TrinomialTreeTransitionMetrics.java
package org.drip.dynamics.hullwhite;
/*
* -*- 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>TrinomialTreeTransitionMetrics</i> records the Transition Metrics associated with Node-to-Node
* Evolution of the Instantaneous Short Rate using the Hull-White Model Trinomial Tree.
*
* <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/hullwhite/README.md">Hull White Latent State Evolution</a></li>
* </ul>
*
* @author Lakshmi Krishnamurthy
*/
public class TrinomialTreeTransitionMetrics {
private long _lTreeTimeIndex = -1L;
private long _lTreeStochasticBaseIndex = -1L;
private long _lTreeStochasticDisplacementIndex = -1L;
private double _dblXVariance = java.lang.Double.NaN;
private double _dblTerminalAlpha = java.lang.Double.NaN;
private double _dblProbabilityUp = java.lang.Double.NaN;
private int _iInitialDate = java.lang.Integer.MIN_VALUE;
private int _iTerminalDate = java.lang.Integer.MIN_VALUE;
private double _dblProbabilityDown = java.lang.Double.NaN;
private double _dblProbabilityStay = java.lang.Double.NaN;
private double _dblXStochasticShift = java.lang.Double.NaN;
private double _dblExpectedTerminalX = java.lang.Double.NaN;
/**
* TrinomialTreeTransitionMetrics Constructor
*
* @param iInitialDate The Initial Date
* @param iTerminalDate The Terminal/Final Date
* @param lTreeTimeIndex The Tree Time Index
* @param lTreeStochasticBaseIndex The Tree Stochastic Base Index
* @param dblExpectedTerminalX Expectation of the Final/Terminal Value for X
* @param dblXVariance Variance of X
* @param dblTerminalAlpha The Final/Terminal Alpha
*
* @throws java.lang.Exception Thrown if the Inputs are Invalid
*/
public TrinomialTreeTransitionMetrics (
final int iInitialDate,
final int iTerminalDate,
final long lTreeTimeIndex,
final long lTreeStochasticBaseIndex,
final double dblExpectedTerminalX,
final double dblXVariance,
final double dblTerminalAlpha)
throws java.lang.Exception
{
if (0 > (_lTreeTimeIndex = lTreeTimeIndex) || !org.drip.numerical.common.NumberUtil.IsValid
(_dblExpectedTerminalX = dblExpectedTerminalX) || !org.drip.numerical.common.NumberUtil.IsValid
(_dblXVariance = dblXVariance) || !org.drip.numerical.common.NumberUtil.IsValid
(_dblTerminalAlpha = dblTerminalAlpha))
throw new java.lang.Exception ("TrinomialTreeTransitionMetrics ctr: Invalid Inputs");
_dblXStochasticShift = java.lang.Math.sqrt (_dblXVariance * 3.);
_lTreeStochasticDisplacementIndex = java.lang.Math.round (_dblExpectedTerminalX /
_dblXStochasticShift);
_iInitialDate = iInitialDate;
_iTerminalDate = iTerminalDate;
_lTreeStochasticBaseIndex = lTreeStochasticBaseIndex;
double dblEta = _dblExpectedTerminalX - _lTreeStochasticDisplacementIndex * _dblXStochasticShift;
_dblProbabilityStay = (2. / 3.) - (dblEta * dblEta / (3. * _dblXVariance));
_dblProbabilityDown = (1. / 6.) + (dblEta * dblEta / (6. * _dblXVariance)) - (0.5 * dblEta /
_dblXStochasticShift);
_dblProbabilityUp = (1. / 6.) + (dblEta * dblEta / (6. * _dblXVariance)) + (0.5 * dblEta /
_dblXStochasticShift);
}
/**
* Retrieve the Initial Date
*
* @return The Initial Date
*/
public int initialDate()
{
return _iInitialDate;
}
/**
* Retrieve the Terminal Date
*
* @return The Terminal Date
*/
public int terminalDate()
{
return _iTerminalDate;
}
/**
* Retrieve the Tree Time Index
*
* @return The Tree Time Index
*/
public long treeTimeIndex()
{
return _lTreeTimeIndex;
}
/**
* Retrieve the Expected Final/Terminal Value for X
*
* @return The Expected Final/Terminal Value for X
*/
public double expectedTerminalX()
{
return _dblExpectedTerminalX;
}
/**
* Retrieve the Variance in the Final Value of X
*
* @return The Variance in the Final Value of X
*/
public double xVariance()
{
return _dblXVariance;
}
/**
* Retrieve the Stochastic Shift of X
*
* @return The Stochastic Shift of X
*/
public double xStochasticShift()
{
return _dblXStochasticShift;
}
/**
* Retrieve the Tree Stochastic Displacement Index
*
* @return The Tree Stochastic Displacement Index
*/
public long treeStochasticDisplacementIndex()
{
return _lTreeStochasticDisplacementIndex;
}
/**
* Retrieve the Probability of the Up Stochastic Shift
*
* @return Probability of the Up Stochastic Shift
*/
public double probabilityUp()
{
return _dblProbabilityUp;
}
/**
* Retrieve the Probability of the Down Stochastic Shift
*
* @return Probability of the Down Stochastic Shift
*/
public double probabilityDown()
{
return _dblProbabilityDown;
}
/**
* Retrieve the Probability of the No Shift
*
* @return Probability of the No Shift
*/
public double probabilityStay()
{
return _dblProbabilityStay;
}
/**
* Retrieve the "Up" Value for X
*
* @return The "Up" Value for X
*/
public double xUp()
{
return (_lTreeStochasticDisplacementIndex + 1) * _dblXStochasticShift;
}
/**
* Retrieve the "Down" Value for X
*
* @return The "Down" Value for X
*/
public double xDown()
{
return (_lTreeStochasticDisplacementIndex - 1) * _dblXStochasticShift;
}
/**
* Retrieve the Final/Terminal Alpha
*
* @return The Final/Terminal Alpha
*/
public double terminalAlpha()
{
return _dblTerminalAlpha;
}
/**
* Retrieve the "Up" Node Metrics
*
* @return The "Up" Node Metrics
*/
public org.drip.dynamics.hullwhite.TrinomialTreeNodeMetrics upNodeMetrics()
{
try {
return new org.drip.dynamics.hullwhite.TrinomialTreeNodeMetrics (_lTreeTimeIndex,
_lTreeStochasticBaseIndex + 1, (_lTreeStochasticDisplacementIndex + 1) *
_dblXStochasticShift, _dblTerminalAlpha);
} catch (java.lang.Exception e) {
e.printStackTrace();
}
return null;
}
/**
* Retrieve the "Down" Node Metrics
*
* @return The "Down" Node Metrics
*/
public org.drip.dynamics.hullwhite.TrinomialTreeNodeMetrics downNodeMetrics()
{
try {
return new org.drip.dynamics.hullwhite.TrinomialTreeNodeMetrics (_lTreeTimeIndex,
_lTreeStochasticBaseIndex - 1, (_lTreeStochasticDisplacementIndex - 1) *
_dblXStochasticShift, _dblTerminalAlpha);
} catch (java.lang.Exception e) {
e.printStackTrace();
}
return null;
}
/**
* Retrieve the "Stay" Node Metrics
*
* @return The "Stay" Node Metrics
*/
public org.drip.dynamics.hullwhite.TrinomialTreeNodeMetrics stayNodeMetrics()
{
try {
return new org.drip.dynamics.hullwhite.TrinomialTreeNodeMetrics (_lTreeTimeIndex,
_lTreeStochasticBaseIndex, _lTreeStochasticDisplacementIndex * _dblXStochasticShift,
_dblTerminalAlpha);
} catch (java.lang.Exception e) {
e.printStackTrace();
}
return null;
}
}