R1WhiteThermalFrictionalNoise.java

package org.drip.dynamics.physical;

/*
 * -*- 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
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 *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
 *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
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 *  - 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>R1WhiteThermalFrictionalNoise</i> implements the Volatility Function induced by the Background Thermal
 *  Noise in a Friction-Elastic System. 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/physical/README.md">Implementation of Physical Process Dynamics</a></li>
 *  </ul>
 *
 * @author Lakshmi Krishnamurthy
 */

public class R1WhiteThermalFrictionalNoise
    extends org.drip.dynamics.ito.R1ToR1Volatility
{
    private double _volatility = java.lang.Double.NaN;
    private double _temperature = java.lang.Double.NaN;
    private double _dampingCoefficient = java.lang.Double.NaN;

    /**
     * R1WhiteThermalFrictionalNoise Constructor
     * 
     * @param temperature The Temperature
     * @param dampingCoefficient The Damping Coefficient
     * 
     * @throws java.lang.Exception Thrown if the Inputs are Invalid
     */

    public R1WhiteThermalFrictionalNoise (
        final double temperature,
        final double dampingCoefficient)
        throws java.lang.Exception
    {
        if (!org.drip.numerical.common.NumberUtil.IsValid (
                _temperature = temperature
            ) || 0. >= _temperature || !org.drip.numerical.common.NumberUtil.IsValid (
                _dampingCoefficient = dampingCoefficient
            ) || 0. >= _dampingCoefficient
        )
        {
            throw new java.lang.Exception (
                "R1WhiteThermalFrictionalNoise Constructor => Invalid Inputs"
            );
        }

        _volatility = java.lang.Math.sqrt (
            2. * org.drip.dynamics.physical.FundamentalConstants.BOLTZMANN * _temperature /
                _dampingCoefficient
        );
    }

    /**
     * Retrieve the Temperature
     * 
     * @return The Temperature
     */

    public double temperature()
    {
        return _temperature;
    }

    /**
     * Retrieve the Damping Coefficient
     * 
     * @return The Damping Coefficient
     */

    public double dampingCoefficient()
    {
        return _dampingCoefficient;
    }

    /**
     * Retrieve the Volatility
     * 
     * @return The Volatility
     */

    public double volatility()
    {
        return _volatility;
    }

    @Override public double volatility (
        final org.drip.dynamics.ito.TimeR1Vertex r1TimeVertex)
        throws java.lang.Exception
    {
        if (null == r1TimeVertex)
        {
            throw new java.lang.Exception (
                "R1WhiteThermalFrictionalNoise::volatility => Invalid Inputs"
            );
        }

        return _volatility;
    }
}