TrinomialTreeSequenceMetrics.java

  1. package org.drip.dynamics.hullwhite;

  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>TrinomialTreeSequenceMetrics</i> records the Evolution Metrics of the Hull-White Model Trinomial Tree
  83.  * Sequence.
  84.  *
  85.  *  <br><br>
  86.  *  <ul>
  87.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  88.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
  89.  *      <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>
  90.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/dynamics/hullwhite/README.md">Hull White Latent State Evolution</a></li>
  91.  *  </ul>
  92.  *
  93.  * @author Lakshmi Krishnamurthy
  94.  */

  96. public class TrinomialTreeSequenceMetrics {
  97.     private java.util.Map<java.lang.String, java.lang.Double> _mapSourceTargetTransitionProbability = new
  98.         java.util.HashMap<java.lang.String, java.lang.Double>();

  100.     private java.util.Map<java.lang.String, java.lang.Double> _mapTargetSourceTransitionProbability = new
  101.         java.util.HashMap<java.lang.String, java.lang.Double>();

  103.     private java.util.Map<java.lang.String, org.drip.dynamics.hullwhite.TrinomialTreeNodeMetrics> _mapTTNM =
  104.         new java.util.HashMap<java.lang.String, org.drip.dynamics.hullwhite.TrinomialTreeNodeMetrics>();

  106.     private java.util.Map<java.lang.Long, org.drip.dynamics.hullwhite.TrinomialTreeTransitionMetrics>
  107.         _mapTTTM = new java.util.HashMap<java.lang.Long,
  108.             org.drip.dynamics.hullwhite.TrinomialTreeTransitionMetrics>();

  110.     private static final java.lang.String NodeMetricsKey (
  111.         final org.drip.dynamics.hullwhite.TrinomialTreeNodeMetrics hwnm)
  112.     {
  113.         return hwnm.timeIndex() + "," + hwnm.xStochasticIndex();
  114.     }

  116.     /**
  117.      * Empty TrinomialTreeSequenceMetrics Constructor
  118.      */

  120.     public TrinomialTreeSequenceMetrics()
  121.     {
  122.     }

  124.     /**
  125.      * Add a Path Transition Metrics Instance
  126.      * 
  127.      * @param hwtm The Path Transition Metrics Instance
  128.      * 
  129.      * @return TRUE - The Path Transition Metrics Instance successfully added
  130.      */

  132.     public boolean addTransitionMetrics (
  133.         final org.drip.dynamics.hullwhite.TrinomialTreeTransitionMetrics hwtm)
  134.     {
  135.         if (null == hwtm) return false;

  137.         _mapTTTM.put (hwtm.treeTimeIndex(), hwtm);

  139.         return true;
  140.     }

  142.     /**
  143.      * Retrieve the Transition Metrics associated with the specified Tree Time Index
  144.      * 
  145.      * @param lTreeTimeIndex The Tree Time Index
  146.      * 
  147.      * @return The Transition Metrics associated with the specified Tree Time Index
  148.      */

  150.     public org.drip.dynamics.hullwhite.TrinomialTreeTransitionMetrics transitionMetrics (
  151.         final long lTreeTimeIndex)
  152.     {
  153.         return _mapTTTM.containsKey (lTreeTimeIndex) ? _mapTTTM.get (lTreeTimeIndex) : null;
  154.     }

  156.     /**
  157.      * Retrieve the Transition Metrics Map
  158.      * 
  159.      * @return The Transition Metrics Map
  160.      */

  162.     public java.util.Map<java.lang.Long, org.drip.dynamics.hullwhite.TrinomialTreeTransitionMetrics>
  163.         transitionMetrics()
  164.     {
  165.         return _mapTTTM;
  166.     }

  168.     /**
  169.      * Add the Hull-White Node Metrics Instance
  170.      * 
  171.      * @param hwnm The Hull-White Node Metrics Instance
  172.      * 
  173.      * @return The Node Met5rics Instance successfully added
  174.      */

  176.     public boolean addNodeMetrics (
  177.         final org.drip.dynamics.hullwhite.TrinomialTreeNodeMetrics hwnm)
  178.     {
  179.         if (null == hwnm) return false;

  181.         _mapTTNM.put (NodeMetricsKey (hwnm), hwnm);

  183.         return true;
  184.     }

  186.     /**
  187.      * Retrieve the Node Metrics from the corresponding Tree Time/Space Indexes
  188.      * 
  189.      * @param lTreeTimeIndex The Tree Time Index
  190.      * @param lTreeStochasticIndex The Tree Space Index
  191.      * 
  192.      * @return The Node Metrics
  193.      */

  195.     public org.drip.dynamics.hullwhite.TrinomialTreeNodeMetrics nodeMetrics (
  196.         final long lTreeTimeIndex,
  197.         final long lTreeStochasticIndex)
  198.     {
  199.         java.lang.String strKey = lTreeTimeIndex + "," + lTreeStochasticIndex;

  201.         return _mapTTNM.containsKey (strKey) ? _mapTTNM.get (strKey) : null;
  202.     }

  204.     /**
  205.      * Retrieve the Node Metrics Map
  206.      * 
  207.      * @return The Node Metrics Map
  208.      */

  210.     public java.util.Map<java.lang.String, org.drip.dynamics.hullwhite.TrinomialTreeNodeMetrics>
  211.         nodeMetrics()
  212.     {
  213.         return _mapTTNM;
  214.     }

  216.     /**
  217.      * Set the Transition Probability for the specified Pair of Nodes
  218.      * 
  219.      * @param hwnmSource Source Node
  220.      * @param hwnmTarget Target Node
  221.      * @param dblTransitionProbability The Transition Probability
  222.      * 
  223.      * @return TRUE - The Transition Probability Successfully set
  224.      */

  226.     public boolean setTransitionProbability (
  227.         final org.drip.dynamics.hullwhite.TrinomialTreeNodeMetrics hwnmSource,
  228.         final org.drip.dynamics.hullwhite.TrinomialTreeNodeMetrics hwnmTarget,
  229.         final double dblTransitionProbability)
  230.     {
  231.         if (null == hwnmSource || null == hwnmTarget || !org.drip.numerical.common.NumberUtil.IsValid
  232.             (dblTransitionProbability) || 0. >= dblTransitionProbability || 1. < dblTransitionProbability)
  233.             return false;

  235.         java.lang.String strSourceNodeKey = NodeMetricsKey (hwnmSource);

  237.         java.lang.String strTargetNodeKey = NodeMetricsKey (hwnmTarget);

  239.         _mapSourceTargetTransitionProbability.put (strSourceNodeKey + "#" + strTargetNodeKey,
  240.             dblTransitionProbability);

  242.         _mapTargetSourceTransitionProbability.put (strTargetNodeKey + "#" + strSourceNodeKey,
  243.             dblTransitionProbability);

  245.         return true;
  246.     }

  248.     /**
  249.      * Retrieve the Source-To-Target Transition Probability
  250.      * 
  251.      * @param hwnmSource Source Node
  252.      * @param hwnmTarget Target Node
  253.      * 
  254.      * @return The Source-To-Target Transition Probability
  255.      * 
  256.      * @throws java.lang.Exception Thrown if the Source-To-Target Transition Probability cannot be computed
  257.      */

  259.     public double sourceTargetTransitionProbability (
  260.         final org.drip.dynamics.hullwhite.TrinomialTreeNodeMetrics hwnmSource,
  261.         final org.drip.dynamics.hullwhite.TrinomialTreeNodeMetrics hwnmTarget)
  262.         throws java.lang.Exception
  263.     {
  264.         if (null == hwnmSource || null == hwnmTarget)
  265.             throw new java.lang.Exception
  266.                 ("TrinomialTreeSequenceMetrics::sourceTargetTransitionProbability => Invalid Inputs!");

  268.         java.lang.String strKey = NodeMetricsKey (hwnmSource) + "#" + NodeMetricsKey (hwnmTarget);

  270.         if (!_mapSourceTargetTransitionProbability.containsKey (strKey))
  271.             throw new java.lang.Exception
  272.                 ("TrinomialTreeSequenceMetrics::sourceTargetTransitionProbability => No Transition Entry!");

  274.         return _mapSourceTargetTransitionProbability.get (strKey);
  275.     }

  277.     /**
  278.      * Retrieve the FULL Source-Target Transition Probability Map
  279.      * 
  280.      * @return The Source-Target Transition Probability Map
  281.      */

  283.     public java.util.Map<java.lang.String, java.lang.Double> sourceTargetTransitionProbability()
  284.     {
  285.         return _mapSourceTargetTransitionProbability;
  286.     }

  288.     /**
  289.      * Retrieve the Target-From-Source Transition Probability
  290.      * 
  291.      * @param hwnmTarget Target Node
  292.      * @param hwnmSource Source Node
  293.      * 
  294.      * @return The Target-From-Source Transition Probability
  295.      * 
  296.      * @throws java.lang.Exception Thrown if the Target-From-Source Transition Probability cannot be computed
  297.      */

  299.     public double targetSourceTransitionProbability (
  300.         final org.drip.dynamics.hullwhite.TrinomialTreeNodeMetrics hwnmTarget,
  301.         final org.drip.dynamics.hullwhite.TrinomialTreeNodeMetrics hwnmSource)
  302.         throws java.lang.Exception
  303.     {
  304.         if (null == hwnmSource || null == hwnmTarget)
  305.             throw new java.lang.Exception
  306.                 ("TrinomialTreeSequenceMetrics::targetSourceTransitionProbability => Invalid Inputs!");

  308.         java.lang.String strKey = NodeMetricsKey (hwnmTarget) + "#" + NodeMetricsKey (hwnmSource);

  310.         if (!_mapTargetSourceTransitionProbability.containsKey (strKey))
  311.             throw new java.lang.Exception
  312.                 ("TrinomialTreeSequenceMetrics::targetSourceTransitionProbability => No Transition Entry!");

  314.         return _mapTargetSourceTransitionProbability.get (strKey);
  315.     }

  317.     /**
  318.      * Retrieve the FULL Target-Source Transition Probability Map
  319.      * 
  320.      * @return The Target-Source Transition Probability Map
  321.      */

  323.     public java.util.Map<java.lang.String, java.lang.Double> targetSourceTransitionProbability()
  324.     {
  325.         return _mapTargetSourceTransitionProbability;
  326.     }
  327. }
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