Package org.drip.measure.bridge

Class BrokenDateInterpolatorSqrtT

java.lang.Object
org.drip.measure.bridge.BrokenDateInterpolatorSqrtT
All Implemented Interfaces:
BrokenDateInterpolator
public class BrokenDateInterpolatorSqrtT
extends java.lang.Object
implements BrokenDateInterpolator
BrokenDateInterpolatorSqrtT Interpolates using Two Stochastic Value Nodes with Linear Scheme. The Scheme is Linear in Square Root of Time. It provides the following Functionality:
  • BrokenDateInterpolatorSqrtT 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
    BrokenDateInterpolatorSqrtT​(double t1, double t2, double v1, double v2)
    BrokenDateInterpolatorSqrtT 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

    • BrokenDateInterpolatorSqrtT

      public BrokenDateInterpolatorSqrtT​(double t1, double t2, double v1, double v2) throws java.lang.Exception
      BrokenDateInterpolatorSqrtT Constructor
      Parameters:
      t1 - T1
      t2 - T2
      v1 - V1
      v2 - 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