R1FokkerPlanckCKLS

java.lang.Object

org.drip.dynamics.kolmogorov.R1FokkerPlanck

org.drip.dynamics.kolmogorov.R1FokkerPlanckCKLS

Direct Known Subclasses:: R1FokkerPlanckCIR, R1FokkerPlanckOrnsteinUhlenbeck

public class R1FokkerPlanckCKLS
extends R1FokkerPlanck

R1FokkerPlanckCKLS exposes the R¹ Chan-Karolyi-Longstaff-Sanders 1992 Probability Density Function Evolution Equation. The References are:

Bogoliubov, N. N., and D. P. Sankevich (1994): N. N. Bogoliubov and Statistical Mechanics Russian Mathematical Surveys 49 (5) 19-49
Holubec, V., K. Kroy, and S. Steffenoni (2019): Physically Consistent Numerical Solver for Time-dependent Fokker-Planck Equations Physical Review E 99 (4) 032117
Kadanoff, L. P. (2000): Statistical Physics: Statics, Dynamics, and Re-normalization World Scientific
Ottinger, H. C. (1996): Stochastic Processes in Polymeric Fluids Springer-Verlag Berlin-Heidelberg
Wikipedia (2019): Fokker-Planck Equation https://en.wikipedia.org/wiki/Fokker%E2%80%93Planck_equation

Module = Product Core Module
Library = Fixed Income Analytics
Project = HJM, Hull White, LMM, and SABR Dynamic Evolution Models
Package = Fokker Planck Kolmogorov Forward/Backward

Author:: Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor Description

R1FokkerPlanckCKLS(CKLSParameters cklsParameters)
R1FokkerPlanckCKLS Constructor
Method Summary

Modifier and Type Method Description

CKLSParameters cklsParameters()
Retrieve the CKLS Parameters

Methods inherited from class org.drip.dynamics.kolmogorov.R1FokkerPlanck
deltaStartTemporalPDF, driftFunction, pdfDot, steadyStatePDF, temporalPDF, volatilityFunction

Methods inherited from class java.lang.Object
equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Details
- R1FokkerPlanckCKLS
  
  public R1FokkerPlanckCKLS(CKLSParameters cklsParameters) throws java.lang.Exception
  
  R1FokkerPlanckCKLS Constructor
  
  Parameters:
  
  cklsParameters - The CKLS Parameters
  
  Throws:
  
  java.lang.Exception - Thrown if the Inputs are Invalid
Method Details
- cklsParameters
  
  public CKLSParameters cklsParameters()
  
  Retrieve the CKLS Parameters
  
  Returns:
  
  The CKLS Parameters