R1BrownianStochasticEvolver.java
package org.drip.dynamics.meanreverting;
/*
* -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
*/
/*!
* Copyright (C) 2020 Lakshmi Krishnamurthy
* Copyright (C) 2019 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>R1BrownianStochasticEvolver</i> implements the R<sup>1</sup> Brownian Stochastic Evolver. The
* References are:
*
* <br><br>
* <ul>
* <li>
* Doob, J. L. (1942): The Brownian Movement and Stochastic Equations <i>Annals of Mathematics</i>
* <b>43 (2)</b> 351-369
* </li>
* <li>
* Gardiner, C. W. (2009): <i>Stochastic Methods: A Handbook for the Natural and Social Sciences
* 4<sup>th</sup> Edition</i> <b>Springer-Verlag</b>
* </li>
* <li>
* Kadanoff, L. P. (2000): <i>Statistical Physics: Statics, Dynamics, and Re-normalization</i>
* <b>World Scientific</b>
* </li>
* <li>
* Karatzas, I., and S. E. Shreve (1991): <i>Brownian Motion and Stochastic Calculus 2<sup>nd</sup>
* Edition</i> <b>Springer-Verlag</b>
* </li>
* <li>
* Risken, H., and F. Till (1996): <i>The Fokker-Planck Equation – Methods of Solution and
* Applications</i> <b>Springer</b>
* </li>
* </ul>
*
* <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/meanreverting/README.md">Mean Reverting Stochastic Process Dynamics</a></li>
* </ul>
*
* @author Lakshmi Krishnamurthy
*/
public class R1BrownianStochasticEvolver
extends org.drip.dynamics.process.R1StochasticEvolver
{
/**
* Construct a Weiner Instance of R1BrownianStochasticEvolver Process
*
* @param timeWidth Wiener Time Width
*
* @return Weiner Instance of R1BrownianStochasticEvolver Process
*/
public static R1BrownianStochasticEvolver Wiener (
final double timeWidth)
{
try
{
return new R1BrownianStochasticEvolver (
new org.drip.dynamics.ito.R1WienerDriver (
timeWidth
)
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
/**
* R1BrownianStochasticEvolver Constructor
*
* @param r1StochasticDriver The Stochastic Driver
*
* @throws java.lang.Exception Thrown if the Inputs are Invalid
*/
public R1BrownianStochasticEvolver (
final org.drip.dynamics.ito.R1StochasticDriver r1StochasticDriver)
throws java.lang.Exception
{
super (
new org.drip.dynamics.ito.R1ToR1Drift()
{
@Override public double drift (
final org.drip.dynamics.ito.TimeR1Vertex r1TimeVertex)
throws java.lang.Exception
{
if (null == r1TimeVertex)
{
throw new java.lang.Exception (
"R1BrownianStochasticEvolver::drift => Invalid Inputs"
);
}
return 0.;
}
},
new org.drip.dynamics.ito.R1ToR1Volatility()
{
@Override public double volatility (
final org.drip.dynamics.ito.TimeR1Vertex r1TimeVertex)
throws java.lang.Exception
{
if (null == r1TimeVertex)
{
throw new java.lang.Exception (
"R1BrownianStochasticEvolver::volatility => Invalid Inputs"
);
}
return 1.;
}
},
r1StochasticDriver
);
}
/**
* Compute the Expected Value of x at a time t from a Starting Value x0
*
* @param x0 Starting Variate
* @param t Time
*
* @return Expected Value of x
*
* @throws java.lang.Exception Thrown if the Inputs are Invalid
*/
public double mean (
final double x0,
final double t)
throws java.lang.Exception
{
if (!org.drip.numerical.common.NumberUtil.IsValid (
x0
) || !org.drip.numerical.common.NumberUtil.IsValid (
t
) || 0. > t
)
{
throw new java.lang.Exception (
"R1BrownianStochasticEvolver::mean => Invalid Inputs"
);
}
return x0;
}
/**
* Compute the Time Co-variance of x across Time Values t and s
*
* @param x0 Starting Variate
* @param s Time s
* @param t Time t
*
* @return Time Co-variance of x
*
* @throws java.lang.Exception Thrown if the Inputs are Invalid
*/
public double timeCovariance (
final double x0,
final double s,
final double t)
throws java.lang.Exception
{
if (!org.drip.numerical.common.NumberUtil.IsValid (
s
) || 0. > s || !org.drip.numerical.common.NumberUtil.IsValid (
t
) || 0. > t
)
{
throw new java.lang.Exception (
"R1BrownianStochasticEvolver::timeCovariance => Invalid Inputs"
);
}
return s > t ? s - t : t - s;
}
@Override public org.drip.measure.statistics.PopulationCentralMeasures
temporalPopulationCentralMeasures (
final double x0,
final double t)
{
try
{
return new org.drip.measure.statistics.PopulationCentralMeasures (
x0,
t
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
@Override public org.drip.measure.statistics.PopulationCentralMeasures
steadyStatePopulationCentralMeasures (
final double x0)
{
try
{
return new org.drip.measure.statistics.PopulationCentralMeasures (
x0,
java.lang.Double.POSITIVE_INFINITY
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
@Override public org.drip.dynamics.kolmogorov.R1FokkerPlanck fokkerPlanckGenerator()
{
try
{
return new org.drip.dynamics.kolmogorov.R1FokkerPlanckBrownian();
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
}