Package org.drip.measure.dynamics

Class DiffusionEvaluatorLinear

java.lang.Object
org.drip.measure.dynamics.DiffusionEvaluator
org.drip.measure.dynamics.DiffusionEvaluatorLinear
public class DiffusionEvaluatorLinear
extends DiffusionEvaluator
DiffusionEvaluatorLinear implements the Linear Drift and Volatility Evaluators for R1 Random Diffusion Process. It provides the following Functionality:
  • Generate a Standard Instance of DiffusionEvaluatorLinear
  • Retrieve the Linear Drift Value
  • Retrieve the Linear Volatility Value

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

Author:
Lakshmi Krishnamurthy

  • Method Summary

    Modifier and Type Method Description
    double drift()
    Retrieve the Linear Drift Value
    static DiffusionEvaluatorLinear Standard​(double drift, double volatility)
    Generate a Standard Instance of DiffusionEvaluatorLinear
    double volatility()
    Retrieve the Linear Volatility Value

    Methods inherited from class org.drip.measure.dynamics.DiffusionEvaluator

    localDriftEvaluator, localVolatilityEvaluator

    Methods inherited from class java.lang.Object

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

  • Method Details

    • Standard

      public static final DiffusionEvaluatorLinear Standard​(double drift, double volatility)
      Generate a Standard Instance of DiffusionEvaluatorLinear
      Parameters:
      drift - The Drift
      volatility - The Volatility
      Returns:
      The Standard Instance of DiffusionEvaluatorLinear

    • drift

      public double drift()
      Retrieve the Linear Drift Value
      Returns:
      The Linear Drift Value

    • volatility

      public double volatility()
      Retrieve the Linear Volatility Value
      Returns:
      The Linear Volatility Value