Package org.drip.measure.dynamics

Class DiffusionEvaluator

java.lang.Object

org.drip.measure.dynamics.DiffusionEvaluator

Direct Known Subclasses:

DiffusionEvaluatorLinear, DiffusionEvaluatorLogarithmic, DiffusionEvaluatorMeanReversion, DiffusionEvaluatorOrnsteinUhlenbeck

public class DiffusionEvaluator
extends java.lang.Object

DiffusionEvaluator implements the Drift/Volatility Evaluators for R¹ Random Diffusion Process. It provides the following Functionality:

• DiffusionEvaluator Constructor
• Retrieve the Drift Evaluator
• Retrieve the Volatility Evaluator

Module	Computational Core Module
Library	Numerical Analysis Library
Project	Rd Continuous/Discrete Probability Measures
Package	Jump Diffusion Evolution Evaluator Variants

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
DiffusionEvaluator(LocalEvaluator localDriftEvaluator, LocalEvaluator localVolatilityEvaluator)	DiffusionEvaluator Constructor

Method Summary

Modifier and Type	Method	Description
LocalEvaluator	localDriftEvaluator()	Retrieve the Drift Evaluator
LocalEvaluator	localVolatilityEvaluator()	Retrieve the Volatility Evaluator

Methods inherited from class java.lang.Object

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

Constructor Details

DiffusionEvaluator

public DiffusionEvaluator(LocalEvaluator localDriftEvaluator,
LocalEvaluator localVolatilityEvaluator)
                   throws java.lang.Exception

DiffusionEvaluator Constructor

Parameters:

localDriftEvaluator - The Drift Evaluator

localVolatilityEvaluator - The Volatility Evaluator

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid

Method Details

localDriftEvaluator

public LocalEvaluator localDriftEvaluator()

Retrieve the Drift Evaluator

Returns:

The Drift Evaluator

localVolatilityEvaluator

public LocalEvaluator localVolatilityEvaluator()

Retrieve the Volatility Evaluator

Returns:

The Volatility Evaluator