Package org.drip.measure.process

Class JumpDiffusionEvolver

java.lang.Object

org.drip.measure.process.DiffusionEvolver

org.drip.measure.process.JumpDiffusionEvolver

public class JumpDiffusionEvolver
extends DiffusionEvolver

JumpDiffusionEvolver implements the Functionality that guides the Single Factor R¹ Jump Diffusion Random Process Variable Evolution.

• Module = Computational Core Module
• Library = Numerical Analysis Library
• Project = R^d Continuous/Discrete Probability Measures
• Package = Jump Diffusion Evolver Process Variants

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
JumpDiffusionEvolver(DiffusionEvaluator de, HazardJumpEvaluator heie)	JumpDiffusionEvolver Constructor

Method Summary

Modifier and Type	Method	Description
HazardJumpEvaluator	eventIndicationEvaluator()	Retrieve the Hazard Point Event Indicator Instance
JumpDiffusionEdge	increment(JumpDiffusionVertex jdv, JumpDiffusionEdgeUnit ur, double dblTimeIncrement)	Generate the JumpDiffusionEdge Instance from the specified Jump Diffusion Instance

Methods inherited from class org.drip.measure.process.DiffusionEvolver

evaluator, incrementReverse, incrementSequence, jumpIncrement, jumpWeinerIncrement, vertexSequence, vertexSequence, vertexSequenceReverse, weinerIncrement, weinerJumpIncrement

Methods inherited from class java.lang.Object

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

Constructor Details

JumpDiffusionEvolver

public JumpDiffusionEvolver(DiffusionEvaluator de,
HazardJumpEvaluator heie)
                     throws java.lang.Exception

JumpDiffusionEvolver Constructor

Parameters:

de - The Diffusion Evaluator Instance

heie - The Hazard Point Event Indicator Function Instance

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid

Method Details

eventIndicationEvaluator

public HazardJumpEvaluator eventIndicationEvaluator()

Retrieve the Hazard Point Event Indicator Instance

Returns:

The Hazard Point Event Indicator Instance

increment

public JumpDiffusionEdge increment(JumpDiffusionVertex jdv,
JumpDiffusionEdgeUnit ur,
double dblTimeIncrement)

Description copied from class: DiffusionEvolver

Generate the JumpDiffusionEdge Instance from the specified Jump Diffusion Instance

Overrides:

increment in class DiffusionEvolver

Parameters:

jdv - The JumpDiffusionVertex Instance

ur - The Random Unit Realization

dblTimeIncrement - The Time Increment Evolution Unit

Returns:

The JumpDiffusionEdge Instance