Stochastic Process

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
RdStochasticEvolver(RdToR1Drift[] driftFunctionArray, RdToR1Volatility[][] volatilityFunctionGrid, RdStochasticDriver stochasticDriver)	RdStochasticEvolver Constructor

Method Summary

Modifier and Type	Method	Description
RdToR1Drift[]	driftFunctionArray()	Retrieve the Drift Function Array
TimeRdVertex	evolve(TimeRdVertex currentVertex, double timeIncrement)	Generate the Next Vertex in the Iteration
RdFokkerPlanck	fokkerPlanckGenerator()	Construct the Fokker Planck PDF Generator corresponding to Rd Stochastic Evolver
RdStochasticDriver	stochasticDriver()	Retrieve the Stochastic Driver
RdToR1Volatility[][]	volatilityFunctionGrid()	Retrieve the Volatility Function Grid

Methods inherited from class java.lang.Object

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

Constructor Details

RdStochasticEvolver

public RdStochasticEvolver(RdToR1Drift[] driftFunctionArray,
RdToR1Volatility[][] volatilityFunctionGrid,
RdStochasticDriver stochasticDriver)
                    throws java.lang.Exception

RdStochasticEvolver Constructor

Parameters:

driftFunctionArray - The Drift Function Array

volatilityFunctionGrid - The Volatility Function Grid

stochasticDriver - The Stochastic Driver

Throws:

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

Method Details

driftFunctionArray

public RdToR1Drift[] driftFunctionArray()

Retrieve the Drift Function Array

Returns:

The Drift Function Array

volatilityFunctionGrid

public RdToR1Volatility[][] volatilityFunctionGrid()

Retrieve the Volatility Function Grid

Returns:

The Volatility Function Grid

stochasticDriver

public RdStochasticDriver stochasticDriver()

Retrieve the Stochastic Driver

Returns:

The Stochastic Driver

evolve

public TimeRdVertex evolve(TimeRdVertex currentVertex,
double timeIncrement)

Generate the Next Vertex in the Iteration

Parameters:

currentVertex - The Current Vertex

timeIncrement - The Time Increment

Returns:

The Next Vertex

fokkerPlanckGenerator

public RdFokkerPlanck fokkerPlanckGenerator()

Construct the Fokker Planck PDF Generator corresponding to R^d Stochastic Evolver

Returns:

The Fokker Planck PDF Generator corresponding to R^d Stochastic Evolver