Package org.drip.function.r1tor1custom
Built-in R1 To R1 Custom Functions
- Author:
- Lakshmi Krishnamurthy
-
Class Summary Class Description AlmgrenEnhancedEulerUpdate AlmgrenEnhancedEulerUpdate is a R1 To R1 Function that is used in Almgren (2009, 2012) to illustrate the Construction of the Enhanced Euler Update Scheme.AndersenPiterbargMeanReverter AndersenPiterbargMeanReverter implements the mean-reverting Univariate Function detailed in:
Andersen and Piterbarg (2010): Interest Rate Modeling (3 Volumes), Atlantic Financial Press.CIRPDF CIRPDF exposes the R1 Univariate Cox-Ingersoll-Ross Probability Density Function.ISDABucketCurvatureTenorScaler ISDABucketCurvatureTenorScaler generates the ISDA SIMM Tenor Scaling Factor for a given Bucket Curvature.LinearRationalShapeControl LinearRationalShapeControl implements the deterministic rational shape control functionality on top of the estimator basis splines inside - [0,...,1) - Globally [x_0,...,x_1):
y = 1 / [1 + lambda * x]
where is the normalized ordinate mapped as x === (x - x_i-1) / (x_i - x_i-1)
Module = Computational Core Module Library = Numerical Analysis Library Project = Rd To Rd Function Analysis Package = Built-in R1 To R1 FunctionsLinearRationalTensionExponential LinearRationalTensionExponential provides the evaluation of the Convolution of the Linear Rational and the Tension Exponential Functions and its derivatives for a specified variate.QuadraticRationalShapeControl QuadraticRationalShapeControl implements the deterministic rational shape control functionality on top of the estimator basis splines inside - [0,...,1) - Globally [x_0,...,x_1):
y = 1 / [1 + lambda * x * (1-x)]
where is the normalized ordinate mapped as
x ==== (x - x_i-1) / (x_i - x_i-1)
Module = Computational Core Module Library = Numerical Analysis Library Project = Rd To Rd Function Analysis Package = Built-in R1 To R1 Custom FunctionsSABRLIBORCapVolatility SABRLIBORCapVolatility implements the Deterministic, Non-local Cap Volatility Scheme detailed in:
Rebonato, R., K.