Package org.drip.dynamics.process

Ito-Dynamics Based Stochastic Process
Author:
Lakshmi Krishnamurthy
  • Interface Summary
    Interface Description
    RdProbabilityDensityFunction
    RdProbabilityDensityFunction exposes the Rd Probability Density Function Evaluation Equation.
  • Class Summary
    Class Description
    R1ProbabilityDensityFunction
    R1ProbabilityDensityFunction exposes the R1 Probability Density Function Evaluation Equation.
    R1ProbabilityDensityFunctionCIR
    R1ProbabilityDensityFunctionCIR exposes the R1 Probability Density Function Evaluation Equation for an Underlying CIR Process.
    R1StochasticEvolver
    R1StochasticEvolver implements the R1 Stochastic Evolver.
    RdStochasticEvolver
    RdStochasticEvolver implements the Rd Stochastic Evolver.