G2PlusPlus.java
package org.drip.dynamics.hjm;
/*
* -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
*/
/*!
* Copyright (C) 2020 Lakshmi Krishnamurthy
* Copyright (C) 2019 Lakshmi Krishnamurthy
* Copyright (C) 2018 Lakshmi Krishnamurthy
* Copyright (C) 2017 Lakshmi Krishnamurthy
* Copyright (C) 2016 Lakshmi Krishnamurthy
* Copyright (C) 2015 Lakshmi Krishnamurthy
*
* This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
* asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
* analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
* equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
* numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
* and computational support.
*
* https://lakshmidrip.github.io/DROP/
*
* DROP is composed of three modules:
*
* - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
* - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
* - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
*
* DROP Product Core implements libraries for the following:
* - Fixed Income Analytics
* - Loan Analytics
* - Transaction Cost Analytics
*
* DROP Portfolio Core implements libraries for the following:
* - Asset Allocation Analytics
* - Asset Liability Management Analytics
* - Capital Estimation Analytics
* - Exposure Analytics
* - Margin Analytics
* - XVA Analytics
*
* DROP Computational Core implements libraries for the following:
* - Algorithm Support
* - Computation Support
* - Function Analysis
* - Model Validation
* - Numerical Analysis
* - Numerical Optimizer
* - Spline Builder
* - Statistical Learning
*
* Documentation for DROP is Spread Over:
*
* - Main => https://lakshmidrip.github.io/DROP/
* - Wiki => https://github.com/lakshmiDRIP/DROP/wiki
* - GitHub => https://github.com/lakshmiDRIP/DROP
* - Repo Layout Taxonomy => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
* - Javadoc => https://lakshmidrip.github.io/DROP/Javadoc/index.html
* - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
* - Release Versions => https://lakshmidrip.github.io/DROP/version.html
* - Community Credits => https://lakshmidrip.github.io/DROP/credits.html
* - Issues Catalog => https://github.com/lakshmiDRIP/DROP/issues
* - JUnit => https://lakshmidrip.github.io/DROP/junit/index.html
* - Jacoco => https://lakshmidrip.github.io/DROP/jacoco/index.html
*
* Licensed under the Apache License, Version 2.0 (the "License");
* you may not use this file except in compliance with the License.
*
* You may obtain a copy of the License at
* http://www.apache.org/licenses/LICENSE-2.0
*
* Unless required by applicable law or agreed to in writing, software
* distributed under the License is distributed on an "AS IS" BASIS,
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
*
* See the License for the specific language governing permissions and
* limitations under the License.
*/
/**
* <i>G2PlusPlus</i> provides the Hull-White-type, but 2F Gaussian HJM Short Rate Dynamics Implementation.
*
* <br><br>
* <ul>
* <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
* <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
* <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>
* <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>
* </ul>
*
* @author Lakshmi Krishnamurthy
*/
public class G2PlusPlus {
private double _dblA = java.lang.Double.NaN;
private double _dblB = java.lang.Double.NaN;
private double _dblEta = java.lang.Double.NaN;
private double _dblRho = java.lang.Double.NaN;
private double _dblSigma = java.lang.Double.NaN;
private org.drip.function.definition.R1ToR1 _auIFRInitial = null;
private org.drip.sequence.random.UnivariateSequenceGenerator[] _aRSG = null;
/**
* G2PlusPlus Constructor
*
* @param dblSigma Sigma
* @param dblA A
* @param dblEta Eta
* @param dblB B
* @param aRSG Array of the Random Sequence Generators
* @param dblRho Rho
* @param auIFRInitial The Initial Instantaneous Forward Rate Term Structure
*
* @throws java.lang.Exception Thrown if the Inputs are Invalid
*/
public G2PlusPlus (
final double dblSigma,
final double dblA,
final double dblEta,
final double dblB,
final org.drip.sequence.random.UnivariateSequenceGenerator[] aRSG,
final double dblRho,
final org.drip.function.definition.R1ToR1 auIFRInitial)
throws java.lang.Exception
{
if (!org.drip.numerical.common.NumberUtil.IsValid (_dblSigma = dblSigma) ||
!org.drip.numerical.common.NumberUtil.IsValid (_dblA = dblA) ||
!org.drip.numerical.common.NumberUtil.IsValid (_dblEta = dblEta) ||
!org.drip.numerical.common.NumberUtil.IsValid (_dblB = dblB) || null == (_aRSG = aRSG) || 2
!= _aRSG.length || !org.drip.numerical.common.NumberUtil.IsValid (_dblRho = dblRho) ||
null == (_auIFRInitial = auIFRInitial))
throw new java.lang.Exception ("G2PlusPlus ctr: Invalid Inputs");
}
/**
* Retrieve Sigma
*
* @return Sigma
*/
public double sigma()
{
return _dblSigma;
}
/**
* Retrieve A
*
* @return A
*/
public double a()
{
return _dblA;
}
/**
* Retrieve Eta
*
* @return Eta
*/
public double eta()
{
return _dblEta;
}
/**
* Retrieve B
*
* @return B
*/
public double b()
{
return _dblB;
}
/**
* Retrieve the Initial Instantaneous Forward Rate Term Structure
*
* @return The Initial Instantaneous Forward Rate Term Structure
*/
public org.drip.function.definition.R1ToR1 ifrInitialTermStructure()
{
return _auIFRInitial;
}
/**
* Retrieve the Random Sequence Generator Array
*
* @return The Random Sequence Generator Array
*/
public org.drip.sequence.random.UnivariateSequenceGenerator[] rsg()
{
return _aRSG;
}
/**
* Retrieve Rho
*
* @return Rho
*/
public double rho()
{
return _dblRho;
}
/**
* Compute the G2++ Phi
*
* @param iSpotDate The Spot Date
* @param iViewDate The View Date
*
* @return The G2++ Phi
*
* @throws java.lang.Exception Thrown if the G2++ Phi cannot be computed
*/
public double phi (
final int iSpotDate,
final int iViewDate)
throws java.lang.Exception
{
if (iSpotDate > iViewDate) throw new java.lang.Exception ("G2PlusPlus::phi => Invalid Inputs");
double dblSpotViewDCF = 1. * (iViewDate - iSpotDate) / 365.25;
double dblFactor1Phi = _dblSigma / _dblA * (1. - java.lang.Math.exp (-1. * _dblA * dblSpotViewDCF));
double dblFactor2Phi = _dblEta / _dblB * (1. - java.lang.Math.exp (-1. * _dblB * dblSpotViewDCF));
return _auIFRInitial.evaluate (iViewDate) + 0.5 * dblFactor1Phi * dblFactor1Phi + 0.5 * dblFactor2Phi
* dblFactor2Phi;
}
/**
* Compute the X Increment
*
* @param iSpotDate The Spot Date
* @param iViewDate The View Date
* @param dblX The X Value
* @param iSpotTimeIncrement The Spot Time Increment
*
* @return The X Increment
*
* @throws java.lang.Exception Thrown if the Inputs are Invalid
*/
public double deltaX (
final int iSpotDate,
final int iViewDate,
final double dblX,
final int iSpotTimeIncrement)
throws java.lang.Exception
{
if (iSpotDate > iViewDate || !org.drip.numerical.common.NumberUtil.IsValid (dblX))
throw new java.lang.Exception ("G2PlusPlus::deltaX => Invalid Inputs");
double dblAnnualizedIncrement = 1. * iSpotTimeIncrement / 365.25;
return -1. * _dblA * dblX * dblAnnualizedIncrement + _dblSigma * java.lang.Math.sqrt
(dblAnnualizedIncrement) * _aRSG[0].random();
}
/**
* Compute the Y Increment
*
* @param iSpotDate The Spot Date
* @param iViewDate The View Date
* @param dblY The Y Value
* @param iSpotTimeIncrement The Spot Time Increment
*
* @return The Y Increment
*
* @throws java.lang.Exception Thrown if the Inputs are Invalid
*/
public double deltaY (
final int iSpotDate,
final int iViewDate,
final double dblY,
final int iSpotTimeIncrement)
throws java.lang.Exception
{
if (iSpotDate > iViewDate || !org.drip.numerical.common.NumberUtil.IsValid (dblY))
throw new java.lang.Exception ("G2PlusPlus::deltaY => Invalid Inputs");
double dblAnnualizedIncrement = 1. * iSpotTimeIncrement / 365.25;
return -1. * _dblB * dblY * dblAnnualizedIncrement + _dblEta * java.lang.Math.sqrt
(dblAnnualizedIncrement) * _aRSG[1].random();
}
}