CIRPDF

java.lang.Object

org.drip.function.definition.R1ToR1

org.drip.function.r1tor1custom.CIRPDF

public class CIRPDF
extends R1ToR1

CIRPDF 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 = Built-in R¹ To R¹ Custom Functions

Author:: Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor Description

CIRPDF(double alpha, double beta, R1ToR1 gammaFunction)
CIRPDF Constructor

Method Summary

Modifier and Type	Method	Description
`double`	`alpha()`	Retrieve Alpha
`double`	`beta()`	Retrieve Beta
`double`	`evaluate(double r)`	Evaluate for the given variate
`R1ToR1`	`gammaFunction()`	Retrieve the Gamma Function
`static CIRPDF`	`Standard(CKLSParameters cklsParameters)`	Construct a Standard Instance of CIR PDF

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
- CIRPDF
  
  public CIRPDF(double alpha, double beta, R1ToR1 gammaFunction) throws java.lang.Exception
  
  CIRPDF Constructor
  
  Parameters:
  
  alpha - The Alpha
  
  beta - The Beta
  
  gammaFunction - The Gamma Function
  
  Throws:
  
  java.lang.Exception - Thrown if the Inputs are Invalid
Method Details
- Standard
  
  public static final CIRPDF Standard(CKLSParameters cklsParameters)
  
  Construct a Standard Instance of CIR PDF
  
  Parameters:
  
  cklsParameters - The CKLS Parameters
  
  Returns:
  
  Standard Instance of R1UnivariateCIRPDF
- alpha
  
  public double alpha()
  
  Retrieve Alpha
  
  Returns:
  
  The Alpha
- beta
  
  public double beta()
  
  Retrieve Beta
  
  Returns:
  
  The Beta
- gammaFunction
  
  public R1ToR1 gammaFunction()
  
  Retrieve the Gamma Function
  
  Returns:
  
  The Gamma Function
- evaluate
  
  public double evaluate(double r) throws java.lang.Exception
  
  Description copied from class: R1ToR1
  
  Evaluate for the given variate
  
  Specified by:
  
  evaluate in class R1ToR1
  
  Parameters:
  
  r - Variate
  
  Returns:
  
  Returns the calculated value
  
  Throws:
  
  java.lang.Exception - Thrown if evaluation cannot be done