Package org.drip.measure.process

Jump Diffusion Evolver Process Variants
Author:
Lakshmi Krishnamurthy
  • Interface Summary
    Interface Description
    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
    DiffusionEvolver
    DiffusionEvolver implements the Functionality that guides the Single Factor R1 Diffusion Random Process Variable Evolution.
    JumpDiffusionEvolver
    JumpDiffusionEvolver implements the Functionality that guides the Single Factor R1 Jump Diffusion Random Process Variable Evolution.
    OrnsteinUhlenbeckPair
    OrnsteinUhlenbeckPair guides the Random Variable Evolution according to 2D Ornstein-Uhlenbeck Mean Reverting Process.