public class OrnsteinUhlenbeckProcess extends SDE implements OUProcess
Constructor and Description |
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OrnsteinUhlenbeckProcess(double mu,
double theta)
Construct a univariate OU process with unit volatility.
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OrnsteinUhlenbeckProcess(double mu,
double theta,
double sigma)
Construct a univariate OU process.
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OrnsteinUhlenbeckProcess(OrnsteinUhlenbeckProcess that)
Copy constructor.
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Modifier and Type | Method and Description |
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double |
mu()
Get the overall mean.
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double |
sigma()
Get the volatility.
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double |
theta()
Get the mean reversion rate.
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public OrnsteinUhlenbeckProcess(double mu, double theta)
mu
- the overall meantheta
- the mean reversion ratepublic OrnsteinUhlenbeckProcess(double mu, double theta, double sigma)
mu
- the overall meantheta
- the mean reversion ratesigma
- the volatilitypublic OrnsteinUhlenbeckProcess(OrnsteinUhlenbeckProcess that)
that
- a univariate OU processCopyright © 2010-2020 NM FinTech Ltd.. All Rights Reserved.