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);
}
}