Package org.drip.measure.realization

Class StochasticEdgeJump

java.lang.Object
org.drip.measure.realization.StochasticEdgeJump
public class StochasticEdgeJump
extends java.lang.Object
StochasticEdgeJump holds the Edge of the Jump Stochastic Evaluator Outcome. It provides the following Functionality:
  • StochasticEdgeJump Constructor
  • Retrieve the "Jump Occurred in this Level Period" Flag
  • Retrieve the Jump Occurrence Probability Density
  • Retrieve the Jump Occurrence Hazard Integral
  • Retrieve the Jump Target Value

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
    StochasticEdgeJump​(boolean occurred, double hazardRate, double hazardIntegral, double target)
    StochasticEdgeJump Constructor

  • Method Summary

    Modifier and Type Method Description
    double hazardIntegral()
    Retrieve the Jump Occurrence Hazard Integral
    double hazardRate()
    Retrieve the Jump Occurrence Probability Density
    boolean jumpOccurred()
    Retrieve the "Jump Occurred in this Level Period" Flag
    double target()
    Retrieve the Jump Target Value

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • StochasticEdgeJump

      public StochasticEdgeJump​(boolean occurred, double hazardRate, double hazardIntegral, double target) throws java.lang.Exception
      StochasticEdgeJump Constructor
      Parameters:
      occurred - TRUE - The Jump Occurred in this Edge Period
      hazardRate - The Hazard Rate
      hazardIntegral - The Level Hazard Integral
      target - The Jump Target
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • jumpOccurred

      public final boolean jumpOccurred()
      Retrieve the "Jump Occurred in this Level Period" Flag
      Returns:
      The "Jump Occurred in this Level Period" Flag

    • hazardRate

      public final double hazardRate()
      Retrieve the Jump Occurrence Probability Density
      Returns:
      The Jump Occurrence Probability Density

    • hazardIntegral

      public final double hazardIntegral()
      Retrieve the Jump Occurrence Hazard Integral
      Returns:
      The Jump Occurrence Hazard Integral

    • target

      public final double target()
      Retrieve the Jump Target Value
      Returns:
      The Jump Target Value