Package org.drip.dynamics.physical

Class ExponentialAffineZeroCoefficients

java.lang.Object
org.drip.dynamics.physical.ExponentialAffineZeroCoefficients
public class ExponentialAffineZeroCoefficients
extends java.lang.Object
ExponentialAffineZeroCoefficients contains the Exponential Affine Coefficients for a Zero-coupon Bond priced using the CIR Process. 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
    ExponentialAffineZeroCoefficients​(double a, double b)
    ExponentialAffineZeroCoefficients Constructor

  • Method Summary

    Modifier and Type Method Description
    double a()
    Retrieve Exponential Affine "A"
    double b()
    Retrieve Exponential Affine "B"
    static ExponentialAffineZeroCoefficients FromCIR​(R1CIRStochasticEvolver r1CIRStochasticEvolver, double ttm)
    Construct an Instance of ExponentialAffineZeroCoefficients using the CIR Stochastic Evolver
    double price​(double r0)
    Compute the Price given the Initial Rate

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • ExponentialAffineZeroCoefficients

      public ExponentialAffineZeroCoefficients​(double a, double b) throws java.lang.Exception
      ExponentialAffineZeroCoefficients Constructor
      Parameters:
      a - Exponential Affine "A"
      b - Exponential Affine "B"
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • FromCIR

      public static final ExponentialAffineZeroCoefficients FromCIR​(R1CIRStochasticEvolver r1CIRStochasticEvolver, double ttm)
      Construct an Instance of ExponentialAffineZeroCoefficients using the CIR Stochastic Evolver
      Parameters:
      r1CIRStochasticEvolver - The CIR Stochastic Evolver
      ttm - The Time to Maturity
      Returns:
      The ExponentialAffineZeroCoefficients Instance

    • a

      public double a()
      Retrieve Exponential Affine "A"
      Returns:
      The Exponential Affine "A"

    • b

      public double b()
      Retrieve Exponential Affine "B"
      Returns:
      The Exponential Affine "B"

    • price

      public double price​(double r0) throws java.lang.Exception
      Compute the Price given the Initial Rate
      Parameters:
      r0 - The Initial Rate
      Returns:
      Price given the Initial Rate
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid