org.drip.function.r1tor1

Class AndersenPiterbargMeanReverter

java.lang.Object

org.drip.function.definition.R1ToR1

org.drip.function.r1tor1.AndersenPiterbargMeanReverter

public class AndersenPiterbargMeanReverter
extends R1ToR1

AndersenPiterbargMeanReverter implements the mean-reverting Univariate Function detailed in: - Andersen and Piterbarg (2010): Interest Rate Modeling (3 Volumes), Atlantic Financial Press.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
AndersenPiterbargMeanReverter(ExponentialDecay auExpDecay, R1ToR1 auSteadyState) AndersenPiterbargMeanReverter constructor

Method Summary

Modifier and Type	Method and Description
double	evaluate(double dblVariate) Evaluate for the given variate

Methods inherited from class org.drip.function.definition.R1ToR1

derivative, differential, differential, integrate, maxima, maxima, minima, minima

Methods inherited from class java.lang.Object

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

Constructor Detail

AndersenPiterbargMeanReverter

public AndersenPiterbargMeanReverter(ExponentialDecay auExpDecay,
                                     R1ToR1 auSteadyState)
                              throws java.lang.Exception

AndersenPiterbargMeanReverter constructor

Parameters:

auExpDecay - The Exponential Decay Univariate Function

auSteadyState - The Steady State (i.e., Infinite Time) Undamped Behavior Univariate Function

Throws:

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

Method Detail

evaluate

public double evaluate(double dblVariate)
                throws java.lang.Exception

Description copied from class: R1ToR1

Evaluate for the given variate

Specified by:

evaluate in class R1ToR1

Parameters:

dblVariate - Variate

Returns:

Returns the calculated value

Throws:

java.lang.Exception - Thrown if evaluation cannot be done