Class diff_CIR

java.lang.Object
  diff_CIR

public class diff_CIR
extends java.lang.Object

CIR interest rate model in differential form, where r is the short term risk free rate of return, dt is the time step differential, r is pulled back to the mu-level at a rate of alpha, a represents the function a(r)=alpha(mu-r) used in the SDEIntegrator. The first derivative of a, d_a = -alpha. The sde is an SDEIntegrator used to find r(t+delta_t), where the function b(r,t) is the constant sigma

Field Summary

protected double	a
protected double	alpha
protected double	b
protected double	B_maturity
protected double	call
protected double	d_a
protected double	d_b
protected double	dd_a
protected double	dd_b
protected double	ddd_b
protected double	dt
protected double	mu
protected double	put
protected double	r
protected double	r0
protected SDEIntegrator	sde
protected double	sigma

Constructor Summary

diff_CIR()
Creates a new instance of diff_CIR with default values

diff_CIR(double _dt, double _mu, double _alpha, double _sigma, double _r0)
Creates a new instance of diff_CIR

Method Summary

DataCurve[]	gen_AverBondandIRvsMaturity(int n_sim, int n_points, double S)
DataCurve[]	gen_BondandIRvsMaturity(int n_points, double S) Curve[0] has the time dependent IR Curve[1] has the time dependent price of the Bond
double	get_a() gets a(r)
double	get_alpha() gets the rate alpha at which r(t) converges to mu
double	get_B_maturity()
double	get_b()
double	get_d_a()
double	get_d_b()
double	get_dd_a()
double	get_dd_b()
double	get_ddd_b()
double	get_dt()
double	get_mu() gets the long term average rate of return mu
double	get_r() gets the short term risk free interest rate
double	get_r0() gets the initial short term risk free interest rate
double	get_sigma() gets the volatility sigma of r(t)
static void	main(java.lang.String[] args)
void	set_a() sets the a(r) function used in the SDEIntegrator for the particular case of the Cox Ingersoll Ross Model
void	set_alpha(double _alpha) sets the rate at which r(t) goes back to mu
void	set_B_maturity(double b)
void	set_b() sets the b(r,t) function used in the SDEIntegrator
void	set_call(double c)
void	set_d_a()
void	set_d_b() sets the db(r,t)/dr function used in the SDEIntegrator
void	set_dd_a()
void	set_dd_b() sets the d^2b(r,t)/dr^2 function used in the SDEIntegrator
void	set_ddd_b() sets the d^3b(r,t)/dr^3 function used in the SDEIntegrator
void	set_dt(double _dt)
void	set_mu(double _mu) long term average interest rate
void	set_put(double p)
void	set_r(double _p) sets the short term risk free interest rate
void	set_r0(double _p) sets the initial short term risk free interest rate
void	set_SDE()
void	set_sigma(double _sigma) sets the volatility sigma of r(t)

Methods inherited from class java.lang.Object

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

Field Detail

r

protected double r

r0

protected double r0

B_maturity

protected double B_maturity

dt

protected double dt

a

protected double a

d_a

protected double d_a

dd_a

protected double dd_a

b

protected double b

d_b

protected double d_b

dd_b

protected double dd_b

ddd_b

protected double ddd_b

alpha

protected double alpha

mu

protected double mu

sigma

protected double sigma

call

protected double call

put

protected double put

sde

protected SDEIntegrator sde

Constructor Detail

diff_CIR

public diff_CIR()

Creates a new instance of diff_CIR with default values

diff_CIR

public diff_CIR(double _dt,
                double _mu,
                double _alpha,
                double _sigma,
                double _r0)

Creates a new instance of diff_CIR

Method Detail

set_a

public void set_a()

sets the a(r) function used in the SDEIntegrator for the particular case of the Cox Ingersoll Ross Model

set_d_a

public void set_d_a()

set_dd_a

public void set_dd_a()

set_b

public void set_b()

sets the b(r,t) function used in the SDEIntegrator

set_d_b

public void set_d_b()

sets the db(r,t)/dr function used in the SDEIntegrator

set_dd_b

public void set_dd_b()

sets the d^2b(r,t)/dr^2 function used in the SDEIntegrator

set_ddd_b

public void set_ddd_b()

sets the d^3b(r,t)/dr^3 function used in the SDEIntegrator

main

public static void main(java.lang.String[] args)

set_SDE

public void set_SDE()

set_B_maturity

public void set_B_maturity(double b)

get_B_maturity

public double get_B_maturity()

set_call

public void set_call(double c)

set_put

public void set_put(double p)

set_dt

public void set_dt(double _dt)

get_dt

public double get_dt()

get_a

public double get_a()

gets a(r)

get_d_a

public double get_d_a()

get_dd_a

public double get_dd_a()

set_r

public void set_r(double _p)

sets the short term risk free interest rate

set_r0

public void set_r0(double _p)

sets the initial short term risk free interest rate

set_alpha

public void set_alpha(double _alpha)

sets the rate at which r(t) goes back to mu

set_mu

public void set_mu(double _mu)

long term average interest rate

set_sigma

public void set_sigma(double _sigma)

sets the volatility sigma of r(t)

get_r

public double get_r()

gets the short term risk free interest rate

get_r0

public double get_r0()

gets the initial short term risk free interest rate

get_alpha

public double get_alpha()

gets the rate alpha at which r(t) converges to mu

get_mu

public double get_mu()

gets the long term average rate of return mu

get_sigma

public double get_sigma()

gets the volatility sigma of r(t)

get_b

public double get_b()

get_d_b

public double get_d_b()

get_dd_b

public double get_dd_b()

get_ddd_b

public double get_ddd_b()

gen_BondandIRvsMaturity

public DataCurve[] gen_BondandIRvsMaturity(int n_points,
                                           double S)

Curve[0] has the time dependent IR Curve[1] has the time dependent price of the Bond

gen_AverBondandIRvsMaturity

public DataCurve[] gen_AverBondandIRvsMaturity(int n_sim,
                                               int n_points,
                                               double S)