DiffusionEvaluatorMeanReversion

java.lang.Object

org.drip.measure.dynamics.DiffusionEvaluator

org.drip.measure.dynamics.DiffusionEvaluatorMeanReversion

public class DiffusionEvaluatorMeanReversion
extends DiffusionEvaluator

DiffusionEvaluatorMeanReversion evaluates the Drift/Volatility of the Diffusion Random Variable Evolution according to R¹ Mean Reversion Process.

Module = Computational Core Module
Library = Numerical Analysis Library
Project = R^d Continuous/Discrete Probability Measures
Package = Jump Diffusion Evolution Evaluator Variants

Author:: Lakshmi Krishnamurthy

Method Summary

Modifier and Type	Method	Description
`double`	`meanReversionLevel()`	Retrieve the Mean Reversion Level
`double`	`meanReversionRate()`	Retrieve the Mean Reversion Speed
`static DiffusionEvaluatorMeanReversion`	`Standard(double dblMeanReversionRate, double dblMeanReversionLevel, double dblVolatility)`	Generate a Standard Instance of DiffusionEvaluatorMeanReversion
`double`	`volatilityValue()`	Retrieve the Logarithmic Volatility Value

Methods inherited from class org.drip.measure.dynamics.DiffusionEvaluator

drift, volatility

Methods inherited from class java.lang.Object

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

Method Details
- Standard
  
  public static final DiffusionEvaluatorMeanReversion Standard(double dblMeanReversionRate, double dblMeanReversionLevel, double dblVolatility)
  
  Generate a Standard Instance of DiffusionEvaluatorMeanReversion
  
  Parameters:
  
  dblMeanReversionRate - The Mean Reversion Rate
  
  dblMeanReversionLevel - The Mean Reversion Level
  
  dblVolatility - The Volatility
  
  Returns:
  
  The Standard Instance of DiffusionEvaluatorMeanReversion
- meanReversionRate
  
  public double meanReversionRate()
  
  Retrieve the Mean Reversion Speed
  
  Returns:
  
  The Mean Reversion Speed
- meanReversionLevel
  
  public double meanReversionLevel()
  
  Retrieve the Mean Reversion Level
  
  Returns:
  
  The Mean Reversion Level
- volatilityValue
  
  public double volatilityValue()
  
  Retrieve the Logarithmic Volatility Value
  
  Returns:
  
  The Logarithmic Volatility Value