Package org.drip.dynamics.meanreverting

Class CKLSParameters

java.lang.Object
org.drip.dynamics.meanreverting.CKLSParameters
public class CKLSParameters
extends java.lang.Object
CKLSParameters contains the Parameters for the R1 Chan-Karolyi-Longstaff-Sanders 1992 Stochastic Evolver. The References are:

  • Doob, J. L. (1942): The Brownian Movement and Stochastic Equations Annals of Mathematics 43 (2) 351-369
  • Gardiner, C. W. (2009): Stochastic Methods: A Handbook for the Natural and Social Sciences 4th Edition Springer-Verlag
  • Kadanoff, L. P. (2000): Statistical Physics: Statics, Dynamics, and Re-normalization World Scientific
  • Karatzas, I., and S. E. Shreve (1991): Brownian Motion and Stochastic Calculus 2nd Edition Springer-Verlag
  • Risken, H., and F. Till (1996): The Fokker-Planck Equation – Methods of Solution and Applications Springer


Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    CKLSParameters​(double meanReversionSpeed, double meanReversionLevel, double volatilityCoefficient, double volatilityExponent)
    CKLSParameters Constructor

  • Method Summary

    Modifier and Type Method Description
    static CKLSParameters CoxIngersollRoss​(double meanReversionSpeed, double meanReversionLevel, double volatilityCoefficient)
    Construct the Cox-Ingersoll-Ross Instance of the CKLS Parameters
    double meanReversionLevel()
    Retrieve the Mean Reversion Level
    double meanReversionSpeed()
    Retrieve the Mean Reversion Speed
    static CKLSParameters OrnsteinUhlenbeck​(double meanReversionSpeed, double volatility)
    Construct the Ornstein-Uhlenbeck Instance of the CKLS Parameters
    static CKLSParameters Vasicek​(double meanReversionSpeed, double meanReversionLevel, double volatility)
    Construct the Vasicek Instance of the CKLS Parameters
    double volatilityCoefficient()
    Retrieve the Volatility Coefficient
    double volatilityExponent()
    Retrieve the CKLS Volatility Exponent

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • CKLSParameters

      public CKLSParameters​(double meanReversionSpeed, double meanReversionLevel, double volatilityCoefficient, double volatilityExponent) throws java.lang.Exception
      CKLSParameters Constructor
      Parameters:
      meanReversionSpeed - The Mean Reversion Speed
      meanReversionLevel - The Mean Reversion Level
      volatilityCoefficient - The Volatility Coefficient
      volatilityExponent - The Volatility Exponent
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • Vasicek

      public static final CKLSParameters Vasicek​(double meanReversionSpeed, double meanReversionLevel, double volatility)
      Construct the Vasicek Instance of the CKLS Parameters
      Parameters:
      meanReversionSpeed - The Mean Reversion Speed
      meanReversionLevel - The Mean Reversion Level
      volatility - The Volatility
      Returns:
      The Vasicek Instance of the CKLS Parameters

    • OrnsteinUhlenbeck

      public static final CKLSParameters OrnsteinUhlenbeck​(double meanReversionSpeed, double volatility)
      Construct the Ornstein-Uhlenbeck Instance of the CKLS Parameters
      Parameters:
      meanReversionSpeed - The Mean Reversion Speed
      volatility - The Volatility
      Returns:
      The Ornstein-Uhlenbeck Instance of the CKLS Parameters

    • CoxIngersollRoss

      public static final CKLSParameters CoxIngersollRoss​(double meanReversionSpeed, double meanReversionLevel, double volatilityCoefficient)
      Construct the Cox-Ingersoll-Ross Instance of the CKLS Parameters
      Parameters:
      meanReversionSpeed - The Mean Reversion Speed
      meanReversionLevel - The Mean Reversion Level
      volatilityCoefficient - The Volatility Coefficient
      Returns:
      The Cox-Ingersoll-Ross Instance of the CKLS Parameters

    • meanReversionSpeed

      public double meanReversionSpeed()
      Retrieve the Mean Reversion Speed
      Returns:
      The Mean Reversion Speed

    • meanReversionLevel

      public double meanReversionLevel()
      Retrieve the Mean Reversion Level
      Returns:
      The Mean Reversion Level

    • volatilityCoefficient

      public double volatilityCoefficient()
      Retrieve the Volatility Coefficient
      Returns:
      The Volatility Coefficient

    • volatilityExponent

      public double volatilityExponent()
      Retrieve the CKLS Volatility Exponent
      Returns:
      The CKLS Volatility Exponent