Package org.drip.measure.dynamics

Class 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. It provides the following Functionality:
  • Generate a Standard Instance of DiffusionEvaluatorMeanReversion
  • Retrieve the Mean Reversion Speed
  • Retrieve the Mean Reversion Level
  • Retrieve the Logarithmic Volatility Value

Module Computational Core Module
Library Numerical Analysis Library
Project Rd Continuous/Discrete Probability Measures
Package Jump Diffusion Evolution Evaluator Variants

Author:
Lakshmi Krishnamurthy

  • Method Summary

    Modifier and Type Method Description
    double level()
    Retrieve the Mean Reversion Level
    double rate()
    Retrieve the Mean Reversion Speed
    static DiffusionEvaluatorMeanReversion Standard​(double rate, double level, double volatility)
    Generate a Standard Instance of DiffusionEvaluatorMeanReversion
    double volatility()
    Retrieve the Logarithmic Volatility Value

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

    localDriftEvaluator, localVolatilityEvaluator

    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 rate, double level, double volatility)
      Generate a Standard Instance of DiffusionEvaluatorMeanReversion
      Parameters:
      rate - The Mean Reversion Rate
      level - The Mean Reversion Level
      volatility - The Volatility
      Returns:
      The Standard Instance of DiffusionEvaluatorMeanReversion

    • rate

      public double rate()
      Retrieve the Mean Reversion Speed
      Returns:
      The Mean Reversion Speed

    • level

      public double level()
      Retrieve the Mean Reversion Level
      Returns:
      The Mean Reversion Level

    • volatility

      public double volatility()
      Retrieve the Logarithmic Volatility Value
      Returns:
      The Logarithmic Volatility Value