BrokenDateInterpolatorBrownian3P.java

package org.drip.measure.bridge;

/*
 * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
 */

/*!
 * Copyright (C) 2020 Lakshmi Krishnamurthy
 * Copyright (C) 2019 Lakshmi Krishnamurthy
 * Copyright (C) 2018 Lakshmi Krishnamurthy
 * Copyright (C) 2017 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>BrokenDateInterpolatorBrownian3P</i> Interpolates the Broken Dates using Three Stochastic Value Nodes
 * using the Three Point Brownian Bridge Scheme.
 *
 *  <br><br>
 *  <ul>
 *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationalCore.md">Computational Core Module</a></li>
 *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/NumericalAnalysisLibrary.md">Numerical Analysis Library</a></li>
 *      <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/measure/README.md">R<sup>d</sup> Continuous/Discrete Probability Measures</a></li>
 *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/measure/bridge/README.md">Broken Date Brownian Bridge Interpolator</a></li>
 *  </ul>
 *
 * @author Lakshmi Krishnamurthy
 */

public class BrokenDateInterpolatorBrownian3P implements org.drip.measure.bridge.BrokenDateInterpolator {
    private double _dblT1 = java.lang.Double.NaN;
    private double _dblT2 = java.lang.Double.NaN;
    private double _dblT3 = java.lang.Double.NaN;
    private double _dblV1 = java.lang.Double.NaN;
    private double _dblV2 = java.lang.Double.NaN;
    private double _dblV3 = java.lang.Double.NaN;
    private double _dblBrownianBridgeFactor = java.lang.Double.NaN;

    /**
     * BrokenDateInterpolatorBrownian3P Constructor
     * 
     * @param dblT1 T1
     * @param dblT2 T2
     * @param dblT3 T3
     * @param dblV1 V1
     * @param dblV2 V2
     * @param dblV3 V3
     * 
     * @throws java.lang.Exception Thrown if the Inputs are Invalid
     */

    public BrokenDateInterpolatorBrownian3P (
        final double dblT1,
        final double dblT2,
        final double dblT3,
        final double dblV1,
        final double dblV2,
        final double dblV3)
        throws java.lang.Exception
    {
        if (!org.drip.numerical.common.NumberUtil.IsValid (_dblT1 = dblT1) ||
            !org.drip.numerical.common.NumberUtil.IsValid (_dblT2 = dblT2) ||
                !org.drip.numerical.common.NumberUtil.IsValid (_dblT3 = dblT3) ||
                    !org.drip.numerical.common.NumberUtil.IsValid (_dblV1 = dblV1) ||
                        !org.drip.numerical.common.NumberUtil.IsValid (_dblV2 = dblV2) ||
                            !org.drip.numerical.common.NumberUtil.IsValid (_dblV3 = dblV3) || _dblT1 >= _dblT2 ||
                                _dblT2 >= _dblT3)
            throw new java.lang.Exception ("BrokenDateInterpolatorBrownian3P Constructor => Invalid Inputs");

        double dblT3MinusT1 = _dblT3 - _dblT1;
        double dblT3MinusT2 = _dblT3 - _dblT2;
        double dblT2MinusT1 = _dblT2 - _dblT1;

        _dblBrownianBridgeFactor = java.lang.Math.sqrt (dblT3MinusT1 / (dblT3MinusT2 * dblT2MinusT1)) *
            (_dblV2 - (dblT3MinusT2 * _dblV1 / dblT3MinusT1) - (dblT2MinusT1 * _dblV3 / dblT3MinusT1));
    }

    /**
     * Retrieve T1
     * 
     * @return T1
     */

    public double t1()
    {
        return _dblT1;
    }

    /**
     * Retrieve T2
     * 
     * @return T2
     */

    public double t2()
    {
        return _dblT2;
    }

    /**
     * Retrieve T3
     * 
     * @return T3
     */

    public double t3()
    {
        return _dblT3;
    }

    /**
     * Retrieve V1
     * 
     * @return V1
     */

    public double v1()
    {
        return _dblV1;
    }

    /**
     * Retrieve V2
     * 
     * @return V2
     */

    public double v2()
    {
        return _dblV2;
    }

    /**
     * Retrieve V3
     * 
     * @return V3
     */

    public double v3()
    {
        return _dblV3;
    }

    /**
     * Retrieve the Brownian Bridge Factor
     * 
     * @return The Brownian Bridge Factor
     */

    public double brownianBridgeFactor()
    {
        return _dblBrownianBridgeFactor;
    }

    @Override public double interpolate (
        final double dblT)
        throws java.lang.Exception
    {
        if (!org.drip.numerical.common.NumberUtil.IsValid (dblT) || dblT < _dblT1 || dblT > _dblT3)
            throw new java.lang.Exception
                ("BrokenDateInterpolatorBrownian3P::interpolate => Invalid Inputs");

        double dblT3MinusT1 = _dblT3 - _dblT1;
        double dblT3MinusT = _dblT3 - dblT;
        double dblTMinusT1 = dblT - _dblT1;

        return (dblT3MinusT * _dblV1 / dblT3MinusT1) + (dblTMinusT1 * _dblV3 / dblT3MinusT1) +
            _dblBrownianBridgeFactor * java.lang.Math.sqrt (dblT3MinusT * dblTMinusT1 / dblT3MinusT1);
    }
}