DiffusionEvolver.java

  1. package org.drip.measure.process;

  3. /*
  4.  * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
  5.  */

  7. /*!
  8.  * Copyright (C) 2020 Lakshmi Krishnamurthy
  9.  * Copyright (C) 2019 Lakshmi Krishnamurthy
  10.  * Copyright (C) 2018 Lakshmi Krishnamurthy
  11.  * Copyright (C) 2017 Lakshmi Krishnamurthy
  12.  * 
  13.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  14.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  15.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  16.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  17.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  18.  *      and computational support.
  19.  *  
  20.  *      https://lakshmidrip.github.io/DROP/
  21.  *  
  22.  *  DROP is composed of three modules:
  23.  *  
  24.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  25.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  26.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  27.  * 
  28.  *  DROP Product Core implements libraries for the following:
  29.  *  - Fixed Income Analytics
  30.  *  - Loan Analytics
  31.  *  - Transaction Cost Analytics
  32.  * 
  33.  *  DROP Portfolio Core implements libraries for the following:
  34.  *  - Asset Allocation Analytics
  35.  *  - Asset Liability Management Analytics
  36.  *  - Capital Estimation Analytics
  37.  *  - Exposure Analytics
  38.  *  - Margin Analytics
  39.  *  - XVA Analytics
  40.  * 
  41.  *  DROP Computational Core implements libraries for the following:
  42.  *  - Algorithm Support
  43.  *  - Computation Support
  44.  *  - Function Analysis
  45.  *  - Model Validation
  46.  *  - Numerical Analysis
  47.  *  - Numerical Optimizer
  48.  *  - Spline Builder
  49.  *  - Statistical Learning
  50.  * 
  51.  *  Documentation for DROP is Spread Over:
  52.  * 
  53.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  54.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  55.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  56.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  57.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  58.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  59.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  60.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  61.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  62.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  63.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  64.  * 
  65.  *  Licensed under the Apache License, Version 2.0 (the "License");
  66.  *      you may not use this file except in compliance with the License.
  67.  *   
  68.  *  You may obtain a copy of the License at
  69.  *      http://www.apache.org/licenses/LICENSE-2.0
  70.  *  
  71.  *  Unless required by applicable law or agreed to in writing, software
  72.  *      distributed under the License is distributed on an "AS IS" BASIS,
  73.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  74.  *  
  75.  *  See the License for the specific language governing permissions and
  76.  *      limitations under the License.
  77.  */

  79. /**
  80.  * <i>DiffusionEvolver</i> implements the Functionality that guides the Single Factor R<sup>1</sup> Diffusion
  81.  * Random Process Variable Evolution.
  82.  *
  83.  *  <br><br>
  84.  *  <ul>
  85.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationalCore.md">Computational Core Module</a></li>
  86.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/NumericalAnalysisLibrary.md">Numerical Analysis Library</a></li>
  87.  *      <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>
  88.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/measure/process/README.md">Jump Diffusion Evolver Process Variants</a></li>
  89.  *  </ul>
  90.  *
  91.  * @author Lakshmi Krishnamurthy
  92.  */

  94. public class DiffusionEvolver {
  95.     private org.drip.measure.dynamics.DiffusionEvaluator _de = null;

  97.     /**
  98.      * DiffusionEvolver Constructor
  99.      * 
  100.      * @param de The Diffusion Evaluator Instance
  101.      * 
  102.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  103.      */

  105.     public DiffusionEvolver (
  106.         final org.drip.measure.dynamics.DiffusionEvaluator de)
  107.         throws java.lang.Exception
  108.     {
  109.         if (null == (_de = de))
  110.             throw new java.lang.Exception ("DiffusionEvolver Constructor => Invalid Inputs");
  111.     }

  113.     /**
  114.      * Retrieve the Diffusion Evaluator
  115.      * 
  116.      * @return The Diffusion Evaluator
  117.      */

  119.     public org.drip.measure.dynamics.DiffusionEvaluator evaluator()
  120.     {
  121.         return _de;
  122.     }

  124.     /**
  125.      * Generate the JumpDiffusionEdge Instance from the specified Jump Diffusion Instance
  126.      * 
  127.      * @param jdv The JumpDiffusionVertex Instance
  128.      * @param jdeu The Random Unit Realization
  129.      * @param dblTimeIncrement The Time Increment Evolution Unit
  130.      * 
  131.      * @return The JumpDiffusionEdge Instance
  132.      */

  134.     public org.drip.measure.realization.JumpDiffusionEdge increment (
  135.         final org.drip.measure.realization.JumpDiffusionVertex jdv,
  136.         final org.drip.measure.realization.JumpDiffusionEdgeUnit jdeu,
  137.         final double dblTimeIncrement)
  138.     {
  139.         if (null == jdv || null == jdeu || !org.drip.numerical.common.NumberUtil.IsValid (dblTimeIncrement))
  140.             return null;

  142.         double dblPreviousValue = jdv.value();

  144.         try {
  145.             org.drip.measure.dynamics.LocalEvaluator leVolatility = _de.volatility();

  147.             return org.drip.measure.realization.JumpDiffusionEdge.Standard (dblPreviousValue,
  148.                 _de.drift().value (jdv) * dblTimeIncrement, null == leVolatility ? 0. : leVolatility.value
  149.                     (jdv) * jdeu.diffusion() * java.lang.Math.sqrt (java.lang.Math.abs (dblTimeIncrement)),
  150.                         null, jdeu);
  151.         } catch (java.lang.Exception e) {
  152.             e.printStackTrace();
  153.         }

  155.         return null;
  156.     }

  158.     /**
  159.      * Generate the JumpDiffusionEdge Instance Backwards from the specified Jump Diffusion Instance
  160.      * 
  161.      * @param jdv The JumpDiffusionVertex Instance
  162.      * @param jdeu The Random Unit Realization
  163.      * @param dblTimeIncrement The Time Increment Evolution Unit
  164.      * 
  165.      * @return The Reverse JumpDiffusionEdge Instance
  166.      */

  168.     public org.drip.measure.realization.JumpDiffusionEdge incrementReverse (
  169.         final org.drip.measure.realization.JumpDiffusionVertex jdv,
  170.         final org.drip.measure.realization.JumpDiffusionEdgeUnit jdeu,
  171.         final double dblTimeIncrement)
  172.     {
  173.         if (null == jdv || null == jdeu || !org.drip.numerical.common.NumberUtil.IsValid (dblTimeIncrement))
  174.             return null;

  176.         double dblPreviousValue = jdv.value();

  178.         try {
  179.             org.drip.measure.dynamics.LocalEvaluator leVolatility = _de.volatility();

  181.             return org.drip.measure.realization.JumpDiffusionEdge.Standard (dblPreviousValue, -1. *
  182.                 _de.drift().value (jdv) * dblTimeIncrement, null == leVolatility ? 0. : -1. *
  183.                     leVolatility.value (jdv) * jdeu.diffusion() * java.lang.Math.sqrt (java.lang.Math.abs
  184.                         (dblTimeIncrement)), null, jdeu);
  185.         } catch (java.lang.Exception e) {
  186.             e.printStackTrace();
  187.         }

  189.         return null;
  190.     }

  192.     /**
  193.      * Generate the Array of Adjacent JumpDiffusionEdge from the specified Random Variate Array
  194.      * 
  195.      * @param jdv The JumpDiffusionVertex Instance
  196.      * @param aJDEU Array of Random Unit Realizations
  197.      * @param dblTimeIncrement The Time Increment Evolution Unit
  198.      * 
  199.      * @return The Array of Adjacent JumpDiffusionEdge
  200.      */

  202.     public org.drip.measure.realization.JumpDiffusionEdge[] incrementSequence (
  203.         final org.drip.measure.realization.JumpDiffusionVertex jdv,
  204.         final org.drip.measure.realization.JumpDiffusionEdgeUnit[] aJDEU,
  205.         final double dblTimeIncrement)
  206.     {
  207.         if (null == aJDEU) return null;

  209.         int iNumTimeStep = aJDEU.length;
  210.         org.drip.measure.realization.JumpDiffusionVertex jdvIter = jdv;
  211.         org.drip.measure.realization.JumpDiffusionEdge[] aJDE = 0 == iNumTimeStep ? null : new
  212.             org.drip.measure.realization.JumpDiffusionEdge[iNumTimeStep];

  214.         if (0 == iNumTimeStep) return null;

  216.         for (int i = 0; i < iNumTimeStep; ++i) {
  217.             if (null == (aJDE[i] = increment (jdvIter, aJDEU[i], dblTimeIncrement))) return null;

  219.             try {
  220.                 boolean bJumpOccurred = false;
  221.                 double dblHazardIntegral = 0.;

  223.                 org.drip.measure.realization.StochasticEdgeJump sej = aJDE[i].stochasticJumpEdge();

  225.                 if (null != sej) {
  226.                     bJumpOccurred = sej.jumpOccurred();

  228.                     dblHazardIntegral = sej.hazardIntegral();
  229.                 }

  231.                 jdvIter = new org.drip.measure.realization.JumpDiffusionVertex (jdvIter.time() +
  232.                     dblTimeIncrement, aJDE[i].finish(), jdvIter.cumulativeHazardIntegral() +
  233.                         dblHazardIntegral, bJumpOccurred || jdvIter.jumpOccurred());
  234.             } catch (java.lang.Exception e) {
  235.                 e.printStackTrace();

  237.                 return null;
  238.             }
  239.         }

  241.         return aJDE;
  242.     }

  244.     /**
  245.      * Generate the Array of JumpDiffusionVertex Snaps from the specified Random Variate Array
  246.      * 
  247.      * @param jdv The JumpDiffusionVertex Instance
  248.      * @param aJDEU Array of Random Unit Realizations
  249.      * @param dblTimeIncrement The Time Increment Evolution Unit
  250.      * 
  251.      * @return The Array of JumpDiffusionVertex Snaps
  252.      */

  254.     public org.drip.measure.realization.JumpDiffusionVertex[] vertexSequence (
  255.         final org.drip.measure.realization.JumpDiffusionVertex jdv,
  256.         final org.drip.measure.realization.JumpDiffusionEdgeUnit[] aJDEU,
  257.         final double dblTimeIncrement)
  258.     {
  259.         if (null == aJDEU) return null;

  261.         int iNumVertex = aJDEU.length + 1;
  262.         org.drip.measure.realization.JumpDiffusionVertex jdvPrev = jdv;
  263.         org.drip.measure.realization.JumpDiffusionVertex[] aJDV = new
  264.             org.drip.measure.realization.JumpDiffusionVertex[iNumVertex];
  265.         aJDV[0] = jdv;

  267.         for (int i = 0; i < iNumVertex - 1; ++i) {
  268.             org.drip.measure.realization.JumpDiffusionEdge jde = increment (jdvPrev, aJDEU[i],
  269.                 dblTimeIncrement);

  271.             if (null == jde) return null;

  273.             try {
  274.                 org.drip.measure.realization.StochasticEdgeJump sej = jde.stochasticJumpEdge();

  276.                 boolean bJumpOccurred = false;
  277.                 double dblHazardIntegral = 0.;

  279.                 if (null != sej) {
  280.                     bJumpOccurred = sej.jumpOccurred();

  282.                     dblHazardIntegral = sej.hazardIntegral();
  283.                 }

  285.                 jdvPrev = aJDV[i + 1] = new org.drip.measure.realization.JumpDiffusionVertex (jdvPrev.time()
  286.                     + dblTimeIncrement, jde.finish(), jdvPrev.cumulativeHazardIntegral() + dblHazardIntegral,
  287.                         bJumpOccurred || jdvPrev.jumpOccurred());
  288.             } catch (java.lang.Exception e) {
  289.                 e.printStackTrace();

  291.                 return null;
  292.             }
  293.         }

  295.         return aJDV;
  296.     }

  298.     /**
  299.      * Generate the Array of JumpDiffusionVertex Snaps from the specified Random Variate Array
  300.      * 
  301.      * @param jdv The JumpDiffusionVertex Instance
  302.      * @param aJDEU Array of Random Unit Realizations
  303.      * @param adblTimeIncrement Array of Time Increment Evolution Units
  304.      * 
  305.      * @return The Array of JumpDiffusionVertex Snaps
  306.      */

  308.     public org.drip.measure.realization.JumpDiffusionVertex[] vertexSequence (
  309.         final org.drip.measure.realization.JumpDiffusionVertex jdv,
  310.         final org.drip.measure.realization.JumpDiffusionEdgeUnit[] aJDEU,
  311.         final double[] adblTimeIncrement)
  312.     {
  313.         if (null == aJDEU || null == adblTimeIncrement) return null;

  315.         int iNumVertex = aJDEU.length + 1;
  316.         org.drip.measure.realization.JumpDiffusionVertex jdvPrev = jdv;
  317.         org.drip.measure.realization.JumpDiffusionVertex[] aJDV = new
  318.             org.drip.measure.realization.JumpDiffusionVertex[iNumVertex];
  319.         aJDV[0] = jdv;

  321.         if (iNumVertex != adblTimeIncrement.length + 1) return null;

  323.         for (int i = 0; i < iNumVertex - 1; ++i) {
  324.             org.drip.measure.realization.JumpDiffusionEdge jde = increment (jdvPrev, aJDEU[i],
  325.                 adblTimeIncrement[i]);

  327.             if (null == jde) return null;

  329.             try {
  330.                 org.drip.measure.realization.StochasticEdgeJump sej = jde.stochasticJumpEdge();

  332.                 boolean bJumpOccurred = false;
  333.                 double dblHazardIntegral = 0.;

  335.                 if (null != sej) {
  336.                     bJumpOccurred = sej.jumpOccurred();

  338.                     dblHazardIntegral = sej.hazardIntegral();
  339.                 }

  341.                 jdvPrev = aJDV[i + 1] = new org.drip.measure.realization.JumpDiffusionVertex (jdvPrev.time()
  342.                     + adblTimeIncrement[i], jde.finish(), jdvPrev.cumulativeHazardIntegral() +
  343.                         dblHazardIntegral, bJumpOccurred || jdvPrev.jumpOccurred());
  344.             } catch (java.lang.Exception e) {
  345.                 e.printStackTrace();

  347.                 return null;
  348.             }
  349.         }

  351.         return aJDV;
  352.     }

  354.     /**
  355.      * Generate the Array of JumpDiffusionVertex Snaps Backwards from the specified Random Variate Array
  356.      * 
  357.      * @param jdv The JumpDiffusionVertex Instance
  358.      * @param aJDEU Array of Random Unit Realizations
  359.      * @param adblTimeIncrement Array of Time Increment Evolution Units
  360.      * 
  361.      * @return The Array of Reverse JumpDiffusionVertex Snaps
  362.      */

  364.     public org.drip.measure.realization.JumpDiffusionVertex[] vertexSequenceReverse (
  365.         final org.drip.measure.realization.JumpDiffusionVertex jdv,
  366.         final org.drip.measure.realization.JumpDiffusionEdgeUnit[] aJDEU,
  367.         final double[] adblTimeIncrement)
  368.     {
  369.         if (null == aJDEU || null == adblTimeIncrement) return null;

  371.         int iNumVertex = aJDEU.length + 1;
  372.         org.drip.measure.realization.JumpDiffusionVertex jdvPrev = jdv;
  373.         org.drip.measure.realization.JumpDiffusionVertex[] aJDV = new
  374.             org.drip.measure.realization.JumpDiffusionVertex[iNumVertex];
  375.         aJDV[iNumVertex - 1] = jdv;

  377.         if (iNumVertex != adblTimeIncrement.length + 1) return null;

  379.         for (int i = iNumVertex - 2; i >= 0; --i) {
  380.             org.drip.measure.realization.JumpDiffusionEdge jde = incrementReverse (jdvPrev, aJDEU[i],
  381.                 adblTimeIncrement[i]);

  383.             if (null == jde) return null;

  385.             try {
  386.                 org.drip.measure.realization.StochasticEdgeJump sej = jde.stochasticJumpEdge();

  388.                 boolean bJumpOccurred = false;
  389.                 double dblHazardIntegral = 0.;

  391.                 if (null != sej) {
  392.                     bJumpOccurred = sej.jumpOccurred();

  394.                     dblHazardIntegral = sej.hazardIntegral();
  395.                 }

  397.                 jdvPrev = aJDV[i] = new org.drip.measure.realization.JumpDiffusionVertex (jdvPrev.time() -
  398.                     adblTimeIncrement[i], jde.finish(), jdvPrev.cumulativeHazardIntegral() +
  399.                         dblHazardIntegral, bJumpOccurred || jdvPrev.jumpOccurred());
  400.             } catch (java.lang.Exception e) {
  401.                 e.printStackTrace();

  403.                 return null;
  404.             }
  405.         }

  407.         return aJDV;
  408.     }

  410.     /**
  411.      * Generate the Adjacent JumpDiffusionEdge Instance from the specified Random Variate and a Weiner Driver
  412.      * 
  413.      * @param jdv The JumpDiffusionVertex Instance
  414.      * @param dblTimeIncrement The Time Increment Evolution Unit
  415.      * 
  416.      * @return The Adjacent JumpDiffusionEdge Instance
  417.      */

  419.     public org.drip.measure.realization.JumpDiffusionEdge weinerIncrement (
  420.         final org.drip.measure.realization.JumpDiffusionVertex jdv,
  421.         final double dblTimeIncrement)
  422.     {
  423.         try {
  424.             return increment (jdv, org.drip.measure.realization.JumpDiffusionEdgeUnit.GaussianDiffusion
  425.                 (dblTimeIncrement), dblTimeIncrement);
  426.         } catch (java.lang.Exception e) {
  427.             e.printStackTrace();
  428.         }

  430.         return null;
  431.     }

  433.     /**
  434.      * Generate the Adjacent JumpDiffusionEdge Instance from the specified Random Variate and a Jump Driver
  435.      * 
  436.      * @param jdv The JumpDiffusionVertex Instance
  437.      * @param dblTimeIncrement The Time Increment Evolution Unit
  438.      * 
  439.      * @return The Adjacent JumpDiffusionEdge Instance
  440.      */

  442.     public org.drip.measure.realization.JumpDiffusionEdge jumpIncrement (
  443.         final org.drip.measure.realization.JumpDiffusionVertex jdv,
  444.         final double dblTimeIncrement)
  445.     {
  446.         return increment (jdv, org.drip.measure.realization.JumpDiffusionEdgeUnit.UniformJump
  447.             (dblTimeIncrement), dblTimeIncrement);
  448.     }

  450.     /**
  451.      * Generate the Adjacent JumpDiffusionEdge Instance from the specified Random Variate and Jump/Weiner
  452.      *  Drivers
  453.      * 
  454.      * @param jdv The JumpDiffusionVertex Instance
  455.      * @param dblTimeIncrement The Time Increment Evolution Unit
  456.      * 
  457.      * @return The Adjacent JumpDiffusionEdge Instance
  458.      */

  460.     public org.drip.measure.realization.JumpDiffusionEdge jumpWeinerIncrement (
  461.         final org.drip.measure.realization.JumpDiffusionVertex jdv,
  462.         final double dblTimeIncrement)
  463.     {
  464.         try {
  465.             return increment (jdv, new org.drip.measure.realization.JumpDiffusionEdgeUnit (dblTimeIncrement,
  466.                 org.drip.measure.gaussian.NormalQuadrature.Random(), java.lang.Math.random()),
  467.                     dblTimeIncrement);
  468.         } catch (java.lang.Exception e) {
  469.             e.printStackTrace();
  470.         }

  472.         return null;
  473.     }

  475.     /**
  476.      * Generate the Adjacent JumpDiffusionEdge Instance from the specified Random Variate and Weiner/Jump
  477.      *  Drivers
  478.      * 
  479.      * @param jdv The JumpDiffusionVertex Instance
  480.      * @param dblTimeIncrement The Time Increment Evolution Unit
  481.      * 
  482.      * @return The Adjacent JumpDiffusionEdge Instance
  483.      */

  485.     public org.drip.measure.realization.JumpDiffusionEdge weinerJumpIncrement (
  486.         final org.drip.measure.realization.JumpDiffusionVertex jdv,
  487.         final double dblTimeIncrement)
  488.     {
  489.         try {
  490.             return increment (jdv, new org.drip.measure.realization.JumpDiffusionEdgeUnit (dblTimeIncrement,
  491.                 org.drip.measure.gaussian.NormalQuadrature.Random(), java.lang.Math.random()),
  492.                     dblTimeIncrement);
  493.         } catch (java.lang.Exception e) {
  494.             e.printStackTrace();
  495.         }

  497.         return null;
  498.     }
  499. }
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