org.jquantlib.processes

Class OrnsteinUhlenbeckProcess

java.lang.Object

org.jquantlib.processes.StochasticProcess

org.jquantlib.processes.StochasticProcess1D

org.jquantlib.processes.OrnsteinUhlenbeckProcess

All Implemented Interfaces:

Observable, Observer

public class OrnsteinUhlenbeckProcess
extends StochasticProcess1D

Ornstein-Uhlenbeck process class

This class describes the Ornstein-Uhlenbeck process governed by

Nested Class Summary

Nested classes/interfaces inherited from class org.jquantlib.processes.StochasticProcess1D

StochasticProcess1D.Discretization1D

Nested classes/interfaces inherited from class org.jquantlib.processes.StochasticProcess

StochasticProcess.Discretization

Constructor Summary

Constructors

Constructor and Description
OrnsteinUhlenbeckProcess(double speed, double vol)
OrnsteinUhlenbeckProcess(double speed, double vol, double x0)
OrnsteinUhlenbeckProcess(double speed, double vol, double x0, double level)

Method Summary

Modifier and Type	Method and Description
double	diffusion(double t, double x) Returns the diffusion part of the equation, i.e.
double	drift(double t, double x) Returns the drift part of the equation
double	expectation(double t0, double x0, double dt) Returns the expectation of the process after a time interval according to the given discretization.
double	level()
double	speed()
double	stdDeviation(double t0, double x0, double dt) Returns the standard deviation of the process after a time interval according to the given discretization.
double	variance(double t0, double x0, double dt) Returns the variance of the process after a time interval according to the given discretization.
double	volatility()
double	x0() Returns the initial value of the state variable

Methods inherited from class org.jquantlib.processes.StochasticProcess1D

apply, apply, covariance, diffusion, drift, evolve, evolve, expectation, initialValues, size, stdDeviation

Methods inherited from class org.jquantlib.processes.StochasticProcess

addObserver, countObservers, deleteObserver, deleteObservers, factors, getObservers, notifyObservers, notifyObservers, time, update

Methods inherited from class java.lang.Object

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

Constructor Detail

OrnsteinUhlenbeckProcess

public OrnsteinUhlenbeckProcess(double speed,
                                double vol)

OrnsteinUhlenbeckProcess

public OrnsteinUhlenbeckProcess(double speed,
                                double vol,
                                double x0)

OrnsteinUhlenbeckProcess

public OrnsteinUhlenbeckProcess(double speed,
                                double vol,
                                double x0,
                                double level)

Method Detail

speed

public double speed()

volatility

public double volatility()

level

public double level()

x0

public double x0()

Description copied from class: StochasticProcess1D

Returns the initial value of the state variable

Specified by:

x0 in class StochasticProcess1D

drift

public double drift(double t,
                    double x)

Description copied from class: StochasticProcess1D

Returns the drift part of the equation

Specified by:

drift in class StochasticProcess1D

diffusion

public double diffusion(double t,
                        double x)

Description copied from class: StochasticProcess1D

Returns the diffusion part of the equation, i.e.

Specified by:

diffusion in class StochasticProcess1D

expectation

public double expectation(double t0,
                          double x0,
                          double dt)

Description copied from class: StochasticProcess1D

Returns the expectation of the process after a time interval according to the given discretization. This method can be overridden in derived classes which want to hard-code a particular discretization.

Overrides:

expectation in class StochasticProcess1D

stdDeviation

public double stdDeviation(double t0,
                           double x0,
                           double dt)

Description copied from class: StochasticProcess1D

Returns the standard deviation of the process after a time interval according to the given discretization. This method can be overridden in derived classes which want to hard-code a particular discretization.

Overrides:

stdDeviation in class StochasticProcess1D

variance

public double variance(double t0,
                       double x0,
                       double dt)

Description copied from class: StochasticProcess1D

Returns the variance of the process after a time interval according to the given discretization. This method can be overridden in derived classes which want to hard-code a particular discretization.

Overrides:

variance in class StochasticProcess1D