Package org.drip.measure.joint

Class Evolver

java.lang.Object
org.drip.measure.joint.Evolver
public abstract class Evolver
extends java.lang.Object
Evolver exposes the Functionality that guides the Multi-Factor Random Process Variable Evolution.

Author:
Lakshmi Krishnamurthy

  • Method Summary

    Modifier and Type Method Description
    double[][] correlation()
    Retrieve the Correlation Matrix
    LocalEvaluator[] driftLDEV()
    Retrieve the Array of the LDEV Drift Functions of the Individual Marginal Processes
    abstract Edge increment​(Vertex js, double[] adblRandomVariate, double[] adblRandomUnitRealization, double dblTimeIncrement)
    Generate the Adjacent Increment from the Array of the specified Random Variate
    abstract Edge[][] incrementSequence​(Vertex[] aJS, double[][] aadblRandomVariate, double[][] aadblRandomUnitRealization, double dblTimeIncrement)
    Generate the Array of the Adjacent Increments from the Array of the specified Random Variate
    LocalEvaluator[] volatilityLDEV()
    Retrieve the Array of the LDEV Volatility Function of the Individual Marginal Processes

    Methods inherited from class java.lang.Object

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

  • Method Details

    • driftLDEV

      public LocalEvaluator[] driftLDEV()
      Retrieve the Array of the LDEV Drift Functions of the Individual Marginal Processes
      Returns:
      The Array of the LDEV Drift Function of the Individual Marginal Processes

    • volatilityLDEV

      public LocalEvaluator[] volatilityLDEV()
      Retrieve the Array of the LDEV Volatility Function of the Individual Marginal Processes
      Returns:
      The Array of the LDEV Volatility Function of the Individual Marginal Processes

    • correlation

      public double[][] correlation()
      Retrieve the Correlation Matrix
      Returns:
      The Correlation Matrix

    • increment

      public abstract Edge increment​(Vertex js, double[] adblRandomVariate, double[] adblRandomUnitRealization, double dblTimeIncrement)
      Generate the Adjacent Increment from the Array of the specified Random Variate
      Parameters:
      js - The Joint Snap
      adblRandomVariate - The Array of Random Variates
      adblRandomUnitRealization - The Array of Random Stochastic Realization Variate Units
      dblTimeIncrement - The Time Increment Evolution Unit
      Returns:
      The Joint Level Realization

    • incrementSequence

      public abstract Edge[][] incrementSequence​(Vertex[] aJS, double[][] aadblRandomVariate, double[][] aadblRandomUnitRealization, double dblTimeIncrement)
      Generate the Array of the Adjacent Increments from the Array of the specified Random Variate
      Parameters:
      aJS - Array of Joint Snap Instances
      aadblRandomVariate - Array of R^d Variates
      aadblRandomUnitRealization - Array of R^d Stochastic Realization Units
      dblTimeIncrement - The Time Increment Evolution Unit
      Returns:
      Array of the Joint Level Realization