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);
}