AndersenPiterbargMeanReverter

java.lang.Object

org.drip.function.definition.R1ToR1

org.drip.function.r1tor1custom.AndersenPiterbargMeanReverter

public class AndersenPiterbargMeanReverter
extends R1ToR1

AndersenPiterbargMeanReverter implements the mean-reverting Univariate Function detailed in:

Andersen and Piterbarg (2010): Interest Rate Modeling (3 Volumes), Atlantic Financial Press.

Module = Computational Core Module
Library = Numerical Analysis Library
Project = R^d To R^d Function Analysis
Package = Built-in R¹ To R¹ Custom Functions

Author:: Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor Description

AndersenPiterbargMeanReverter(ExponentialDecay auExpDecay, R1ToR1 auSteadyState)
AndersenPiterbargMeanReverter constructor
Method Summary

Modifier and Type Method Description

double evaluate(double dblVariate)
Evaluate for the given variate

Methods inherited from class org.drip.function.definition.R1ToR1
antiDerivative, conditionNumber, 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

Constructor Details
- AndersenPiterbargMeanReverter
  
  public AndersenPiterbargMeanReverter(ExponentialDecay auExpDecay, R1ToR1 auSteadyState) throws java.lang.Exception
  
  AndersenPiterbargMeanReverter constructor
  
  Parameters:
  
  auExpDecay - The Exponential Decay Univariate Function
  
  auSteadyState - The Steady State (i.e., Infinite Time) Undamped Behavior Univariate Function
  
  Throws:
  
  java.lang.Exception - Thrown if the Inputs are invalid
Method Details
- evaluate
  
  public double evaluate(double dblVariate) throws java.lang.Exception
  
  Description copied from class: R1ToR1
  
  Evaluate for the given variate
  
  Specified by:
  
  evaluate in class R1ToR1
  
  Parameters:
  
  dblVariate - Variate
  
  Returns:
  
  Returns the calculated value
  
  Throws:
  
  java.lang.Exception - Thrown if evaluation cannot be done