Package org.drip.measure.dynamics

Class DiffusionEvaluatorOrnsteinUhlenbeck

java.lang.Object

org.drip.measure.dynamics.DiffusionEvaluator

org.drip.measure.dynamics.DiffusionEvaluatorOrnsteinUhlenbeck

All Implemented Interfaces:

OrnsteinUhlenbeck

public class DiffusionEvaluatorOrnsteinUhlenbeck
extends DiffusionEvaluator
implements OrnsteinUhlenbeck

DiffusionEvaluatorOrnsteinUhlenbeck evaluates the Drift/Volatility of the Diffusion Random Variable Evolution according to R¹ Ornstein Uhlenbeck Process. It provides the following Functionality:

• Construct a Standard Instance of DiffusionEvaluatorOrnsteinUhlenbeck
• Construct a Zero-Mean Instance of DiffusionEvaluatorOrnsteinUhlenbeck
• Retrieve the Mean Reversion Level
• Retrieve the Burstiness Parameter
• Retrieve the Relaxation Time
• Retrieve the Reference Relaxation Time Scale
• Retrieve the Reference Burstiness Scale
• Retrieve the Reference Mean Reversion Level Scale

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	burstiness()	Retrieve the Burstiness Parameter
double	meanReversionLevel()	Retrieve the Mean Reversion Level
double	referenceBurstiness()	Retrieve the Reference Burstiness Scale
double	referenceMeanReversionLevel()	Retrieve the Reference Mean Reversion Level Scale
double	referenceRelaxationTime()	Retrieve the Reference Relaxation Time Scale
double	relaxationTime()	Retrieve the Relaxation Time
static DiffusionEvaluatorOrnsteinUhlenbeck	Standard(double meanReversionLevel, double burstiness, double relaxationTime)	Construct a Standard Instance of DiffusionEvaluatorOrnsteinUhlenbeck
static DiffusionEvaluatorOrnsteinUhlenbeck	ZeroMean(double burstiness, double relaxationTime)	Construct a Zero-Mean Instance of DiffusionEvaluatorOrnsteinUhlenbeck

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 DiffusionEvaluatorOrnsteinUhlenbeck Standard(double meanReversionLevel,
double burstiness,
double relaxationTime)

Construct a Standard Instance of DiffusionEvaluatorOrnsteinUhlenbeck

Parameters:

meanReversionLevel - The Mean Reversion Level

burstiness - The Burstiness Parameter

relaxationTime - The Relaxation Time

Returns:

The Standard Instance of DiffusionEvaluatorOrnsteinUhlenbeck

ZeroMean

public static final DiffusionEvaluatorOrnsteinUhlenbeck ZeroMean(double burstiness,
double relaxationTime)

Construct a Zero-Mean Instance of DiffusionEvaluatorOrnsteinUhlenbeck

Parameters:

burstiness - The Burstiness Parameter

relaxationTime - The Relaxation Time

Returns:

The Zero-Mean Instance of DiffusionEvaluatorOrnsteinUhlenbeck

meanReversionLevel

public double meanReversionLevel()

Retrieve the Mean Reversion Level

Returns:

The Mean Reversion Level

burstiness

public double burstiness()

Retrieve the Burstiness Parameter

Returns:

The Burstiness Parameter

relaxationTime

public double relaxationTime()

Retrieve the Relaxation Time

Returns:

The Relaxation Time

referenceRelaxationTime

public double referenceRelaxationTime()

Retrieve the Reference Relaxation Time Scale

Specified by:

referenceRelaxationTime in interface OrnsteinUhlenbeck

Returns:

The Reference Relaxation Time Scale

referenceBurstiness

public double referenceBurstiness()

Retrieve the Reference Burstiness Scale

Specified by:

referenceBurstiness in interface OrnsteinUhlenbeck

Returns:

The Reference Burstiness Scale

referenceMeanReversionLevel

public double referenceMeanReversionLevel()

Retrieve the Reference Mean Reversion Level Scale

Specified by:

referenceMeanReversionLevel in interface OrnsteinUhlenbeck

Returns:

The Reference Mean Reversion Level Scale