R1StochasticEvolver.java

  1. package org.drip.dynamics.process;

  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>R1StochasticEvolver</i> implements the R<sup>1</sup> Stochastic Evolver. The References are:
  79.  *  
  80.  *  <br><br>
  81.  *  <ul>
  82.  *      <li>
  83.  *          Doob, J. L. (1942): The Brownian Movement and Stochastic Equations <i>Annals of Mathematics</i>
  84.  *              <b>43 (2)</b> 351-369
  85.  *      </li>
  86.  *      <li>
  87.  *          Gardiner, C. W. (2009): <i>Stochastic Methods: A Handbook for the Natural and Social Sciences
  88.  *              4<sup>th</sup> Edition</i> <b>Springer-Verlag</b>
  89.  *      </li>
  90.  *      <li>
  91.  *          Kadanoff, L. P. (2000): <i>Statistical Physics: Statics, Dynamics, and Re-normalization</i>
  92.  *              <b>World Scientific</b>
  93.  *      </li>
  94.  *      <li>
  95.  *          Karatzas, I., and S. E. Shreve (1991): <i>Brownian Motion and Stochastic Calculus 2<sup>nd</sup>
  96.  *              Edition</i> <b>Springer-Verlag</b>
  97.  *      </li>
  98.  *      <li>
  99.  *          Risken, H., and F. Till (1996): <i>The Fokker-Planck Equation – Methods of Solution and
  100.  *              Applications</i> <b>Springer</b>
  101.  *      </li>
  102.  *  </ul>
  103.  *
  104.  *  <br><br>
  105.  *  <ul>
  106.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  107.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
  108.  *      <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>
  109.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/dynamics/process/README.md">Ito-Dynamics Based Stochastic Process</a></li>
  110.  *  </ul>
  111.  *
  112.  * @author Lakshmi Krishnamurthy
  113.  */

  115. public class R1StochasticEvolver
  116. {
  117.     private org.drip.dynamics.ito.R1ToR1Drift _driftFunction = null;
  118.     private org.drip.dynamics.ito.R1ToR1Volatility _volatilityFunction = null;
  119.     private org.drip.dynamics.ito.R1StochasticDriver _stochasticDriver = null;

  121.     /**
  122.      * R1StochasticEvolver Constructor
  123.      * 
  124.      * @param driftFunction Drift Function
  125.      * @param volatilityFunction Volatility Function
  126.      * @param stochasticDriver Stochastic Driver
  127.      * 
  128.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  129.      */

  131.     public R1StochasticEvolver (
  132.         final org.drip.dynamics.ito.R1ToR1Drift driftFunction,
  133.         final org.drip.dynamics.ito.R1ToR1Volatility volatilityFunction,
  134.         final org.drip.dynamics.ito.R1StochasticDriver stochasticDriver)
  135.         throws java.lang.Exception
  136.     {
  137.         if (null == (_driftFunction = driftFunction) ||
  138.             null == (_volatilityFunction = volatilityFunction) ||
  139.             null == (_stochasticDriver = stochasticDriver))
  140.         {
  141.             throw new java.lang.Exception (
  142.                 "R1StochasticEvolver Constructor => Invalid Inputs"
  143.             );
  144.         }
  145.     }

  147.     /**
  148.      * Retrieve the Drift Function
  149.      * 
  150.      * @return The Drift Function
  151.      */

  153.     public org.drip.dynamics.ito.R1ToR1Drift driftFunction()
  154.     {
  155.         return _driftFunction;
  156.     }

  158.     /**
  159.      * Retrieve the Volatility Function
  160.      * 
  161.      * @return The Volatility Function
  162.      */

  164.     public org.drip.dynamics.ito.R1ToR1Volatility volatilityFunction()
  165.     {
  166.         return _volatilityFunction;
  167.     }

  169.     /**
  170.      * Retrieve the Stochastic Driver
  171.      * 
  172.      * @return The Stochastic Driver
  173.      */

  175.     public org.drip.dynamics.ito.R1StochasticDriver stochasticDriver()
  176.     {
  177.         return _stochasticDriver;
  178.     }

  180.     /**
  181.      * Generate the Next Vertex in the Iteration
  182.      * 
  183.      * @param currentVertex The Current Vertex
  184.      * @param timeIncrement The Time Increment
  185.      * 
  186.      * @return The Next Vertex
  187.      */

  189.     public org.drip.dynamics.ito.TimeR1Vertex evolve (
  190.         final org.drip.dynamics.ito.TimeR1Vertex currentVertex,
  191.         final double timeIncrement)
  192.     {
  193.         if (null == currentVertex ||
  194.             !org.drip.numerical.common.NumberUtil.IsValid (
  195.                 timeIncrement
  196.             )
  197.         )
  198.         {
  199.             return null;
  200.         }

  202.         try
  203.         {
  204.             return new org.drip.dynamics.ito.TimeR1Vertex (
  205.                 currentVertex.t() + timeIncrement,
  206.                 currentVertex.x() + _driftFunction.drift (
  207.                     currentVertex
  208.                 ) * timeIncrement + _volatilityFunction.volatility (
  209.                     currentVertex
  210.                 ) * _stochasticDriver.emitSingle()
  211.             );
  212.         }
  213.         catch (java.lang.Exception e)
  214.         {
  215.             e.printStackTrace();
  216.         }

  218.         return null;
  219.     }

  221.     /**
  222.      * Estimate the Temporal Central Measures for the Underlier given the Delta 0 Starting PDF
  223.      * 
  224.      * @param x0 The X Anchor for the Delta Function
  225.      * @param t The Forward Time
  226.      * 
  227.      * @return The Temporal Central Measures for the Underlier
  228.      */

  230.     public org.drip.measure.statistics.PopulationCentralMeasures temporalPopulationCentralMeasures (
  231.         final double x0,
  232.         final double t)
  233.     {
  234.         return null;
  235.     }

  237.     /**
  238.      * Generate the Steady State Population Central Measures
  239.      * 
  240.      * @param x0 Starting Variate
  241.      * 
  242.      * @return The Steady State Population Central Measures
  243.      */

  245.     public org.drip.measure.statistics.PopulationCentralMeasures steadyStatePopulationCentralMeasures (
  246.         final double x0)
  247.     {
  248.         return null;
  249.     }

  251.     /**
  252.      * Construct the Fokker Planck PDF Generator corresponding to R<sup>1</sup> Stochastic Evolver
  253.      * 
  254.      * @return The Fokker Planck PDF Generator corresponding to R<sup>1</sup> Stochastic Evolver
  255.      */

  257.     public org.drip.dynamics.kolmogorov.R1FokkerPlanck fokkerPlanckGenerator()
  258.     {
  259.         try
  260.         {
  261.             new org.drip.dynamics.kolmogorov.R1FokkerPlanck (
  262.                 _driftFunction,
  263.                 _volatilityFunction
  264.             );
  265.         }
  266.         catch (java.lang.Exception e)
  267.         {
  268.             e.printStackTrace();
  269.         }

  271.         return null;
  272.     }

  274.     /**
  275.      * Generate the Future Value Distribution at Time t
  276.      * 
  277.      * @param x0 Starting Variate
  278.      * @param t Time
  279.      * 
  280.      * @return The Future Value Distribution
  281.      */

  283.     public org.drip.measure.continuous.R1Univariate futureValueDistribution (
  284.         final double x0,
  285.         final double t)
  286.     {
  287.         return null;
  288.     }
  289. }
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