Evolver.java
package org.drip.measure.joint;
/*
* -*- 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>Evolver</i> exposes the Functionality that guides the Multi-Factor 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/joint/README.md">R<sup>d</sup> Vertex Edge Realization Evolution</a></li>
* </ul>
*
* @author Lakshmi Krishnamurthy
*/
public abstract class Evolver {
private double[][] _aadblCorrelation = null;
private org.drip.measure.dynamics.LocalEvaluator[] _aLDEVDrift = null;
private org.drip.measure.dynamics.LocalEvaluator[] _aLDEVVolatility = null;
protected Evolver (
final org.drip.measure.dynamics.LocalEvaluator[] aLDEVDrift,
final org.drip.measure.dynamics.LocalEvaluator[] aLDEVVolatility,
final double[][] aadblCorrelation)
throws java.lang.Exception
{
if (null == (_aLDEVDrift = aLDEVDrift) || null == (_aLDEVVolatility = aLDEVVolatility) || null ==
(_aadblCorrelation = aadblCorrelation))
throw new java.lang.Exception ("Evolver Constructor => Invalid Inputs");
int iNumFactor = _aLDEVDrift.length;
if (0 == iNumFactor || iNumFactor != _aLDEVVolatility.length || iNumFactor !=
_aadblCorrelation.length)
throw new java.lang.Exception ("Evolver Constructor => Invalid Inputs");
for (int i = 0; i < iNumFactor; ++i) {
if (null == _aLDEVDrift[i] || null == _aLDEVVolatility[i] || null == _aadblCorrelation[i] ||
iNumFactor != _aadblCorrelation[i].length || !org.drip.numerical.common.NumberUtil.IsValid
(_aadblCorrelation[i]))
throw new java.lang.Exception ("Evolver Constructor => Invalid Inputs");
}
}
/**
* Retrieve the Array of the LDEV Drift Functions of the Individual Marginal Processes
*
* @return The Array of the LDEV Drift Function of the Individual Marginal Processes
*/
public org.drip.measure.dynamics.LocalEvaluator[] driftLDEV()
{
return _aLDEVDrift;
}
/**
* Retrieve the Array of the LDEV Volatility Function of the Individual Marginal Processes
*
* @return The Array of the LDEV Volatility Function of the Individual Marginal Processes
*/
public org.drip.measure.dynamics.LocalEvaluator[] volatilityLDEV()
{
return _aLDEVVolatility;
}
/**
* Retrieve the Correlation Matrix
*
* @return The Correlation Matrix
*/
public double[][] correlation()
{
return _aadblCorrelation;
}
/**
* Generate the Adjacent Increment from the Array of the specified Random Variate
*
* @param js The Joint Snap
* @param adblRandomVariate The Array of Random Variates
* @param adblRandomUnitRealization The Array of Random Stochastic Realization Variate Units
* @param dblTimeIncrement The Time Increment Evolution Unit
*
* @return The Joint Level Realization
*/
public abstract org.drip.measure.joint.Edge increment (
final org.drip.measure.joint.Vertex js,
final double[] adblRandomVariate,
final double[] adblRandomUnitRealization,
final double dblTimeIncrement);
/**
* Generate the Array of the Adjacent Increments from the Array of the specified Random Variate
*
* @param aJS Array of Joint Snap Instances
* @param aadblRandomVariate Array of R^d Variates
* @param aadblRandomUnitRealization Array of R^d Stochastic Realization Units
* @param dblTimeIncrement The Time Increment Evolution Unit
*
* @return Array of the Joint Level Realization
*/
public abstract org.drip.measure.joint.Edge[][] incrementSequence (
final org.drip.measure.joint.Vertex[] aJS,
final double[][] aadblRandomVariate,
final double[][] aadblRandomUnitRealization,
final double dblTimeIncrement);
}