Package org.drip.measure.bridge

Broken Date Brownian Bridge Interpolator
Author:
Lakshmi Krishnamurthy
  • Interface Summary
    Interface Description
    BrokenDateInterpolator
    BrokenDateInterpolator exposes the Ability to Interpolate the Realized Path Value between two Broken Dates.
  • Class Summary
    Class Description
    BrokenDateInterpolatorBrownian3P
    BrokenDateInterpolatorBrownian3P Interpolates the Broken Dates using Three Stochastic Value Nodes using the Three Point Brownian Bridge Scheme.
    BrokenDateInterpolatorLinearT
    BrokenDateInterpolatorLinearT Interpolates using Two Stochastic Value Nodes with Linear Scheme.
    BrokenDateInterpolatorSqrtT
    BrokenDateInterpolatorSqrtT Interpolates using Two Stochastic Value Nodes with Linear Scheme.