Package org.drip.state.sequence

Class PathVertexRd

java.lang.Object

org.drip.state.sequence.PathVertexRd

Direct Known Subclasses:

PathVertexGovvie

public class PathVertexRd
extends java.lang.Object

PathVertexRd exposes the Functionality to generate a Sequence of the Path Vertex Latent State R^d Realizations across Multiple Paths. It exposes the following functionality:

• PathVertexRd Constructor
• Retrieve the Latent State Dimension
• Retrieve the Latent State Evolver CorrelatedPathVertexDimension Instance
• Retrieve the Array of the Latent State Diffusion Evolvers
• Generate the R^d Path Vertex Realizations using the Initial R^d and the Evolution Time Increment Array
• Generate the R^d Path Vertex Realizations using the Initial R^d and a Fixed Evolution Time Width
• Generate the R^d Path Vertex Realizations using the Initial R^d and the Array of Evolution Tenors
• Generate the R^d Path Vertex Realizations using the Initial R^d, Spot Date, and the Array of Event Dates
• Generate a Standard Instance of PathVertexRd

• 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
PathVertexRd(CorrelatedPathVertexDimension correlatedPathVertexDimension, DiffusionEvolver[] diffusionEvolverArray)	PathVertexRd Constructor

Method Summary

Modifier and Type	Method	Description
CorrelatedPathVertexDimension	cpvd()	Retrieve the Latent State Evolver CPVD Instance
int	dimension()	Retrieve the Latent State Dimension
DiffusionEvolver[]	evolver()	Retrieve the Array of the Latent State Diffusion Evolvers
double[][][]	pathVertex(double[] startingRd, double timeIncrement)	Generate the Rd Path Vertex Realizations using the Initial Rd and a Fixed Evolution Time Width
double[][][]	pathVertex(double[] startingRd, double[] timeIncrementArray)	Generate the Rd Path Vertex Realizations using the Initial Rd and the Evolution Time Increment Array
double[][][]	pathVertex(double[] startingRd, int spotDate, int[] eventDateArray)	Generate the Rd Path Vertex Realizations using the Initial Rd, Spot Date, and the Array of Event Dates
double[][][]	pathVertex(double[] startingRd, java.lang.String[] evolutionTenorArray)	Generate the Rd Path Vertex Realizations using the Initial Rd and the Array of Evolution Tenors
static PathVertexRd	Standard(CorrelatedPathVertexDimension cpvd, DiffusionEvolver de)	Generate a Standard Instance of PathVertexRd

Methods inherited from class java.lang.Object

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

Constructor Details

PathVertexRd

public PathVertexRd(CorrelatedPathVertexDimension correlatedPathVertexDimension,
DiffusionEvolver[] diffusionEvolverArray)
             throws java.lang.Exception

PathVertexRd Constructor

Parameters:

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 PathVertexRd Standard(CorrelatedPathVertexDimension cpvd,
DiffusionEvolver de)

Generate a Standard Instance of PathVertexRd

Parameters:

cpvd - Latent State Evolver CPVD Instance

de - The Latent State Diffusion Evolver

Returns:

Standard Instance of PathVertexRd

dimension

public int dimension()

Retrieve the Latent State Dimension

Returns:

The Latent State Dimension

cpvd

public CorrelatedPathVertexDimension cpvd()

Retrieve the Latent State Evolver CPVD Instance

Returns:

The Latent State Evolver CPVD Instance

evolver

public DiffusionEvolver[] evolver()

Retrieve the Array of the Latent State Diffusion Evolvers

Returns:

The Array of the Latent State Diffusion Evolvers

pathVertex

public double[][][] pathVertex(double[] startingRd,
double[] timeIncrementArray)

Generate the R^d Path Vertex Realizations using the Initial R^d and the Evolution Time Increment Array

Parameters:

startingRd - The Starting R^d Value

timeIncrementArray - The Array of Evolution Time Width Increments

Returns:

The R^d Path Vertex Realizations

pathVertex

public double[][][] pathVertex(double[] startingRd,
double timeIncrement)

Generate the R^d Path Vertex Realizations using the Initial R^d and a Fixed Evolution Time Width

Parameters:

startingRd - The Starting R^d Value

timeIncrement - The Evolution Time Width

Returns:

The R^d Path Vertex Realizations

pathVertex

public double[][][] pathVertex(double[] startingRd,
java.lang.String[] evolutionTenorArray)

Generate the R^d Path Vertex Realizations using the Initial R^d and the Array of Evolution Tenors

Parameters:

startingRd - The Starting R^d Value

evolutionTenorArray - The Array of Evolution Tenors

Returns:

The R^d Path Vertex Realizations

pathVertex

public double[][][] pathVertex(double[] startingRd,
int spotDate,
int[] eventDateArray)

Generate the R^d Path Vertex Realizations using the Initial R^d, Spot Date, and the Array of Event Dates

Parameters:

startingRd - The Starting R^d Value

spotDate - The Spot Date

eventDateArray - The Array of Event Dates

Returns:

The R^d Path Vertex Realizations