LangevinEvolver.java

  1. package org.drip.dynamics.physical;

  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>LangevinEvolver</i> implements the Noisy Elastic Relaxation Process in a Friction-Thermal Background.
  79.  *  The 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/physical/README.md">Implementation of Physical Process Dynamics</a></li>
  111.  *  </ul>
  112.  *
  113.  * @author Lakshmi Krishnamurthy
  114.  */

  116. public class LangevinEvolver
  117.     extends org.drip.dynamics.meanreverting.R1VasicekStochasticEvolver
  118. {
  119.     private double _restLength = java.lang.Double.NaN;
  120.     private double _temperature = java.lang.Double.NaN;
  121.     private double _dampingCoefficient = java.lang.Double.NaN;
  122.     private double _elasticityCoefficient = java.lang.Double.NaN;

  124.     /**
  125.      * R1NoisyRelaxationDrift Constructor
  126.      * 
  127.      * @param elasticityCoefficient Elastic Coefficient
  128.      * @param dampingCoefficient Damping Coefficient
  129.      * @param restLength Rest Length
  130.      * @param temperature The Temperature
  131.      * @param r1StochasticDriver The Stochastic Driver
  132.      * 
  133.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  134.      */

  136.     public LangevinEvolver (
  137.         final double elasticityCoefficient,
  138.         final double dampingCoefficient,
  139.         final double restLength,
  140.         final double temperature,
  141.         final org.drip.dynamics.ito.R1StochasticDriver r1StochasticDriver)
  142.         throws java.lang.Exception
  143.     {
  144.         super (
  145.             elasticityCoefficient / dampingCoefficient,
  146.             restLength,
  147.             java.lang.Math.sqrt (
  148.                 2. * org.drip.dynamics.physical.FundamentalConstants.BOLTZMANN * temperature /
  149.                     dampingCoefficient
  150.             ),
  151.             r1StochasticDriver
  152.         );

  154.         if (!org.drip.numerical.common.NumberUtil.IsValid (
  155.                 _elasticityCoefficient = elasticityCoefficient
  156.             ) || 0. >= _elasticityCoefficient || !org.drip.numerical.common.NumberUtil.IsValid (
  157.                 _dampingCoefficient = dampingCoefficient
  158.             ) || 0. >= _dampingCoefficient || !org.drip.numerical.common.NumberUtil.IsValid (
  159.                 _restLength = restLength
  160.             ) || 0. >= _restLength || !org.drip.numerical.common.NumberUtil.IsValid (
  161.                 _temperature = temperature
  162.             ) || 0. >= _temperature
  163.         )
  164.         {
  165.             throw new java.lang.Exception (
  166.                 "R1NoisyRelaxationDrift Constructor => Invalid Inputs"
  167.             );
  168.         }
  169.     }

  171.     /**
  172.      * Retrieve the Elasticity Coefficient
  173.      * 
  174.      * @return The Elasticity Coefficient
  175.      */

  177.     public double elasticityCoefficient()
  178.     {
  179.         return _elasticityCoefficient;
  180.     }

  182.     /**
  183.      * Retrieve the Damping Coefficient
  184.      * 
  185.      * @return The Damping Coefficient
  186.      */

  188.     public double dampingCoefficient()
  189.     {
  190.         return _dampingCoefficient;
  191.     }

  193.     /**
  194.      * Retrieve the Rest Length
  195.      * 
  196.      * @return The Rest Length
  197.      */

  199.     public double restLength()
  200.     {
  201.         return _restLength;
  202.     }

  204.     /**
  205.      * Retrieve the Temperature
  206.      * 
  207.      * @return The Temperature
  208.      */

  210.     public double temperature()
  211.     {
  212.         return _temperature;
  213.     }

  215.     /**
  216.      * Retrieve the Equi-Partition Energy
  217.      * 
  218.      * @return The Equi-Partition Energy
  219.      */

  221.     public double equiPartitionEnergy()
  222.     {
  223.         return 0.5 * org.drip.dynamics.physical.FundamentalConstants.BOLTZMANN * _temperature;
  224.     }

  226.     /**
  227.      * Retrieve the Correlation Time
  228.      * 
  229.      * @return The Correlation Time
  230.      */

  232.     public double correlationTime()
  233.     {
  234.         return _dampingCoefficient / _elasticityCoefficient;
  235.     }

  237.     /**
  238.      * Retrieve the Stokes-Einstein Effective Diffusion Coefficient
  239.      * 
  240.      * @return The Stokes-Einstein Effective Diffusion Coefficient
  241.      */

  243.     public double stokesEinsteinEffectiveDiffusionCoefficient()
  244.     {
  245.         return org.drip.dynamics.physical.FundamentalConstants.BOLTZMANN * _temperature /
  246.             _dampingCoefficient;
  247.     }

  249.     /**
  250.      * Retrieve the Fluctuation Co-variance
  251.      * 
  252.      * @param t The Time Snapshot
  253.      * 
  254.      * @return The Fluctuation Co-variance
  255.      * 
  256.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  257.      */

  259.     public double fluctuationCovariance (
  260.         final double t)
  261.         throws java.lang.Exception
  262.     {
  263.         if (!org.drip.numerical.common.NumberUtil.IsValid (
  264.             t
  265.         ))
  266.         {
  267.             throw new java.lang.Exception (
  268.                 "LangevinEvolver::fluctuationCovariance => Invalid Inputs"
  269.             );
  270.         }

  272.         return org.drip.dynamics.physical.FundamentalConstants.BOLTZMANN * _temperature /
  273.             _elasticityCoefficient * java.lang.Math.exp (
  274.                 -1. * java.lang.Math.abs (
  275.                     t
  276.                 ) / correlationTime()
  277.             );
  278.     }

  280.     /**
  281.      * Retrieve the Fluctuation Correlation
  282.      * 
  283.      * @param t The Time Snapshot
  284.      * 
  285.      * @return The Fluctuation Correlation
  286.      * 
  287.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  288.      */

  290.     public double fluctuationCorrelation (
  291.         final double t)
  292.         throws java.lang.Exception
  293.     {
  294.         return fluctuationCovariance (
  295.             t
  296.         ) / _restLength / _restLength;
  297.     }
  298. }
Created with JaCoCo 0.7.9.201702052155