Package org.drip.function.r1tor1
Class R1UnivariateCIRPDF
java.lang.Object
org.drip.function.definition.R1ToR1
org.drip.function.r1tor1.R1UnivariateCIRPDF
public class R1UnivariateCIRPDF extends R1ToR1
R1UnivariateCIRPDF exposes the R1 Univariate Cox-Ingersoll-Ross Probability Density
Function. 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
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Constructor Summary
Constructors Constructor Description R1UnivariateCIRPDF(double alpha, double beta, R1ToR1 gammaFunction)
R1UnivariateCIRPDF Constructor -
Method Summary
Modifier and Type Method Description double
alpha()
Retrieve Alphadouble
beta()
Retrieve Betadouble
evaluate(double r)
Evaluate for the given variateR1ToR1
gammaFunction()
Retrieve the Gamma Functionstatic R1UnivariateCIRPDF
Standard(CKLSParameters cklsParameters)
Construct a Standard Instance of R1UnivariateCIRPDFMethods inherited from class org.drip.function.definition.R1ToR1
antiDerivative, derivative, differential, differential, integrate, maxima, maxima, minima, minima, poleResidue
Methods inherited from class java.lang.Object
equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
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Constructor Details
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R1UnivariateCIRPDF
public R1UnivariateCIRPDF(double alpha, double beta, R1ToR1 gammaFunction) throws java.lang.ExceptionR1UnivariateCIRPDF Constructor- Parameters:
alpha
- The Alphabeta
- The BetagammaFunction
- The Gamma Function- Throws:
java.lang.Exception
- Thrown if the Inputs are Invalid
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Method Details
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Standard
Construct a Standard Instance of R1UnivariateCIRPDF- Parameters:
cklsParameters
- The CKLS Parameters- Returns:
- Standard Instance of R1UnivariateCIRPDF
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alpha
public double alpha()Retrieve Alpha- Returns:
- The Alpha
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beta
public double beta()Retrieve Beta- Returns:
- The Beta
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gammaFunction
Retrieve the Gamma Function- Returns:
- The Gamma Function
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evaluate
public double evaluate(double r) throws java.lang.ExceptionDescription copied from class:R1ToR1
Evaluate for the given variate
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