G2PlusPlus.java

  1. package org.drip.dynamics.hjm;

  3. /*
  4.  * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
  5.  */

  7. /*!
  8.  * Copyright (C) 2020 Lakshmi Krishnamurthy
  9.  * Copyright (C) 2019 Lakshmi Krishnamurthy
  10.  * Copyright (C) 2018 Lakshmi Krishnamurthy
  11.  * Copyright (C) 2017 Lakshmi Krishnamurthy
  12.  * Copyright (C) 2016 Lakshmi Krishnamurthy
  13.  * Copyright (C) 2015 Lakshmi Krishnamurthy
  14.  * 
  15.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  16.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  17.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  18.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  19.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  20.  *      and computational support.
  21.  *  
  22.  *      https://lakshmidrip.github.io/DROP/
  23.  *  
  24.  *  DROP is composed of three modules:
  25.  *  
  26.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  27.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  28.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  29.  * 
  30.  *  DROP Product Core implements libraries for the following:
  31.  *  - Fixed Income Analytics
  32.  *  - Loan Analytics
  33.  *  - Transaction Cost Analytics
  34.  * 
  35.  *  DROP Portfolio Core implements libraries for the following:
  36.  *  - Asset Allocation Analytics
  37.  *  - Asset Liability Management Analytics
  38.  *  - Capital Estimation Analytics
  39.  *  - Exposure Analytics
  40.  *  - Margin Analytics
  41.  *  - XVA Analytics
  42.  * 
  43.  *  DROP Computational Core implements libraries for the following:
  44.  *  - Algorithm Support
  45.  *  - Computation Support
  46.  *  - Function Analysis
  47.  *  - Model Validation
  48.  *  - Numerical Analysis
  49.  *  - Numerical Optimizer
  50.  *  - Spline Builder
  51.  *  - Statistical Learning
  52.  * 
  53.  *  Documentation for DROP is Spread Over:
  54.  * 
  55.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  56.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  57.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  58.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  59.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  60.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  61.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  62.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  63.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  64.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  65.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  66.  * 
  67.  *  Licensed under the Apache License, Version 2.0 (the "License");
  68.  *      you may not use this file except in compliance with the License.
  69.  *   
  70.  *  You may obtain a copy of the License at
  71.  *      http://www.apache.org/licenses/LICENSE-2.0
  72.  *  
  73.  *  Unless required by applicable law or agreed to in writing, software
  74.  *      distributed under the License is distributed on an "AS IS" BASIS,
  75.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  76.  *  
  77.  *  See the License for the specific language governing permissions and
  78.  *      limitations under the License.
  79.  */

  81. /**
  82.  * <i>G2PlusPlus</i> provides the Hull-White-type, but 2F Gaussian HJM Short Rate Dynamics Implementation.
  83.  *
  84.  *  <br><br>
  85.  *  <ul>
  86.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  87.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
  88.  *      <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/dynamics/README.md">HJM, Hull White, LMM, and SABR Dynamic Evolution Models</a></li>
  89.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/dynamics/hjm/README.md">HJM Based Latent State Evolution</a></li>
  90.  *  </ul>
  91.  *
  92.  * @author Lakshmi Krishnamurthy
  93.  */

  95. public class G2PlusPlus {
  96.     private double _dblA = java.lang.Double.NaN;
  97.     private double _dblB = java.lang.Double.NaN;
  98.     private double _dblEta = java.lang.Double.NaN;
  99.     private double _dblRho = java.lang.Double.NaN;
  100.     private double _dblSigma = java.lang.Double.NaN;
  101.     private org.drip.function.definition.R1ToR1 _auIFRInitial = null;
  102.     private org.drip.sequence.random.UnivariateSequenceGenerator[] _aRSG = null;

  104.     /**
  105.      * G2PlusPlus Constructor
  106.      * 
  107.      * @param dblSigma Sigma
  108.      * @param dblA A
  109.      * @param dblEta Eta
  110.      * @param dblB B
  111.      * @param aRSG Array of the Random Sequence Generators
  112.      * @param dblRho Rho
  113.      * @param auIFRInitial The Initial Instantaneous Forward Rate Term Structure
  114.      * 
  115.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  116.      */

  118.     public G2PlusPlus (
  119.         final double dblSigma,
  120.         final double dblA,
  121.         final double dblEta,
  122.         final double dblB,
  123.         final org.drip.sequence.random.UnivariateSequenceGenerator[] aRSG,
  124.         final double dblRho,
  125.         final org.drip.function.definition.R1ToR1 auIFRInitial)
  126.         throws java.lang.Exception
  127.     {
  128.         if (!org.drip.numerical.common.NumberUtil.IsValid (_dblSigma = dblSigma) ||
  129.             !org.drip.numerical.common.NumberUtil.IsValid (_dblA = dblA) ||
  130.                 !org.drip.numerical.common.NumberUtil.IsValid (_dblEta = dblEta) ||
  131.                     !org.drip.numerical.common.NumberUtil.IsValid (_dblB = dblB) || null == (_aRSG = aRSG) || 2
  132.                         != _aRSG.length || !org.drip.numerical.common.NumberUtil.IsValid (_dblRho = dblRho) ||
  133.                             null == (_auIFRInitial = auIFRInitial))
  134.             throw new java.lang.Exception ("G2PlusPlus ctr: Invalid Inputs");
  135.     }

  137.     /**
  138.      * Retrieve Sigma
  139.      * 
  140.      * @return Sigma
  141.      */

  143.     public double sigma()
  144.     {
  145.         return _dblSigma;
  146.     }

  148.     /**
  149.      * Retrieve A
  150.      * 
  151.      * @return A
  152.      */

  154.     public double a()
  155.     {
  156.         return _dblA;
  157.     }

  159.     /**
  160.      * Retrieve Eta
  161.      * 
  162.      * @return Eta
  163.      */

  165.     public double eta()
  166.     {
  167.         return _dblEta;
  168.     }

  170.     /**
  171.      * Retrieve B
  172.      * 
  173.      * @return B
  174.      */

  176.     public double b()
  177.     {
  178.         return _dblB;
  179.     }

  181.     /**
  182.      * Retrieve the Initial Instantaneous Forward Rate Term Structure
  183.      * 
  184.      * @return The Initial Instantaneous Forward Rate Term Structure
  185.      */

  187.     public org.drip.function.definition.R1ToR1 ifrInitialTermStructure()
  188.     {
  189.         return _auIFRInitial;
  190.     }

  192.     /**
  193.      * Retrieve the Random Sequence Generator Array
  194.      * 
  195.      * @return The Random Sequence Generator Array
  196.      */

  198.     public org.drip.sequence.random.UnivariateSequenceGenerator[] rsg()
  199.     {
  200.         return _aRSG;
  201.     }

  203.     /**
  204.      * Retrieve Rho
  205.      * 
  206.      * @return Rho
  207.      */

  209.     public double rho()
  210.     {
  211.         return _dblRho;
  212.     }

  214.     /**
  215.      * Compute the G2++ Phi
  216.      * 
  217.      * @param iSpotDate The Spot Date
  218.      * @param iViewDate The View Date
  219.      * 
  220.      * @return The G2++ Phi
  221.      * 
  222.      * @throws java.lang.Exception Thrown if the G2++ Phi cannot be computed
  223.      */

  225.     public double phi (
  226.         final int iSpotDate,
  227.         final int iViewDate)
  228.         throws java.lang.Exception
  229.     {
  230.         if (iSpotDate > iViewDate) throw new java.lang.Exception ("G2PlusPlus::phi => Invalid Inputs");

  232.         double dblSpotViewDCF = 1. * (iViewDate - iSpotDate) / 365.25;

  234.         double dblFactor1Phi = _dblSigma / _dblA * (1. - java.lang.Math.exp (-1. * _dblA * dblSpotViewDCF));

  236.         double dblFactor2Phi = _dblEta / _dblB * (1. - java.lang.Math.exp (-1. * _dblB * dblSpotViewDCF));

  238.         return _auIFRInitial.evaluate (iViewDate) + 0.5 * dblFactor1Phi * dblFactor1Phi + 0.5 * dblFactor2Phi
  239.             * dblFactor2Phi;
  240.     }

  242.     /**
  243.      * Compute the X Increment
  244.      * 
  245.      * @param iSpotDate The Spot Date
  246.      * @param iViewDate The View Date
  247.      * @param dblX The X Value
  248.      * @param iSpotTimeIncrement The Spot Time Increment
  249.      * 
  250.      * @return The X Increment
  251.      * 
  252.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  253.      */

  255.     public double deltaX (
  256.         final int iSpotDate,
  257.         final int iViewDate,
  258.         final double dblX,
  259.         final int iSpotTimeIncrement)
  260.         throws java.lang.Exception
  261.     {
  262.         if (iSpotDate > iViewDate || !org.drip.numerical.common.NumberUtil.IsValid (dblX))
  263.             throw new java.lang.Exception ("G2PlusPlus::deltaX => Invalid Inputs");

  265.         double dblAnnualizedIncrement = 1. * iSpotTimeIncrement / 365.25;

  267.         return -1. * _dblA * dblX * dblAnnualizedIncrement + _dblSigma * java.lang.Math.sqrt
  268.             (dblAnnualizedIncrement) * _aRSG[0].random();
  269.     }

  271.     /**
  272.      * Compute the Y Increment
  273.      * 
  274.      * @param iSpotDate The Spot Date
  275.      * @param iViewDate The View Date
  276.      * @param dblY The Y Value
  277.      * @param iSpotTimeIncrement The Spot Time Increment
  278.      * 
  279.      * @return The Y Increment
  280.      * 
  281.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  282.      */

  284.     public double deltaY (
  285.         final int iSpotDate,
  286.         final int iViewDate,
  287.         final double dblY,
  288.         final int iSpotTimeIncrement)
  289.         throws java.lang.Exception
  290.     {
  291.         if (iSpotDate > iViewDate || !org.drip.numerical.common.NumberUtil.IsValid (dblY))
  292.             throw new java.lang.Exception ("G2PlusPlus::deltaY => Invalid Inputs");

  294.         double dblAnnualizedIncrement = 1. * iSpotTimeIncrement / 365.25;

  296.         return -1. * _dblB * dblY * dblAnnualizedIncrement + _dblEta * java.lang.Math.sqrt
  297.             (dblAnnualizedIncrement) * _aRSG[1].random();
  298.     }
  299. }
Created with JaCoCo 0.7.9.201702052155