Package org.drip.state.sequence

Class PathGovvie

java.lang.Object

org.drip.state.sequence.PathRd

org.drip.state.sequence.PathGovvie

public class PathGovvie
extends PathRd

PathGovvie exposes the Functionality to generate a Sequence of Govvie Curve Realizations across Multiple Paths. It exposes the following functionality:

• PathGovvie Constructor
• Retrieve the Govvie Builder Settings Instance
• Generate the R^d Path Govvie Curves using the Ground State Yield

• Module = Product Core Module
• Library = Fixed Income Analytics
• Project = Latent State Inference and Creation Utilities
• Package = Monte Carlo Path State Realizations

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
PathGovvie(GovvieBuilderSettings govvieBuilderSettings, double volatility, boolean logNormal)	PathGovvie Constructor

Method Summary

Modifier and Type	Method	Description
GovvieCurve[]	curveSequence(int pathCount)	Generate the Rd Path Govvie Curves using the Ground State Yield
GovvieBuilderSettings	govvieBuilderSettings()	Retrieve the Govvie Builder Settings Instance

Methods inherited from class org.drip.state.sequence.PathRd

dimension, logNormal, mean, sequence, volatility

Methods inherited from class java.lang.Object

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

Constructor Details

PathGovvie

public PathGovvie(GovvieBuilderSettings govvieBuilderSettings,
double volatility,
boolean logNormal)
           throws java.lang.Exception

PathGovvie Constructor

Parameters:

govvieBuilderSettings - Govvie Builder Settings Instance

volatility - Volatility

logNormal - TRUE - The Generated Random Numbers are Log Normal

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid

Method Details

govvieBuilderSettings

public GovvieBuilderSettings govvieBuilderSettings()

Retrieve the Govvie Builder Settings Instance

Returns:

The Govvie Builder Settings Instance

curveSequence

public GovvieCurve[] curveSequence(int pathCount)

Generate the R^d Path Govvie Curves using the Ground State Yield

Parameters:

pathCount - Number of Paths

Returns:

The R^d Path/Vertex Govvie Curves