Package org.drip.measure.process

Class DiffusionEvolver

java.lang.Object
org.drip.measure.process.DiffusionEvolver
Direct Known Subclasses:
JumpDiffusionEvolver
public class DiffusionEvolver
extends java.lang.Object
DiffusionEvolver implements the Functionality that guides the Single Factor R1 Diffusion Random Process Variable Evolution.

Author:
Lakshmi Krishnamurthy

  • Constructor Details

    • DiffusionEvolver

      public DiffusionEvolver​(DiffusionEvaluator de) throws java.lang.Exception
      DiffusionEvolver Constructor
      Parameters:
      de - The Diffusion Evaluator Instance
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • evaluator

      public DiffusionEvaluator evaluator()
      Retrieve the Diffusion Evaluator
      Returns:
      The Diffusion Evaluator

    • increment

      public JumpDiffusionEdge increment​(JumpDiffusionVertex jdv, JumpDiffusionEdgeUnit jdeu, double dblTimeIncrement)
      Generate the JumpDiffusionEdge Instance from the specified Jump Diffusion Instance
      Parameters:
      jdv - The JumpDiffusionVertex Instance
      jdeu - The Random Unit Realization
      dblTimeIncrement - The Time Increment Evolution Unit
      Returns:
      The JumpDiffusionEdge Instance

    • incrementReverse

      public JumpDiffusionEdge incrementReverse​(JumpDiffusionVertex jdv, JumpDiffusionEdgeUnit jdeu, double dblTimeIncrement)
      Generate the JumpDiffusionEdge Instance Backwards from the specified Jump Diffusion Instance
      Parameters:
      jdv - The JumpDiffusionVertex Instance
      jdeu - The Random Unit Realization
      dblTimeIncrement - The Time Increment Evolution Unit
      Returns:
      The Reverse JumpDiffusionEdge Instance

    • incrementSequence

      public JumpDiffusionEdge[] incrementSequence​(JumpDiffusionVertex jdv, JumpDiffusionEdgeUnit[] aJDEU, double dblTimeIncrement)
      Generate the Array of Adjacent JumpDiffusionEdge from the specified Random Variate Array
      Parameters:
      jdv - The JumpDiffusionVertex Instance
      aJDEU - Array of Random Unit Realizations
      dblTimeIncrement - The Time Increment Evolution Unit
      Returns:
      The Array of Adjacent JumpDiffusionEdge

    • vertexSequence

      public JumpDiffusionVertex[] vertexSequence​(JumpDiffusionVertex jdv, JumpDiffusionEdgeUnit[] aJDEU, double dblTimeIncrement)
      Generate the Array of JumpDiffusionVertex Snaps from the specified Random Variate Array
      Parameters:
      jdv - The JumpDiffusionVertex Instance
      aJDEU - Array of Random Unit Realizations
      dblTimeIncrement - The Time Increment Evolution Unit
      Returns:
      The Array of JumpDiffusionVertex Snaps

    • vertexSequence

      public JumpDiffusionVertex[] vertexSequence​(JumpDiffusionVertex jdv, JumpDiffusionEdgeUnit[] aJDEU, double[] adblTimeIncrement)
      Generate the Array of JumpDiffusionVertex Snaps from the specified Random Variate Array
      Parameters:
      jdv - The JumpDiffusionVertex Instance
      aJDEU - Array of Random Unit Realizations
      adblTimeIncrement - Array of Time Increment Evolution Units
      Returns:
      The Array of JumpDiffusionVertex Snaps

    • vertexSequenceReverse

      public JumpDiffusionVertex[] vertexSequenceReverse​(JumpDiffusionVertex jdv, JumpDiffusionEdgeUnit[] aJDEU, double[] adblTimeIncrement)
      Generate the Array of JumpDiffusionVertex Snaps Backwards from the specified Random Variate Array
      Parameters:
      jdv - The JumpDiffusionVertex Instance
      aJDEU - Array of Random Unit Realizations
      adblTimeIncrement - Array of Time Increment Evolution Units
      Returns:
      The Array of Reverse JumpDiffusionVertex Snaps

    • weinerIncrement

      public JumpDiffusionEdge weinerIncrement​(JumpDiffusionVertex jdv, double dblTimeIncrement)
      Generate the Adjacent JumpDiffusionEdge Instance from the specified Random Variate and a Weiner Driver
      Parameters:
      jdv - The JumpDiffusionVertex Instance
      dblTimeIncrement - The Time Increment Evolution Unit
      Returns:
      The Adjacent JumpDiffusionEdge Instance

    • jumpIncrement

      public JumpDiffusionEdge jumpIncrement​(JumpDiffusionVertex jdv, double dblTimeIncrement)
      Generate the Adjacent JumpDiffusionEdge Instance from the specified Random Variate and a Jump Driver
      Parameters:
      jdv - The JumpDiffusionVertex Instance
      dblTimeIncrement - The Time Increment Evolution Unit
      Returns:
      The Adjacent JumpDiffusionEdge Instance

    • jumpWeinerIncrement

      public JumpDiffusionEdge jumpWeinerIncrement​(JumpDiffusionVertex jdv, double dblTimeIncrement)
      Generate the Adjacent JumpDiffusionEdge Instance from the specified Random Variate and Jump/Weiner Drivers
      Parameters:
      jdv - The JumpDiffusionVertex Instance
      dblTimeIncrement - The Time Increment Evolution Unit
      Returns:
      The Adjacent JumpDiffusionEdge Instance

    • weinerJumpIncrement

      public JumpDiffusionEdge weinerJumpIncrement​(JumpDiffusionVertex jdv, double dblTimeIncrement)
      Generate the Adjacent JumpDiffusionEdge Instance from the specified Random Variate and Weiner/Jump Drivers
      Parameters:
      jdv - The JumpDiffusionVertex Instance
      dblTimeIncrement - The Time Increment Evolution Unit
      Returns:
      The Adjacent JumpDiffusionEdge Instance