HazardJumpEvaluator.java

package org.drip.measure.dynamics;

/*!
 * 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>HazardJumpEvaluator</i> implements the Hazard Jump Process Point Event Indication Evaluator that guides
 * the Single Factor Jump-Termination Random Process Variable Evolution.
 *
 *  <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 HazardJumpEvaluator extends org.drip.measure.dynamics.SingleJumpEvaluator {
    private double _dblMagnitude = java.lang.Double.NaN;
    private double _dblHazardRate = java.lang.Double.NaN;

    /**
     * Generate a Standard Instance of HazardJumpEvaluator
     * 
     * @param dblHazardRate The Hazard Rate
     * @param dblMagnitude The Magnitude
     * 
     * @return The Standard Instance of HazardJumpEvaluator
     */

    public static final HazardJumpEvaluator Standard (
        final double dblHazardRate,
        final double dblMagnitude)
    {
        org.drip.measure.dynamics.LocalEvaluator leDensity = new org.drip.measure.dynamics.LocalEvaluator() {
            @Override public double value (
                final org.drip.measure.realization.JumpDiffusionVertex jdv)
                throws java.lang.Exception
            {
                return -1. * dblHazardRate * java.lang.Math.exp (-1. * dblHazardRate);
            }
        };

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

        try {
            return new HazardJumpEvaluator (dblHazardRate, dblMagnitude, leDensity, leMagnitude);
        } catch (java.lang.Exception e) {
            e.printStackTrace();
        }

        return null;
    }

    private HazardJumpEvaluator (
        final double dblHazardRate,
        final double dblMagnitude,
        final org.drip.measure.dynamics.LocalEvaluator leDensity,
        final org.drip.measure.dynamics.LocalEvaluator leMagnitude)
        throws java.lang.Exception
    {
        super (leDensity, leMagnitude);

        if (!org.drip.numerical.common.NumberUtil.IsValid (_dblHazardRate = dblHazardRate) || 0. > _dblHazardRate
            || !org.drip.numerical.common.NumberUtil.IsValid (_dblMagnitude = dblMagnitude) || 0. >
                _dblMagnitude)
            throw new java.lang.Exception ("HazardJumpEvaluator Constructor => Invalid Inputs");
    }

    /**
     * Retrieve the Hazard Rate
     * 
     * @return The Hazard Rate
     */

    public double hazardRate()
    {
        return _dblHazardRate;
    }

    /**
     * Retrieve the Magnitude
     * 
     * @return The Magnitude
     */

    public double magnitude()
    {
        return _dblMagnitude;
    }
}