Package org.drip.measure.stochastic

Interface R1R1ToR1

public interface R1R1ToR1
R1R1ToR1 interface exposes the stubs for the evaluation of the objective function and its derivatives for a R1 Deterministic + R1 Random To R1 Stochastic Function with one Random Component.

Author:
Lakshmi Krishnamurthy

  • Method Summary

    Modifier and Type Method Description
    double derivativeExpectation​(double dblVariate, int iOrder)
    Evaluate the Derivative Expectation at the given variate
    double derivativeRealization​(double dblVariate, int iOrder)
    Evaluate the Derivative for a Single Realization for the given variate
    double evaluateExpectation​(double dblVariate)
    Evaluate the Expectation for the given variate
    double evaluateRealization​(double dblVariate)
    Evaluate a Single Realization for the given variate
    double integralExpectation​(double dblStart, double dblEnd)
    Evaluate the Expected Path-wise Integral between the Vriates
    double integralRealization​(double dblStart, double dblEnd)
    Evaluate a Path-wise Integral between the Vriates

  • Method Details

    • evaluateRealization

      double evaluateRealization​(double dblVariate) throws java.lang.Exception
      Evaluate a Single Realization for the given variate
      Parameters:
      dblVariate - Variate
      Returns:
      Return the Single Realization for the given variate
      Throws:
      java.lang.Exception - Thrown if evaluation cannot be done

    • evaluateExpectation

      double evaluateExpectation​(double dblVariate) throws java.lang.Exception
      Evaluate the Expectation for the given variate
      Parameters:
      dblVariate - Variate
      Returns:
      Return the Expectation for the given variate
      Throws:
      java.lang.Exception - Thrown if evaluation cannot be done

    • derivativeRealization

      double derivativeRealization​(double dblVariate, int iOrder) throws java.lang.Exception
      Evaluate the Derivative for a Single Realization for the given variate
      Parameters:
      dblVariate - Variate at which the derivative is to be calculated
      iOrder - Order of the derivative to be computed
      Returns:
      Return the Derivative for a Single Realization for the given variate
      Throws:
      java.lang.Exception - Thrown if evaluation cannot be done

    • derivativeExpectation

      double derivativeExpectation​(double dblVariate, int iOrder) throws java.lang.Exception
      Evaluate the Derivative Expectation at the given variate
      Parameters:
      dblVariate - Variate at which the derivative is to be calculated
      iOrder - Order of the derivative to be computed
      Returns:
      Return the Derivative Expectation at the given variate
      Throws:
      java.lang.Exception - Thrown if evaluation cannot be done

    • integralRealization

      double integralRealization​(double dblStart, double dblEnd) throws java.lang.Exception
      Evaluate a Path-wise Integral between the Vriates
      Parameters:
      dblStart - Variate Start
      dblEnd - Variate End
      Returns:
      The Path-wise Integral between the Variates
      Throws:
      java.lang.Exception - Thrown if evaluation cannot be done

    • integralExpectation

      double integralExpectation​(double dblStart, double dblEnd) throws java.lang.Exception
      Evaluate the Expected Path-wise Integral between the Vriates
      Parameters:
      dblStart - Variate Start
      dblEnd - Variate End
      Returns:
      The Expected Path-wise Integral between the Variates
      Throws:
      java.lang.Exception - Thrown if evaluation cannot be done