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.

Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    JumpDiffusionEdgeUnit​(double dblTimeIncrement, double dblDiffusion, double dblJump)
    JumpDiffusionEdgeUnit Constructor

  • Method Summary

    Modifier and Type Method Description
    double diffusion()
    Retrieve the Diffusion Unit Random Variable
    static JumpDiffusionEdgeUnit[] Diffusion​(double[] adblTimeIncrement, double[] adblDiffusionRealization)
    Generate an Array of R^1 Diffusion Realizations
    static JumpDiffusionEdgeUnit GaussianDiffusion​(double dblTimeIncrement)
    Generate a R^1 Gaussian Diffusion Realization
    static JumpDiffusionEdgeUnit GaussianJump​(double dblTimeIncrement)
    Generate a R^1 Gaussian Jump Realization
    double jump()
    Retrieve the Jump Unit Random Variable
    static JumpDiffusionEdgeUnit[] Jump​(double[] adblTimeIncrement, double[] adblJumpRealization)
    Generate an Array of R^1 Jump Realizations
    static JumpDiffusionEdgeUnit[] JumpDiffusion​(double[] adblTimeIncrement, double[] adblDiffusionRealization, double[] adblJumpRealization)
    Generate an Array of R^1 Jump Diffusion Realizations
    double timeIncrement()
    Retrieve the Edge Time Increment
    static JumpDiffusionEdgeUnit UniformDiffusion​(double dblTimeIncrement)
    Generate a R^1 Uniform Diffusion Realization
    static JumpDiffusionEdgeUnit UniformJump​(double dblTimeIncrement)
    Generate a R^1 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 dblTimeIncrement, double dblDiffusion, double dblJump) throws java.lang.Exception
      JumpDiffusionEdgeUnit Constructor
      Parameters:
      dblTimeIncrement - The Edge Time Increment
      dblDiffusion - The Diffusion Random Variable
      dblJump - The Jump Random Variable
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • UniformDiffusion

      public static final JumpDiffusionEdgeUnit UniformDiffusion​(double dblTimeIncrement)
      Generate a R^1 Uniform Diffusion Realization
      Parameters:
      dblTimeIncrement - The Time Increment
      Returns:
      The R^1 Uniform Diffusion Realization

    • GaussianDiffusion

      public static final JumpDiffusionEdgeUnit GaussianDiffusion​(double dblTimeIncrement)
      Generate a R^1 Gaussian Diffusion Realization
      Parameters:
      dblTimeIncrement - The Time Increment
      Returns:
      The R^1 Gaussian Diffusion Realization

    • UniformJump

      public static final JumpDiffusionEdgeUnit UniformJump​(double dblTimeIncrement)
      Generate a R^1 Uniform Jump Realization
      Parameters:
      dblTimeIncrement - The Time Increment
      Returns:
      The R^1 Uniform Jump Realization

    • GaussianJump

      public static final JumpDiffusionEdgeUnit GaussianJump​(double dblTimeIncrement)
      Generate a R^1 Gaussian Jump Realization
      Parameters:
      dblTimeIncrement - The Time Increment
      Returns:
      The R^1 Gaussian Jump Realization

    • Diffusion

      public static final JumpDiffusionEdgeUnit[] Diffusion​(double[] adblTimeIncrement, double[] adblDiffusionRealization)
      Generate an Array of R^1 Diffusion Realizations
      Parameters:
      adblTimeIncrement - The Array of Time Increments
      adblDiffusionRealization - The Array of Diffusion Realizations
      Returns:
      Array of R^1 Diffusion Realizations

    • Jump

      public static final JumpDiffusionEdgeUnit[] Jump​(double[] adblTimeIncrement, double[] adblJumpRealization)
      Generate an Array of R^1 Jump Realizations
      Parameters:
      adblTimeIncrement - The Array of Time Increments
      adblJumpRealization - The Array of Jump Realizations
      Returns:
      Array of R^1 Jump Realizations

    • JumpDiffusion

      public static final JumpDiffusionEdgeUnit[] JumpDiffusion​(double[] adblTimeIncrement, double[] adblDiffusionRealization, double[] adblJumpRealization)
      Generate an Array of R^1 Jump Diffusion Realizations
      Parameters:
      adblTimeIncrement - The Array of Time Increments
      adblDiffusionRealization - The Array of Diffusion Realizations
      adblJumpRealization - The Array of Jump Realizations
      Returns:
      Array of R^1 Jump Diffusion 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