Package org.drip.measure.dynamics

Jump Diffusion Evolution Evaluator Variants

Author:

Lakshmi Krishnamurthy

Interface Summary

Interface	Description
LocalEvaluator	LocalEvaluator exposes the Random Evolution's Local/Deterministic Evaluators.
OrnsteinUhlenbeck	OrnsteinUhlenbeck Interface exposes the Reference Parameter Scales the guide the Random Variable Evolution according to Ornstein-Uhlenbeck Mean Reverting Process.

Class Summary

Class	Description
DiffusionEvaluator	DiffusionEvaluator implements the Drift/Volatility Evaluators for R1 Random Diffusion Process.
DiffusionEvaluatorLinear	DiffusionEvaluatorLinear implements the Linear Drift and Volatility Evaluators for R1 Random Diffusion Process.
DiffusionEvaluatorLogarithmic	DiffusionEvaluatorLogarithmic evaluates the Drift/Volatility of the Diffusion Random Variable Evolution according to R1 Logarithmic Process.
DiffusionEvaluatorMeanReversion	DiffusionEvaluatorMeanReversion evaluates the Drift/Volatility of the Diffusion Random Variable Evolution according to R1 Mean Reversion Process.
DiffusionEvaluatorOrnsteinUhlenbeck	DiffusionEvaluatorOrnsteinUhlenbeck evaluates the Drift/Volatility of the Diffusion Random Variable Evolution according to R1 Ornstein Uhlenbeck Process.
HazardJumpEvaluator	HazardJumpEvaluator implements the Hazard Jump Process Point Event Indication Evaluator that guides the Single Factor Jump-Termination Random Process Variable Evolution.
OrnsteinUhlenbeckPair	OrnsteinUhlenbeckPair guides the Random Variable Evolution according to 2D Ornstein-Uhlenbeck Mean Reverting Process.
SingleJumpEvaluator	SingleJumpEvaluator implements the Single Point Jump Event Indication Evaluator that guides the One Factor Jump Random Process Variable Evolution.