Package org.drip.state.sequence

Class PathVertexGovvie

java.lang.Object

org.drip.state.sequence.PathVertexRd

org.drip.state.sequence.PathVertexGovvie

public class PathVertexGovvie
extends PathVertexRd

PathVertexGovvie exposes the Functionality to generate a Sequence of Path/Vertex Govvie Curves. It exposes the following functionality:

• PathVertexGovvie Constructor
• Generate the Govvie Builder Settings Instance
• Generate the R^d Path/Vertex Govvie Curves using the Initial R^d and the Evolution Time Increment Array
• Generate the R^d Path/Vertex Govvie Curves using the Initial R^d and a Fixed Evolution Time Width
• Generate the R^d Path/Vertex Govvie Curves using the Initial R^d and the Array of Forward Evolution Tenors
• Generate the R^d Path/Vertex Govvie Curves using the Initial R^d and the Array of Forward Evolution Dates
• Generate a Standard Instance of PathVertexGovvie

• 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
PathVertexGovvie(GovvieBuilderSettings govvieBuilderSettings, CorrelatedPathVertexDimension correlatedPathVertexDimension, DiffusionEvolver[] diffusionEvolverArray)	PathVertexGovvie Constructor

Method Summary

Modifier and Type	Method	Description
GovvieBuilderSettings	govvieBuilderSettings()	Generate the Govvie Builder Settings Instance
GovvieCurve[][]	pathVertex(double timeIncrement)	Generate the Rd Path/Vertex Govvie Curves using the Initial Rd and a Fixed Evolution Time Width
GovvieCurve[][]	pathVertex(double[] timeIncrementArray)	Generate the Rd Path/Vertex Govvie Curves using the Initial Rd and the Evolution Time Increment Array
GovvieCurve[][]	pathVertex(int[] forwardEventDateArray)	Generate the Rd Path/Vertex Govvie Curves using the Initial Rd and the Array of Forward Evolution Dates
GovvieCurve[][]	pathVertex(java.lang.String[] forwardEvolutionTenorArray)	Generate the Rd Path/Vertex Govvie Curves using the Initial Rd and the Array of Forward Evolution Tenors
static PathVertexGovvie	Standard(GovvieBuilderSettings govvieBuilderSettings, CorrelatedPathVertexDimension correlatedPathVertexDimension, DiffusionEvolver diffusionEvolver)	Generate a Standard Instance of PathVertexGovvie

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

cpvd, dimension, evolver, pathVertex, pathVertex, pathVertex, pathVertex, Standard

Methods inherited from class java.lang.Object

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

Constructor Details

PathVertexGovvie

public PathVertexGovvie(GovvieBuilderSettings govvieBuilderSettings,
CorrelatedPathVertexDimension correlatedPathVertexDimension,
DiffusionEvolver[] diffusionEvolverArray)
                 throws java.lang.Exception

PathVertexGovvie Constructor

Parameters:

govvieBuilderSettings - Govvie Builder Settings

correlatedPathVertexDimension - Latent State Evolver CPVD Instance

diffusionEvolverArray - Array of the Latent State Diffusion Evolvers

Throws:

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

Method Details

Standard

public static final PathVertexGovvie Standard(GovvieBuilderSettings govvieBuilderSettings,
CorrelatedPathVertexDimension correlatedPathVertexDimension,
DiffusionEvolver diffusionEvolver)

Generate a Standard Instance of PathVertexGovvie

Parameters:

govvieBuilderSettings - Govvie Builder Settings Instance

correlatedPathVertexDimension - Latent State Evolver CPVD Instance

diffusionEvolver - The Latent State Diffusion Evolver

Returns:

Standard Instance of PathVertexGovvie

govvieBuilderSettings

public GovvieBuilderSettings govvieBuilderSettings()

Generate the Govvie Builder Settings Instance

Returns:

The Govvie Builder Settings Instance

pathVertex

public GovvieCurve[][] pathVertex(double[] timeIncrementArray)

Generate the R^d Path/Vertex Govvie Curves using the Initial R^d and the Evolution Time Increment Array

Parameters:

timeIncrementArray - Array of the Evolution Time Widths

Returns:

The R^d Path//Vertex Govvie Curves

pathVertex

public GovvieCurve[][] pathVertex(double timeIncrement)

Generate the R^d Path/Vertex Govvie Curves using the Initial R^d and a Fixed Evolution Time Width

Parameters:

timeIncrement - The Evolution Time Widths

Returns:

The R^d Path//Vertex Govvie Curves

pathVertex

public GovvieCurve[][] pathVertex(java.lang.String[] forwardEvolutionTenorArray)

Generate the R^d Path/Vertex Govvie Curves using the Initial R^d and the Array of Forward Evolution Tenors

Parameters:

forwardEvolutionTenorArray - The Array of Forward Evolution Tenors

Returns:

The R^d Path/Vertex Govvie Curves

pathVertex

public GovvieCurve[][] pathVertex(int[] forwardEventDateArray)

Generate the R^d Path/Vertex Govvie Curves using the Initial R^d and the Array of Forward Evolution Dates

Parameters:

forwardEventDateArray - The Array of Forward Event Dates

Returns:

The R^d Path/Vertex Govvie Curves