Package org.drip.measure.bridge

Class BrokenDateInterpolatorLinearT

java.lang.Object
org.drip.measure.bridge.BrokenDateInterpolatorLinearT
All Implemented Interfaces:
BrokenDateInterpolator
public class BrokenDateInterpolatorLinearT
extends java.lang.Object
implements BrokenDateInterpolator
BrokenDateInterpolatorLinearT Interpolates using Two Stochastic Value Nodes with Linear Scheme. The Scheme is Linear in Time. It provides the following Functionality:
  • BrokenDateInterpolatorLinearT Constructor
  • Retrieve T1
  • Retrieve T2
  • Retrieve V1
  • Retrieve V2
  • 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
    BrokenDateInterpolatorLinearT​(double dblT1, double dblT2, double dblV1, double dblV2)
    BrokenDateInterpolatorLinearT Constructor

  • Method Summary

    Modifier and Type Method Description
    double interpolate​(double t)
    Interpolate the Value at T
    double t1()
    Retrieve T1
    double t2()
    Retrieve T2
    double v1()
    Retrieve V1
    double v2()
    Retrieve V2

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • BrokenDateInterpolatorLinearT

      public BrokenDateInterpolatorLinearT​(double dblT1, double dblT2, double dblV1, double dblV2) throws java.lang.Exception
      BrokenDateInterpolatorLinearT Constructor
      Parameters:
      dblT1 - T1
      dblT2 - T2
      dblV1 - V1
      dblV2 - V2
      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

    • v1

      public double v1()
      Retrieve V1
      Returns:
      V1

    • v2

      public double v2()
      Retrieve V2
      Returns:
      V2

    • 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