DiffusionEvaluatorOrnsteinUhlenbeck.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>DiffusionEvaluatorOrnsteinUhlenbeck</i> evaluates the Drift/Volatility of the Diffusion Random Variable
* Evolution according to R<sup>1</sup> Ornstein Uhlenbeck 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 DiffusionEvaluatorOrnsteinUhlenbeck extends org.drip.measure.dynamics.DiffusionEvaluator
implements org.drip.measure.process.OrnsteinUhlenbeck {
private double _dblBurstiness = java.lang.Double.NaN;
private double _dblRelaxationTime = java.lang.Double.NaN;
private double _dblMeanReversionLevel = java.lang.Double.NaN;
/**
* Construct a Standard Instance of DiffusionEvaluatorOrnsteinUhlenbeck
*
* @param dblMeanReversionLevel The Mean Reversion Level
* @param dblBurstiness The Burstiness Parameter
* @param dblRelaxationTime The Relaxation Time
*
* @return The Standard Instance of DiffusionEvaluatorOrnsteinUhlenbeck
*/
public static final DiffusionEvaluatorOrnsteinUhlenbeck Standard (
final double dblMeanReversionLevel,
final double dblBurstiness,
final double dblRelaxationTime)
{
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
("DiffusionEvaluatorOrnsteinUhlenbeck::DriftLDEV::value => Invalid Inputs");
return -1. * jdv.value() / dblRelaxationTime;
}
};
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 dblBurstiness * java.lang.Math.sqrt (1. / dblRelaxationTime);
}
};
try {
return new DiffusionEvaluatorOrnsteinUhlenbeck (dblMeanReversionLevel, dblBurstiness,
dblRelaxationTime, leDrift, leVolatility);
} catch (java.lang.Exception e) {
e.printStackTrace();
}
return null;
}
/**
* Construct a Zero-Mean Instance of DiffusionEvaluatorOrnsteinUhlenbeck
*
* @param dblBurstiness The Burstiness Parameter
* @param dblRelaxationTime The Relaxation Time
*
* @return The Zero-Mean Instance of DiffusionEvaluatorOrnsteinUhlenbeck
*/
public static final DiffusionEvaluatorOrnsteinUhlenbeck ZeroMean (
final double dblBurstiness,
final double dblRelaxationTime)
{
return Standard (0., dblBurstiness, dblRelaxationTime);
}
private DiffusionEvaluatorOrnsteinUhlenbeck (
final double dblMeanReversionLevel,
final double dblBurstiness,
final double dblRelaxationTime,
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 (_dblMeanReversionLevel = dblMeanReversionLevel) ||
!org.drip.numerical.common.NumberUtil.IsValid (_dblBurstiness = dblBurstiness) || 0. >=
_dblBurstiness || !org.drip.numerical.common.NumberUtil.IsValid (_dblRelaxationTime =
dblRelaxationTime) || 0. >= _dblRelaxationTime)
throw new java.lang.Exception
("DiffusionEvaluatorOrnsteinUhlenbeck Constructor => Invalid Inputs");
}
/**
* Retrieve the Mean Reversion Level
*
* @return The Mean Reversion Level
*/
public double meanReversionLevel()
{
return _dblMeanReversionLevel;
}
/**
* Retrieve the Burstiness Parameter
*
* @return The Burstiness Parameter
*/
public double burstiness()
{
return _dblBurstiness;
}
/**
* Retrieve the Relaxation Time
*
* @return The Relaxation Time
*/
public double relaxationTime()
{
return _dblRelaxationTime;
}
@Override public double referenceRelaxationTime()
{
return relaxationTime();
}
@Override public double referenceBurstiness()
{
return burstiness();
}
@Override public double referenceMeanReversionLevel()
{
return meanReversionLevel();
}
}