Package org.drip.measure.realization

Class DiffusionEvolver

java.lang.Object

org.drip.measure.realization.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. It provides the following Functionality:

• DiffusionEvolver Constructor
• Retrieve the Diffusion Evaluator
• Generate the JumpDiffusionEdge Instance from the specified Jump Diffusion Instance
• Generate the JumpDiffusionEdge Instance Backwards from the specified Jump Diffusion Instance
• Generate the Array of Adjacent JumpDiffusionEdge from the specified Random Variate Array
• Generate the Array of JumpDiffusionVertex Snaps from the specified Random Variate Array
• Generate the Array of JumpDiffusionVertex Snaps from the specified Random Variate Array
• Generate the Array of JumpDiffusionVertex Snaps Backwards from the specified Random Variate Array
• Generate the Adjacent JumpDiffusionEdge Instance from the specified Random Variate and a Weiner Driver
• Generate the Adjacent JumpDiffusionEdge Instance from the specified Random Variate and a Jump Driver
• Generate the Adjacent JumpDiffusionEdge Instance from the specified Random Variate and Jump/Weiner Drivers
• Generate the Adjacent JumpDiffusionEdge Instance from the specified Random Variate and Weiner/Jump Drivers

Module	Computational Core Module
Library	Numerical Analysis Library
Project	Rd Continuous/Discrete Probability Measures
Package	Stochastic Jump Diffusion Vertex Edge

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
DiffusionEvolver(DiffusionEvaluator evaluator)	DiffusionEvolver Constructor

Method Summary

Modifier and Type	Method	Description
DiffusionEvaluator	evaluator()	Retrieve the Diffusion Evaluator
JumpDiffusionEdge	increment(JumpDiffusionVertex jumpDiffusionVertex, JumpDiffusionEdgeUnit jumpDiffusionEdgeUnit, double timeIncrement)	Generate the JumpDiffusionEdge Instance from the specified Jump Diffusion Instance
JumpDiffusionEdge	incrementReverse(JumpDiffusionVertex jumpDiffusionVertex, JumpDiffusionEdgeUnit jumpDiffusionEdgeUnit, double timeIncrement)	Generate the JumpDiffusionEdge Instance Backwards from the specified Jump Diffusion Instance
JumpDiffusionEdge[]	incrementSequence(JumpDiffusionVertex jumpDiffusionVertex, JumpDiffusionEdgeUnit[] jumpDiffusionEdgeUnitArray, double timeIncrement)	Generate the Array of Adjacent JumpDiffusionEdge from the specified Random Variate Array
JumpDiffusionEdge	jumpIncrement(JumpDiffusionVertex jumpDiffusionVertex, double timeIncrement)	Generate the Adjacent JumpDiffusionEdge Instance from the specified Random Variate and a Jump Driver
JumpDiffusionEdge	jumpWeinerIncrement(JumpDiffusionVertex jumpDiffusionVertex, double timeIncrement)	Generate the Adjacent JumpDiffusionEdge Instance from the specified Random Variate and Jump/Weiner Drivers
JumpDiffusionVertex[]	vertexSequence(JumpDiffusionVertex jumpDiffusionVertex, JumpDiffusionEdgeUnit[] jumpDiffusionEdgeUnitArray, double timeIncrement)	Generate the Array of JumpDiffusionVertex Snaps from the specified Random Variate Array
JumpDiffusionVertex[]	vertexSequence(JumpDiffusionVertex jumpDiffusionVertex, JumpDiffusionEdgeUnit[] jumpDiffusionEdgeUnitArray, double[] timeIncrementArray)	Generate the Array of JumpDiffusionVertex Snaps from the specified Random Variate Array
JumpDiffusionVertex[]	vertexSequenceReverse(JumpDiffusionVertex jumpDiffusionVertex, JumpDiffusionEdgeUnit[] jumpDiffusionEdgeUnitArray, double[] timeIncrementArray)	Generate the Array of JumpDiffusionVertex Snaps Backwards from the specified Random Variate Array
JumpDiffusionEdge	weinerIncrement(JumpDiffusionVertex jumpDiffusionVertex, double timeIncrement)	Generate the Adjacent JumpDiffusionEdge Instance from the specified Random Variate and a Weiner Driver
JumpDiffusionEdge	weinerJumpIncrement(JumpDiffusionVertex jumpDiffusionVertex, double timeIncrement)	Generate the Adjacent JumpDiffusionEdge Instance from the specified Random Variate and Weiner/Jump Drivers

Methods inherited from class java.lang.Object

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

Constructor Details

DiffusionEvolver

public DiffusionEvolver(DiffusionEvaluator evaluator)
                 throws java.lang.Exception

DiffusionEvolver Constructor

Parameters:

evaluator - 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 jumpDiffusionVertex,
JumpDiffusionEdgeUnit jumpDiffusionEdgeUnit,
double timeIncrement)

Generate the JumpDiffusionEdge Instance from the specified Jump Diffusion Instance

Parameters:

jumpDiffusionVertex - The JumpDiffusionVertex Instance

jumpDiffusionEdgeUnit - The Random Unit Realization

timeIncrement - The Time Increment Evolution Unit

Returns:

The JumpDiffusionEdge Instance

incrementReverse

public JumpDiffusionEdge incrementReverse(JumpDiffusionVertex jumpDiffusionVertex,
JumpDiffusionEdgeUnit jumpDiffusionEdgeUnit,
double timeIncrement)

Generate the JumpDiffusionEdge Instance Backwards from the specified Jump Diffusion Instance

Parameters:

jumpDiffusionVertex - The JumpDiffusionVertex Instance

jumpDiffusionEdgeUnit - The Random Unit Realization

timeIncrement - The Time Increment Evolution Unit

Returns:

The Reverse JumpDiffusionEdge Instance

incrementSequence

public JumpDiffusionEdge[] incrementSequence(JumpDiffusionVertex jumpDiffusionVertex,
JumpDiffusionEdgeUnit[] jumpDiffusionEdgeUnitArray,
double timeIncrement)

Generate the Array of Adjacent JumpDiffusionEdge from the specified Random Variate Array

Parameters:

jumpDiffusionVertex - The JumpDiffusionVertex Instance

jumpDiffusionEdgeUnitArray - Array of Random Unit Realizations

timeIncrement - The Time Increment Evolution Unit

Returns:

The Array of Adjacent JumpDiffusionEdge Instances

vertexSequence

public JumpDiffusionVertex[] vertexSequence(JumpDiffusionVertex jumpDiffusionVertex,
JumpDiffusionEdgeUnit[] jumpDiffusionEdgeUnitArray,
double timeIncrement)

Generate the Array of JumpDiffusionVertex Snaps from the specified Random Variate Array

Parameters:

jumpDiffusionVertex - The JumpDiffusionVertex Instance

jumpDiffusionEdgeUnitArray - Array of Random Unit Realizations

timeIncrement - The Time Increment Evolution Unit

Returns:

The Array of JumpDiffusionVertex Snaps

vertexSequence

public JumpDiffusionVertex[] vertexSequence(JumpDiffusionVertex jumpDiffusionVertex,
JumpDiffusionEdgeUnit[] jumpDiffusionEdgeUnitArray,
double[] timeIncrementArray)

Generate the Array of JumpDiffusionVertex Snaps from the specified Random Variate Array

Parameters:

jumpDiffusionVertex - The JumpDiffusionVertex Instance

jumpDiffusionEdgeUnitArray - Array of Random Unit Realizations

timeIncrementArray - The Time Increment Evolution Unit

Returns:

The Array of JumpDiffusionVertex Snaps

vertexSequenceReverse

public JumpDiffusionVertex[] vertexSequenceReverse(JumpDiffusionVertex jumpDiffusionVertex,
JumpDiffusionEdgeUnit[] jumpDiffusionEdgeUnitArray,
double[] timeIncrementArray)

Generate the Array of JumpDiffusionVertex Snaps Backwards from the specified Random Variate Array

Parameters:

jumpDiffusionVertex - The JumpDiffusionVertex Instance

jumpDiffusionEdgeUnitArray - Array of Random Unit Realizations

timeIncrementArray - The Time Increment Evolution Unit

Returns:

The Array of Reverse JumpDiffusionVertex Snaps

weinerIncrement

public JumpDiffusionEdge weinerIncrement(JumpDiffusionVertex jumpDiffusionVertex,
double timeIncrement)

Generate the Adjacent JumpDiffusionEdge Instance from the specified Random Variate and a Weiner Driver

Parameters:

jumpDiffusionVertex - The JumpDiffusionVertex Instance

timeIncrement - The Time Increment Evolution Unit

Returns:

The Adjacent JumpDiffusionEdge Instance

jumpIncrement

public JumpDiffusionEdge jumpIncrement(JumpDiffusionVertex jumpDiffusionVertex,
double timeIncrement)

Generate the Adjacent JumpDiffusionEdge Instance from the specified Random Variate and a Jump Driver

Parameters:

jumpDiffusionVertex - The JumpDiffusionVertex Instance

timeIncrement - The Time Increment Evolution Unit

Returns:

The Adjacent JumpDiffusionEdge Instance

jumpWeinerIncrement

public JumpDiffusionEdge jumpWeinerIncrement(JumpDiffusionVertex jumpDiffusionVertex,
double timeIncrement)

Generate the Adjacent JumpDiffusionEdge Instance from the specified Random Variate and Jump/Weiner Drivers

Parameters:

jumpDiffusionVertex - The JumpDiffusionVertex Instance

timeIncrement - The Time Increment Evolution Unit

Returns:

The Adjacent JumpDiffusionEdge Instance

weinerJumpIncrement

public JumpDiffusionEdge weinerJumpIncrement(JumpDiffusionVertex jumpDiffusionVertex,
double timeIncrement)

Generate the Adjacent JumpDiffusionEdge Instance from the specified Random Variate and Weiner/Jump Drivers

Parameters:

jumpDiffusionVertex - The JumpDiffusionVertex Instance

timeIncrement - The Time Increment Evolution Unit

Returns:

The Adjacent JumpDiffusionEdge Instance