Package org.drip.measure.dynamics

Class DiffusionEvaluatorLogarithmic

java.lang.Object
org.drip.measure.dynamics.DiffusionEvaluator
org.drip.measure.dynamics.DiffusionEvaluatorLogarithmic
public class DiffusionEvaluatorLogarithmic
extends DiffusionEvaluator
DiffusionEvaluatorLogarithmic evaluates the Drift/Volatility of the Diffusion Random Variable Evolution according to R1 Logarithmic Process. It provides the following Functionality:
  • Generate a Standard Instance of DiffusionEvaluatorLogarithmic
  • Retrieve the Logarithmic Drift Value
  • Retrieve the Logarithmic 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 Logarithmic Drift Value
    static DiffusionEvaluatorLogarithmic Standard​(double drift, double volatility)
    Generate a Standard Instance of DiffusionEvaluatorLogarithmic
    double volatility()
    Retrieve the Logarithmic 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 DiffusionEvaluatorLogarithmic Standard​(double drift, double volatility)
      Generate a Standard Instance of DiffusionEvaluatorLogarithmic
      Parameters:
      drift - The Drift
      volatility - The Volatility
      Returns:
      The Standard Instance of DiffusionEvaluatorLogarithmic

    • drift

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

    • volatility

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