Package org.drip.dynamics.meanreverting

Class R1CKLSStochasticEvolver

java.lang.Object

org.drip.dynamics.process.R1StochasticEvolver

org.drip.dynamics.meanreverting.R1CKLSStochasticEvolver

Direct Known Subclasses:

R1CIRStochasticEvolver, R1VasicekStochasticEvolver

public class R1CKLSStochasticEvolver
extends R1StochasticEvolver

R1CKLSStochasticEvolver implements 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 4^th 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 2^nd Edition Springer-Verlag
• Risken, H., and F. Till (1996): The Fokker-Planck Equation – Methods of Solution and Applications Springer

• Module = Product Core Module
• Library = Fixed Income Analytics
• Project = HJM, Hull White, LMM, and SABR Dynamic Evolution Models
• Package = Mean Reverting Stochastic Process Dynamics

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
R1CKLSStochasticEvolver(CKLSParameters cklsParameters, R1StochasticDriver r1StochasticDriver)	R1CKLSStochasticEvolver Constructor

Method Summary

Modifier and Type	Method	Description
CKLSParameters	cklsParameters()	Retrieve the CKLS Parameters
R1FokkerPlanck	fokkerPlanckGenerator()	Construct the Fokker Planck PDF Generator corresponding to R1 Stochastic Evolver
static R1CKLSStochasticEvolver	Wiener(double meanReversionSpeed, double meanReversionLevel, double volatility, double cklsExponent, double timeWidth)	Construct a Weiner Instance of R1CKLSStochasticEvolver Process

Methods inherited from class org.drip.dynamics.process.R1StochasticEvolver

driftFunction, evolve, futureValueDistribution, steadyStatePopulationCentralMeasures, stochasticDriver, temporalPopulationCentralMeasures, volatilityFunction

Methods inherited from class java.lang.Object

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

Constructor Details

R1CKLSStochasticEvolver

public R1CKLSStochasticEvolver(CKLSParameters cklsParameters,
R1StochasticDriver r1StochasticDriver)
                        throws java.lang.Exception

R1CKLSStochasticEvolver Constructor

Parameters:

cklsParameters - The CKLS Parameters

r1StochasticDriver - The Stochastic Driver

Throws:

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

Method Details

Wiener

public static R1CKLSStochasticEvolver Wiener(double meanReversionSpeed,
double meanReversionLevel,
double volatility,
double cklsExponent,
double timeWidth)

Construct a Weiner Instance of R1CKLSStochasticEvolver Process

Parameters:

meanReversionSpeed - The Mean Reversion Speed

meanReversionLevel - The Mean Reversion Level

volatility - The Volatility

cklsExponent - The CKLS Exponent

timeWidth - Wiener Time Width

Returns:

Weiner Instance of R1CKLSStochasticEvolver Process

cklsParameters

public CKLSParameters cklsParameters()

Retrieve the CKLS Parameters

Returns:

The CKLS Parameters

fokkerPlanckGenerator

public R1FokkerPlanck fokkerPlanckGenerator()

Description copied from class: R1StochasticEvolver

Construct the Fokker Planck PDF Generator corresponding to R¹ Stochastic Evolver

Overrides:

fokkerPlanckGenerator in class R1StochasticEvolver

Returns:

The Fokker Planck PDF Generator corresponding to R¹ Stochastic Evolver