DiffusionEvaluatorMeanReversion.java

package org.drip.measure.dynamics;

/*
 * -*- 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>DiffusionEvaluatorMeanReversion</i> evaluates the Drift/Volatility of the Diffusion Random Variable
 * Evolution according to R<sup>1</sup> Mean Reversion Process.
 *
 *  <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/dynamics/README.md">Jump Diffusion Evolution Evaluator Variants</a></li>
 *  </ul>
 *
 * @author Lakshmi Krishnamurthy
 */

public class DiffusionEvaluatorMeanReversion extends org.drip.measure.dynamics.DiffusionEvaluator {
    private double _dblVolatility = java.lang.Double.NaN;
    private double _dblMeanReversionRate = java.lang.Double.NaN;
    private double _dblMeanReversionLevel = java.lang.Double.NaN;

    /**
     * Generate a Standard Instance of DiffusionEvaluatorMeanReversion
     * 
     * @param dblMeanReversionRate The Mean Reversion Rate
     * @param dblMeanReversionLevel The Mean Reversion Level
     * @param dblVolatility The Volatility
     * 
     * @return The Standard Instance of DiffusionEvaluatorMeanReversion
     */

    public static final DiffusionEvaluatorMeanReversion Standard (
        final double dblMeanReversionRate,
        final double dblMeanReversionLevel,
        final double dblVolatility)
    {
        org.drip.measure.dynamics.LocalEvaluator leDrift = new org.drip.measure.dynamics.LocalEvaluator() {
            @Override public double value (
                final org.drip.measure.realization.JumpDiffusionVertex jdv)
                throws java.lang.Exception
            {
                if (null == jdv)
                    throw new java.lang.Exception
                        ("DiffusionEvaluatorMeanReversion::driftEvaluator::value => Invalid Inputs");

                return -1. * dblMeanReversionRate * (dblMeanReversionLevel - jdv.value());
            }
        };

        org.drip.measure.dynamics.LocalEvaluator leVolatility = new
            org.drip.measure.dynamics.LocalEvaluator() {
            @Override public double value (
                final org.drip.measure.realization.JumpDiffusionVertex jdv)
                throws java.lang.Exception
            {
                return dblVolatility;
            }
        };

        try {
            return new DiffusionEvaluatorMeanReversion (dblMeanReversionRate, dblMeanReversionLevel,
                dblVolatility, leDrift, leVolatility);
        } catch (java.lang.Exception e) {
            e.printStackTrace();
        }

        return null;
    }

    private DiffusionEvaluatorMeanReversion (
        final double dblMeanReversionRate,
        final double dblMeanReversionLevel,
        final double dblVolatility,
        final org.drip.measure.dynamics.LocalEvaluator leDrift,
        final org.drip.measure.dynamics.LocalEvaluator leVolatility)
        throws java.lang.Exception
    {
        super (leDrift, leVolatility);

        if (!org.drip.numerical.common.NumberUtil.IsValid (_dblMeanReversionRate = dblMeanReversionRate) ||
            !org.drip.numerical.common.NumberUtil.IsValid (_dblMeanReversionLevel = dblMeanReversionLevel) ||
                !org.drip.numerical.common.NumberUtil.IsValid (_dblVolatility = dblVolatility))
            throw new java.lang.Exception ("DiffusionEvaluatorMeanReversion Constructor => Invalid Inputs");
    }

    /**
     * Retrieve the Mean Reversion Speed
     * 
     * @return The Mean Reversion Speed
     */

    public double meanReversionRate()
    {
        return _dblMeanReversionRate;
    }

    /**
     * Retrieve the Mean Reversion Level
     * 
     * @return The Mean Reversion Level
     */

    public double meanReversionLevel()
    {
        return _dblMeanReversionLevel;
    }

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

    public double volatilityValue()
    {
        return _dblVolatility;
    }
}