BrokenDateInterpolatorBrownian3P

java.lang.Object

org.drip.measure.bridge.BrokenDateInterpolatorBrownian3P

All Implemented Interfaces:: BrokenDateInterpolator

public class BrokenDateInterpolatorBrownian3P
extends java.lang.Object
implements BrokenDateInterpolator

BrokenDateInterpolatorBrownian3P Interpolates the Broken Dates using Three Stochastic Value Nodes using the Three Point Brownian Bridge Scheme.

Module = Computational Core Module
Library = Numerical Analysis Library
Project = R^d Continuous/Discrete Probability Measures
Package = Broken Date Brownian Bridge Interpolator

Author:: Lakshmi Krishnamurthy

Constructor Summary

Constructors
Constructor	Description
`BrokenDateInterpolatorBrownian3P(double dblT1, double dblT2, double dblT3, double dblV1, double dblV2, double dblV3)`	BrokenDateInterpolatorBrownian3P Constructor

Method Summary

Modifier and Type	Method	Description
`double`	`brownianBridgeFactor()`	Retrieve the Brownian Bridge Factor
`double`	`interpolate(double dblT)`	Interpolate the Value at T
`double`	`t1()`	Retrieve T1
`double`	`t2()`	Retrieve T2
`double`	`t3()`	Retrieve T3
`double`	`v1()`	Retrieve V1
`double`	`v2()`	Retrieve V2
`double`	`v3()`	Retrieve V3

Methods inherited from class java.lang.Object

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

Constructor Details
- BrokenDateInterpolatorBrownian3P
  
  public BrokenDateInterpolatorBrownian3P(double dblT1, double dblT2, double dblT3, double dblV1, double dblV2, double dblV3) throws java.lang.Exception
  
  BrokenDateInterpolatorBrownian3P Constructor
  
  Parameters:
  
  dblT1 - T1
  
  dblT2 - T2
  
  dblT3 - T3
  
  dblV1 - V1
  
  dblV2 - V2
  
  dblV3 - V3
  
  Throws:
  
  java.lang.Exception - Thrown if the Inputs are Invalid
Method Details
- t1
  
  public double t1()
  
  Retrieve T1
  
  Returns:
  
  T1
- t2
  
  public double t2()
  
  Retrieve T2
  
  Returns:
  
  T2
- t3
  
  public double t3()
  
  Retrieve T3
  
  Returns:
  
  T3
- v1
  
  public double v1()
  
  Retrieve V1
  
  Returns:
  
  V1
- v2
  
  public double v2()
  
  Retrieve V2
  
  Returns:
  
  V2
- v3
  
  public double v3()
  
  Retrieve V3
  
  Returns:
  
  V3
- brownianBridgeFactor
  
  public double brownianBridgeFactor()
  
  Retrieve the Brownian Bridge Factor
  
  Returns:
  
  The Brownian Bridge Factor
- interpolate
  
  public double interpolate(double dblT) throws java.lang.Exception
  
  Description copied from interface: BrokenDateInterpolator
  
  Interpolate the Value at T
  
  Specified by:
  
  interpolate in interface BrokenDateInterpolator
  
  Parameters:
  
  dblT - T
  
  Returns:
  
  The Interpolated Value
  
  Throws:
  
  java.lang.Exception - Thrown if the Inputs are Invalid