R1BrownianStochasticEvolver.java

  1. package org.drip.dynamics.meanreverting;

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

  77. /**
  78.  * <i>R1BrownianStochasticEvolver</i> implements the R<sup>1</sup> Brownian Stochastic Evolver. The
  79.  *  References are:
  80.  *  
  81.  *  <br><br>
  82.  *  <ul>
  83.  *      <li>
  84.  *          Doob, J. L. (1942): The Brownian Movement and Stochastic Equations <i>Annals of Mathematics</i>
  85.  *              <b>43 (2)</b> 351-369
  86.  *      </li>
  87.  *      <li>
  88.  *          Gardiner, C. W. (2009): <i>Stochastic Methods: A Handbook for the Natural and Social Sciences
  89.  *              4<sup>th</sup> Edition</i> <b>Springer-Verlag</b>
  90.  *      </li>
  91.  *      <li>
  92.  *          Kadanoff, L. P. (2000): <i>Statistical Physics: Statics, Dynamics, and Re-normalization</i>
  93.  *              <b>World Scientific</b>
  94.  *      </li>
  95.  *      <li>
  96.  *          Karatzas, I., and S. E. Shreve (1991): <i>Brownian Motion and Stochastic Calculus 2<sup>nd</sup>
  97.  *              Edition</i> <b>Springer-Verlag</b>
  98.  *      </li>
  99.  *      <li>
  100.  *          Risken, H., and F. Till (1996): <i>The Fokker-Planck Equation – Methods of Solution and
  101.  *              Applications</i> <b>Springer</b>
  102.  *      </li>
  103.  *  </ul>
  104.  *
  105.  *  <br><br>
  106.  *  <ul>
  107.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  108.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
  109.  *      <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>
  110.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/dynamics/meanreverting/README.md">Mean Reverting Stochastic Process Dynamics</a></li>
  111.  *  </ul>
  112.  *
  113.  * @author Lakshmi Krishnamurthy
  114.  */

  116. public class R1BrownianStochasticEvolver
  117.     extends org.drip.dynamics.process.R1StochasticEvolver
  118. {

  120.     /**
  121.      * Construct a Weiner Instance of R1BrownianStochasticEvolver Process
  122.      * 
  123.      * @param timeWidth Wiener Time Width
  124.      * 
  125.      * @return Weiner Instance of R1BrownianStochasticEvolver Process
  126.      */

  128.     public static R1BrownianStochasticEvolver Wiener (
  129.         final double timeWidth)
  130.     {
  131.         try
  132.         {
  133.             return new R1BrownianStochasticEvolver (
  134.                 new org.drip.dynamics.ito.R1WienerDriver (
  135.                     timeWidth
  136.                 )
  137.             );
  138.         }
  139.         catch (java.lang.Exception e)
  140.         {
  141.             e.printStackTrace();
  142.         }

  144.         return null;
  145.     }

  147.     /**
  148.      * R1BrownianStochasticEvolver Constructor
  149.      * 
  150.      * @param r1StochasticDriver The Stochastic Driver
  151.      * 
  152.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  153.      */

  155.     public R1BrownianStochasticEvolver (
  156.         final org.drip.dynamics.ito.R1StochasticDriver r1StochasticDriver)
  157.         throws java.lang.Exception
  158.     {
  159.         super (
  160.             new org.drip.dynamics.ito.R1ToR1Drift()
  161.             {
  162.                 @Override public double drift (
  163.                     final org.drip.dynamics.ito.TimeR1Vertex r1TimeVertex)
  164.                     throws java.lang.Exception
  165.                 {
  166.                     if (null == r1TimeVertex)
  167.                     {
  168.                         throw new java.lang.Exception (
  169.                             "R1BrownianStochasticEvolver::drift => Invalid Inputs"
  170.                         );
  171.                     }

  173.                     return 0.;
  174.                 }
  175.             },
  176.             new org.drip.dynamics.ito.R1ToR1Volatility()
  177.             {
  178.                 @Override public double volatility (
  179.                     final org.drip.dynamics.ito.TimeR1Vertex r1TimeVertex)
  180.                     throws java.lang.Exception
  181.                 {
  182.                     if (null == r1TimeVertex)
  183.                     {
  184.                         throw new java.lang.Exception (
  185.                             "R1BrownianStochasticEvolver::volatility => Invalid Inputs"
  186.                         );
  187.                     }

  189.                     return 1.;
  190.                 }
  191.             },
  192.             r1StochasticDriver
  193.         );
  194.     }

  196.     /**
  197.      * Compute the Expected Value of x at a time t from a Starting Value x0
  198.      * 
  199.      * @param x0 Starting Variate
  200.      * @param t Time
  201.      * 
  202.      * @return Expected Value of x
  203.      * 
  204.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  205.      */

  207.     public double mean (
  208.         final double x0,
  209.         final double t)
  210.         throws java.lang.Exception
  211.     {
  212.         if (!org.drip.numerical.common.NumberUtil.IsValid (
  213.                 x0
  214.             ) || !org.drip.numerical.common.NumberUtil.IsValid (
  215.                 t
  216.             ) || 0. > t
  217.         )
  218.         {
  219.             throw new java.lang.Exception (
  220.                 "R1BrownianStochasticEvolver::mean => Invalid Inputs"
  221.             );
  222.         }

  224.         return x0;
  225.     }

  227.     /**
  228.      * Compute the Time Co-variance of x across Time Values t and s
  229.      * 
  230.      * @param x0 Starting Variate
  231.      * @param s Time s
  232.      * @param t Time t
  233.      * 
  234.      * @return Time Co-variance of x
  235.      * 
  236.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  237.      */

  239.     public double timeCovariance (
  240.         final double x0,
  241.         final double s,
  242.         final double t)
  243.         throws java.lang.Exception
  244.     {
  245.         if (!org.drip.numerical.common.NumberUtil.IsValid (
  246.                 s
  247.             ) || 0. > s || !org.drip.numerical.common.NumberUtil.IsValid (
  248.                 t
  249.             ) || 0. > t
  250.         )
  251.         {
  252.             throw new java.lang.Exception (
  253.                 "R1BrownianStochasticEvolver::timeCovariance => Invalid Inputs"
  254.             );
  255.         }

  257.         return s > t ? s - t : t - s;
  258.     }

  260.     @Override public org.drip.measure.statistics.PopulationCentralMeasures
  261.         temporalPopulationCentralMeasures (
  262.             final double x0,
  263.             final double t)
  264.     {
  265.         try
  266.         {
  267.             return new org.drip.measure.statistics.PopulationCentralMeasures (
  268.                 x0,
  269.                 t
  270.             );
  271.         }
  272.         catch (java.lang.Exception e)
  273.         {
  274.             e.printStackTrace();
  275.         }

  277.         return null;
  278.     }

  280.     @Override public org.drip.measure.statistics.PopulationCentralMeasures
  281.         steadyStatePopulationCentralMeasures (
  282.             final double x0)
  283.     {
  284.         try
  285.         {
  286.             return new org.drip.measure.statistics.PopulationCentralMeasures (
  287.                 x0,
  288.                 java.lang.Double.POSITIVE_INFINITY
  289.             );
  290.         }
  291.         catch (java.lang.Exception e)
  292.         {
  293.             e.printStackTrace();
  294.         }

  296.         return null;
  297.     }

  299.     @Override public org.drip.dynamics.kolmogorov.R1FokkerPlanck fokkerPlanckGenerator()
  300.     {
  301.         try
  302.         {
  303.             return new org.drip.dynamics.kolmogorov.R1FokkerPlanckBrownian();
  304.         }
  305.         catch (java.lang.Exception e)
  306.         {
  307.             e.printStackTrace();
  308.         }

  310.         return null;
  311.     }
  312. }
Created with JaCoCo 0.7.9.201702052155