Package org.drip.dynamics.meanreverting

Class R1OrnsteinUhlenbeckStochasticEvolver

java.lang.Object

org.drip.dynamics.process.R1StochasticEvolver

org.drip.dynamics.meanreverting.R1CKLSStochasticEvolver

org.drip.dynamics.meanreverting.R1VasicekStochasticEvolver

org.drip.dynamics.meanreverting.R1OrnsteinUhlenbeckStochasticEvolver

public class R1OrnsteinUhlenbeckStochasticEvolver
extends R1VasicekStochasticEvolver

R1OrnsteinUhlenbeckStochasticEvolver implements the R¹ Ornstein-Uhlenbeck 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
R1OrnsteinUhlenbeckStochasticEvolver(double meanReversionSpeed, double volatility, R1StochasticDriver r1StochasticDriver)	R1OrnsteinUhlenbeckStochasticEvolver Constructor

Method Summary

Modifier and Type	Method	Description
R1FokkerPlanck	fokkerPlanckGenerator()	Construct the Fokker Planck PDF Generator corresponding to R1 Stochastic Evolver
static R1OrnsteinUhlenbeckStochasticEvolver	Wiener(double meanReversionSpeed, double volatility, double timeWidth)	Construct a Weiner Instance of R1OrnsteinUhlenbeckStochasticEvolver Process

Methods inherited from class org.drip.dynamics.meanreverting.R1VasicekStochasticEvolver

aitSahaliaMLEAsymptote, mean, steadyStatePopulationCentralMeasures, temporalPopulationCentralMeasures, timeCovariance, Wiener

Methods inherited from class org.drip.dynamics.meanreverting.R1CKLSStochasticEvolver

cklsParameters, Wiener

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

driftFunction, evolve, futureValueDistribution, stochasticDriver, volatilityFunction

Methods inherited from class java.lang.Object

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

Constructor Details

R1OrnsteinUhlenbeckStochasticEvolver

public R1OrnsteinUhlenbeckStochasticEvolver(double meanReversionSpeed,
double volatility,
R1StochasticDriver r1StochasticDriver)
                                     throws java.lang.Exception

R1OrnsteinUhlenbeckStochasticEvolver Constructor

Parameters:

meanReversionSpeed - The Mean Reversion Speed

volatility - The Volatility

r1StochasticDriver - The Stochastic Driver

Throws:

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

Method Details

Wiener

public static R1OrnsteinUhlenbeckStochasticEvolver Wiener(double meanReversionSpeed,
double volatility,
double timeWidth)

Construct a Weiner Instance of R1OrnsteinUhlenbeckStochasticEvolver Process

Parameters:

meanReversionSpeed - The Mean Reversion Speed

volatility - The Volatility

timeWidth - Wiener Time Width

Returns:

Weiner Instance of R1OrnsteinUhlenbeckStochasticEvolver Process

fokkerPlanckGenerator

public R1FokkerPlanck fokkerPlanckGenerator()

Description copied from class: R1StochasticEvolver

Construct the Fokker Planck PDF Generator corresponding to R¹ Stochastic Evolver

Overrides:

fokkerPlanckGenerator in class R1CKLSStochasticEvolver

Returns:

The Fokker Planck PDF Generator corresponding to R¹ Stochastic Evolver