Examples of org.jquantlib.processes.OrnsteinUhlenbeckProcess

org.jquantlib.processes.OrnsteinUhlenbeckProcess
Ornstein-Uhlenbeck process class
This class describes the Ornstein-Uhlenbeck process governed by dx = a (r - x_t) dt + \sigma dW_t @category processes @author Praneet Tiwari @author Richard Gomes

    public class Dynamics extends ShortRateDynamics {


        private final Parameter fitting_;


        public Dynamics(final Parameter  fitting, final double a, final double sigma) {
            super(new OrnsteinUhlenbeckProcess(a, sigma, /* default */0.0, /* default */0.0));
            fitting_ = (fitting);
        }

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        //
        // public methods
        //


        public Dynamics(final double a, final double b, final double sigma, final double r0) {
            super(new OrnsteinUhlenbeckProcess(a, sigma, r0 - b, 0.0));
            this.a_  = a;
            this.b_  = b;
            this.r0_ = r0;
        }

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    public class Dynamics extends ShortRateDynamics {


        private final Parameter fitting_;


        public Dynamics(final Parameter  fitting, final double a, final double sigma) {
            super(new OrnsteinUhlenbeckProcess(a, sigma, /* default */0.0, /* default */0.0));
            fitting_ = (fitting);
        }

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     * following an Ornstein-Uhlenbeck process.
     */
    private class Dynamics extends ShortRateDynamics {


        public Dynamics(final Parameter fitting, final double /* @Real */alpha, final double /* @Real */sigma) {
            super(new OrnsteinUhlenbeckProcess(alpha, sigma, /* default */0.0, /* default */0.0));
            fitting_ = (fitting);
        }

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    //


    private class Dynamics extends TwoFactorModel.ShortRateDynamics {
        public Dynamics(final Parameter fitting, final double /* @Real */a, final double /* @Real */sigma, final double /* @Real */b,
                final double /* @Real */eta, final double /* @Real */rho) {
            super(new OrnsteinUhlenbeckProcess(a, sigma, 0.0, 0.0), new OrnsteinUhlenbeckProcess(b, eta, 0.0, 0.0), rho);
            fitting_ = (fitting);
        }

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