Package org.drip.measure.bridge

Class 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. It provides the following Functionality:
  • BrokenDateInterpolatorBrownian3P Constructor
  • Retrieve T1
  • Retrieve T2
  • Retrieve T3
  • Retrieve V1
  • Retrieve V2
  • Retrieve V3
  • Retrieve the Brownian Bridge Factor
  • Interpolate the Value at T

Module Computational Core Module
Library Numerical Analysis Library
Project Rd 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 bridgeFactor()
    Retrieve the Brownian Bridge Factor
    double interpolate​(double t)
    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

    • bridgeFactor

      public double bridgeFactor()
      Retrieve the Brownian Bridge Factor
      Returns:
      The Brownian Bridge Factor

    • interpolate

      public double interpolate​(double t) throws java.lang.Exception
      Interpolate the Value at T
      Specified by:
      interpolate in interface BrokenDateInterpolator
      Parameters:
      t - T
      Returns:
      The Interpolated Value
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid