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.

Module = Computational Core Module
Library = Numerical Analysis Library
Project = R^d Continuous/Discrete Probability Measures
Package = Jump Diffusion Evolution Evaluator Variants

Author:: Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor Description

DiffusionEvaluator(LocalEvaluator leDrift, LocalEvaluator leVolatility)
DiffusionEvaluator Constructor
Method Summary

Modifier and Type Method Description

LocalEvaluator drift()
Retrieve the Drift Evaluator

LocalEvaluator volatility()
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 leDrift, LocalEvaluator leVolatility) throws java.lang.Exception
  
  DiffusionEvaluator Constructor
  
  Parameters:
  
  leDrift - The Drift Evaluator
  
  leVolatility - The Volatility Evaluator
  
  Throws:
  
  java.lang.Exception - Thrown if the Inputs are Invalid
Method Details
- drift
  
  public LocalEvaluator drift()
  
  Retrieve the Drift Evaluator
  
  Returns:
  
  The Drift Evaluator
- volatility
  
  public LocalEvaluator volatility()
  
  Retrieve the Volatility Evaluator
  
  Returns:
  
  The Volatility Evaluator