Package org.drip.measure.realization

Class JumpDiffusionEdgeUnit

java.lang.Object
org.drip.measure.realization.JumpDiffusionEdgeUnit
public class JumpDiffusionEdgeUnit
extends java.lang.Object
JumpDiffusionEdgeUnit holds the Jump Diffusion Rd Unit Edge Realizations. It provides the following Functionality:
  • Generate a JumpDiffusionEdgeUnit Uniform Diffusion Instance
  • Generate a JumpDiffusionEdgeUnit Gaussian Diffusion Realization Instance
  • Generate a JumpDiffusionEdgeUnit Uniform Jump Realization
  • Generate a JumpDiffusionEdgeUnit Gaussian Jump Realization
  • Generate an Array of JumpDiffusionEdgeUnit Realizations #1
  • Generate an Array of JumpDiffusionEdgeUnit Realizations #2
  • Generate an Array of JumpDiffusionEdgeUnit Realizations #3
  • JumpDiffusionEdgeUnit Constructor
  • Retrieve the Edge Time Increment
  • Retrieve the Diffusion Unit Random Variable
  • Retrieve the Jump Unit Random Variable

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
    JumpDiffusionEdgeUnit​(double timeIncrement, double diffusion, double jump)
    JumpDiffusionEdgeUnit Constructor

  • Method Summary

    Modifier and Type Method Description
    double diffusion()
    Retrieve the Diffusion Unit Random Variable
    static JumpDiffusionEdgeUnit[] Diffusion​(double[] timeIncrementArray, double[] diffusionRealizationArray)
    Generate an Array of JumpDiffusionEdgeUnit Realizations #1
    static JumpDiffusionEdgeUnit GaussianDiffusion​(double timeIncrement)
    Generate a JumpDiffusionEdgeUnit Gaussian Diffusion Realization Instance
    static JumpDiffusionEdgeUnit GaussianJump​(double timeIncrement)
    Generate a JumpDiffusionEdgeUnit Gaussian Jump Realization
    double jump()
    Retrieve the Jump Unit Random Variable
    static JumpDiffusionEdgeUnit[] Jump​(double[] timeIncrementArray, double[] jumpRealizationArray)
    Generate an Array of JumpDiffusionEdgeUnit Realizations #2
    static JumpDiffusionEdgeUnit[] JumpDiffusion​(double[] timeIncrementArray, double[] diffusionRealizationArray, double[] jumpRealizationArray)
    Generate an Array of JumpDiffusionEdgeUnit Realizations #3
    double timeIncrement()
    Retrieve the Edge Time Increment
    static JumpDiffusionEdgeUnit UniformDiffusion​(double timeIncrement)
    Generate a JumpDiffusionEdgeUnit Uniform Diffusion Instance
    static JumpDiffusionEdgeUnit UniformJump​(double timeIncrement)
    Generate a JumpDiffusionEdgeUnit Uniform Jump Realization

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • JumpDiffusionEdgeUnit

      public JumpDiffusionEdgeUnit​(double timeIncrement, double diffusion, double jump) throws java.lang.Exception
      JumpDiffusionEdgeUnit Constructor
      Parameters:
      timeIncrement - The Edge Time Increment
      diffusion - The Diffusion Random Variable
      jump - The Jump Random Variable
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • UniformDiffusion

      public static final JumpDiffusionEdgeUnit UniformDiffusion​(double timeIncrement)
      Generate a JumpDiffusionEdgeUnit Uniform Diffusion Instance
      Parameters:
      timeIncrement - The Time Increment
      Returns:
      The JumpDiffusionEdgeUnit Uniform Diffusion Instance

    • GaussianDiffusion

      public static final JumpDiffusionEdgeUnit GaussianDiffusion​(double timeIncrement)
      Generate a JumpDiffusionEdgeUnit Gaussian Diffusion Realization Instance
      Parameters:
      timeIncrement - The Time Increment
      Returns:
      The JumpDiffusionEdgeUnit Gaussian Diffusion Realization Instance

    • UniformJump

      public static final JumpDiffusionEdgeUnit UniformJump​(double timeIncrement)
      Generate a JumpDiffusionEdgeUnit Uniform Jump Realization
      Parameters:
      timeIncrement - The Time Increment
      Returns:
      The JumpDiffusionEdgeUnit Uniform Jump Realization

    • GaussianJump

      public static final JumpDiffusionEdgeUnit GaussianJump​(double timeIncrement)
      Generate a JumpDiffusionEdgeUnit Gaussian Jump Realization
      Parameters:
      timeIncrement - The Time Increment
      Returns:
      The JumpDiffusionEdgeUnit Gaussian Jump Realization

    • Diffusion

      public static final JumpDiffusionEdgeUnit[] Diffusion​(double[] timeIncrementArray, double[] diffusionRealizationArray)
      Generate an Array of JumpDiffusionEdgeUnit Realizations #1
      Parameters:
      timeIncrementArray - The Array of Time Increments
      diffusionRealizationArray - The Array of Diffusion Realizations
      Returns:
      Array of JumpDiffusionEdgeUnit Realizations

    • Jump

      public static final JumpDiffusionEdgeUnit[] Jump​(double[] timeIncrementArray, double[] jumpRealizationArray)
      Generate an Array of JumpDiffusionEdgeUnit Realizations #2
      Parameters:
      timeIncrementArray - The Array of Time Increments
      jumpRealizationArray - The Array of Jump Realizations
      Returns:
      Array of JumpDiffusionEdgeUnit Realizations

    • JumpDiffusion

      public static final JumpDiffusionEdgeUnit[] JumpDiffusion​(double[] timeIncrementArray, double[] diffusionRealizationArray, double[] jumpRealizationArray)
      Generate an Array of JumpDiffusionEdgeUnit Realizations #3
      Parameters:
      timeIncrementArray - The Array of Time Increments
      diffusionRealizationArray - The Array of Diffusion Realizations
      jumpRealizationArray - The Array of Jump Realizations
      Returns:
      Array of JumpDiffusionEdgeUnit Realizations

    • timeIncrement

      public double timeIncrement()
      Retrieve the Edge Time Increment
      Returns:
      The Edge Time Increment

    • diffusion

      public double diffusion()
      Retrieve the Diffusion Unit Random Variable
      Returns:
      The Diffusion Unit Random Variable

    • jump

      public double jump()
      Retrieve the Jump Unit Random Variable
      Returns:
      The Jump Unit Random Variable