Uses of Class
org.drip.sequence.random.UnivariateSequenceGenerator

Packages that use UnivariateSequenceGenerator

Package	Description
org.drip.dynamics.hjm	HJM Based Latent State Evolution
org.drip.dynamics.hullwhite	Hull White Latent State Evolution
org.drip.dynamics.sabr	SABR Based Latent State Evolution
org.drip.sequence.random	Correlated Multi-Factor Sequence Generator

Uses of UnivariateSequenceGenerator in org.drip.dynamics.hjm

Methods in org.drip.dynamics.hjm that return UnivariateSequenceGenerator

Modifier and Type	Method	Description
UnivariateSequenceGenerator[]	G2PlusPlus.rsg()	Retrieve the Random Sequence Generator Array

Constructors in org.drip.dynamics.hjm with parameters of type UnivariateSequenceGenerator

Constructor	Description
G2PlusPlus(double dblSigma, double dblA, double dblEta, double dblB, UnivariateSequenceGenerator[] aRSG, double dblRho, R1ToR1 auIFRInitial)	G2PlusPlus Constructor

Uses of UnivariateSequenceGenerator in org.drip.dynamics.hullwhite

Methods in org.drip.dynamics.hullwhite that return UnivariateSequenceGenerator

Modifier and Type	Method	Description
UnivariateSequenceGenerator	SingleFactorStateEvolver.rsg()	Retrieve the Random Sequence Generator

Constructors in org.drip.dynamics.hullwhite with parameters of type UnivariateSequenceGenerator

Constructor	Description
SingleFactorStateEvolver(FundingLabel lslFunding, double dblSigma, double dblA, R1ToR1 auIFRInitial, UnivariateSequenceGenerator usg)	SingleFactorStateEvolver Constructor

Uses of UnivariateSequenceGenerator in org.drip.dynamics.sabr

Methods in org.drip.dynamics.sabr that return UnivariateSequenceGenerator

Modifier and Type	Method	Description
UnivariateSequenceGenerator	StochasticVolatilityStateEvolver.usgForwardRate()	The Forward Rate Univariate Random Variable Generator Sequence
UnivariateSequenceGenerator	StochasticVolatilityStateEvolver.usgForwardRateVolatilityIdiosyncratic()	The Idiosyncratic Component of Forward Rate Volatility Univariate Random Variable Generator Sequence

Methods in org.drip.dynamics.sabr with parameters of type UnivariateSequenceGenerator

Modifier and Type	Method	Description
static StochasticVolatilityStateEvolver	StochasticVolatilityStateEvolver.CEV(ForwardLabel lslForward, double dblBeta, double dblRho, UnivariateSequenceGenerator usgForwardRate, UnivariateSequenceGenerator usgForwardRateVolatilityIdiosyncratic)	Create a Constant Elasticity of Variance SABR Instance
static StochasticVolatilityStateEvolver	StochasticVolatilityStateEvolver.Gaussian(ForwardLabel lslForward, double dblRho, double dblVolatilityOfVolatility, UnivariateSequenceGenerator usgForwardRate, UnivariateSequenceGenerator usgForwardRateVolatilityIdiosyncratic)	Create a Gaussian SABR Instance
static StochasticVolatilityStateEvolver	StochasticVolatilityStateEvolver.Lognormal(ForwardLabel lslForward, double dblRho, double dblVolatilityOfVolatility, UnivariateSequenceGenerator usgForwardRate, UnivariateSequenceGenerator usgForwardRateVolatilityIdiosyncratic)	Create a Log-normal SABR Instance

Constructors in org.drip.dynamics.sabr with parameters of type UnivariateSequenceGenerator

Constructor	Description
StochasticVolatilityStateEvolver(ForwardLabel lslForward, double dblBeta, double dblRho, double dblVolatilityOfVolatility, UnivariateSequenceGenerator usgForwardRate, UnivariateSequenceGenerator usgForwardRateVolatilityIdiosyncratic)	StochasticVolatilityStateEvolver Constructor

Uses of UnivariateSequenceGenerator in org.drip.sequence.random

Subclasses of UnivariateSequenceGenerator in org.drip.sequence.random

Modifier and Type	Class	Description
class	Binary	Binary implements the Standard {0, 1}-valued Binary Random Number Generator.
class	Bounded	Bounded implements the Bounded Random Univariate Generator with a Lower and an upper Bound.
class	BoundedGaussian	BoundedGaussian implements the Bounded Gaussian Distribution, with a Gaussian Distribution between a lower and an upper Bound.
class	BoundedUniform	BoundedUniform implements the Bounded Uniform Distribution, with a Uniform Distribution between a lower and an upper Bound.
class	BoundedUniformInteger	BoundedUniformInteger implements the Bounded Uniform Distribution, with a Uniform Integer being generated between a lower and an upper Bound.
class	BoxMullerGaussian	BoxMullerGaussian implements the Univariate Gaussian Random Number Generator.
class	Poisson	Poisson implements the Poisson Random Number Generator.

Methods in org.drip.sequence.random that return UnivariateSequenceGenerator

Modifier and Type	Method	Description
UnivariateSequenceGenerator[]	MultivariateSequenceGenerator.usg()	Retrieve the Array of Univariate Sequence Generators

Constructors in org.drip.sequence.random with parameters of type UnivariateSequenceGenerator

Constructor	Description
MultivariateSequenceGenerator(UnivariateSequenceGenerator[] aUSG, double[][] aadblCorrelation)	MultivariateSequenceGenerator Constructor
PrincipalFactorSequenceGenerator(UnivariateSequenceGenerator[] aUSG, double[][] aadblCorrelation, int iNumFactor)	PrincipalFactorSequenceGenerator Constructor