JumpDiffusionEdge.java
package org.drip.measure.realization;
/*
* -*- 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
* Copyright (C) 2016 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>JumpDiffusionEdge</i> implements the Deterministic and the Stochastic Components of a R<sup>d</sup>
* Marginal Random Increment Edge as well the Original Marginal Random Variate. The References are:
*
* <br><br>
* <ul>
* <li>
* Almgren, R. F., and N. Chriss (2000): Optimal Execution of Portfolio Transactions <i>Journal of
* Risk</i> <b>3 (2)</b> 5-39
* </li>
* <li>
* Almgren, R. F. (2009): Optimal Trading in a Dynamic Market
* https://www.math.nyu.edu/financial_mathematics/content/02_financial/2009-2.pdf
* </li>
* <li>
* Almgren, R. F. (2012): Optimal Trading with Stochastic Liquidity and Volatility <i>SIAM Journal
* of Financial Mathematics</i> <b>3 (1)</b> 163-181
* </li>
* <li>
* Geman, H., D. B. Madan, and M. Yor (2001): Time Changes for Levy Processes <i>Mathematical
* Finance</i> <b>11 (1)</b> 79-96
* </li>
* <li>
* Jones, C. M., G. Kaul, and M. L. Lipson (1994): Transactions, Volume, and Volatility <i>Review of
* Financial Studies</i> <b>7 (4)</b> 631-651
* </li>
* </ul>
*
* <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/realization/README.md">Stochastic Jump Diffusion Vertex Edge</a></li>
* </ul>
*
* @author Lakshmi Krishnamurthy
*/
public class JumpDiffusionEdge {
private double _dblStart = java.lang.Double.NaN;
private double _dblDeterministic = java.lang.Double.NaN;
private org.drip.measure.realization.StochasticEdgeJump _sej = null;
private org.drip.measure.realization.JumpDiffusionEdgeUnit _jdeu = null;
private org.drip.measure.realization.StochasticEdgeDiffusion _sed = null;
/**
* Construct the Standard JumpDiffusionEdge Instance
*
* @param dblStart The Starting Random Variable Realization
* @param dblDeterministic The Deterministic Increment Component
* @param dblDiffusionStochastic The Diffusion Stochastic Edge Change Amount
* @param bJumpOccurred TRUE - The Jump Occurred in this Edge Period
* @param dblHazardRate The Hazard Rate
* @param dblHazardIntegral The Level Hazard Integral
* @param dblJumpTarget The Jump Target
* @param dblTimeIncrement The Time Increment
* @param dblUnitDiffusion The Diffusion Random Variable
* @param dblUnitJump The Jump Random Variable
*
* @return The JumpDiffusionEdge Instance
*/
public static final JumpDiffusionEdge Standard (
final double dblStart,
final double dblDeterministic,
final double dblDiffusionStochastic,
final boolean bJumpOccurred,
final double dblHazardRate,
final double dblHazardIntegral,
final double dblJumpTarget,
final double dblTimeIncrement,
final double dblUnitDiffusion,
final double dblUnitJump)
{
try {
return new JumpDiffusionEdge (dblStart, dblDeterministic, new
org.drip.measure.realization.StochasticEdgeDiffusion (dblDiffusionStochastic), new
org.drip.measure.realization.StochasticEdgeJump (bJumpOccurred, dblHazardRate,
dblHazardIntegral, dblJumpTarget), new
org.drip.measure.realization.JumpDiffusionEdgeUnit (dblTimeIncrement,
dblUnitDiffusion, dblUnitJump));
} catch (java.lang.Exception e) {
e.printStackTrace();
}
return null;
}
/**
* Construct the Standard JumpDiffusionEdge Instance
*
* @param dblStart The Starting Random Variable Realization
* @param dblDeterministic The Deterministic Increment Component
* @param dblDiffusionStochastic The Diffusion Stochastic Edge Change Amount
* @param sej The Stochastic Jump Edge Instance
* @param jdeu The Random Unit Realization
*
* @return The JumpDiffusionEdge Instance
*/
public static final JumpDiffusionEdge Standard (
final double dblStart,
final double dblDeterministic,
final double dblDiffusionStochastic,
final org.drip.measure.realization.StochasticEdgeJump sej,
final org.drip.measure.realization.JumpDiffusionEdgeUnit jdeu)
{
try {
return new JumpDiffusionEdge (dblStart, dblDeterministic, new
org.drip.measure.realization.StochasticEdgeDiffusion (dblDiffusionStochastic), sej, jdeu);
} catch (java.lang.Exception e) {
e.printStackTrace();
}
return null;
}
/**
* JumpDiffusionEdge Constructor
*
* @param dblStart The Starting Random Variable Realization
* @param dblDeterministic The Deterministic Increment Component
* @param sed The Stochastic Diffusion Edge Instance
* @param sej The Stochastic Jump Edge Instance
* @param jdeu The Random Unit Realization
*
* @throws java.lang.Exception Thrown if the Inputs are Invalid
*/
public JumpDiffusionEdge (
final double dblStart,
final double dblDeterministic,
final org.drip.measure.realization.StochasticEdgeDiffusion sed,
final org.drip.measure.realization.StochasticEdgeJump sej,
final org.drip.measure.realization.JumpDiffusionEdgeUnit jdeu)
throws java.lang.Exception
{
_sed = sed;
_sej = sej;
if (!org.drip.numerical.common.NumberUtil.IsValid (_dblStart = dblStart) ||
!org.drip.numerical.common.NumberUtil.IsValid (_dblDeterministic = dblDeterministic) || (null == _sed
&& null == _sej) || null == (_jdeu = jdeu))
throw new java.lang.Exception ("JumpDiffusionEdge Constructor => Invalid Inputs");
}
/**
* Retrieve the Edge Time Increment
*
* @return The Edge Time Increment
*/
public double timeIncrement()
{
return _jdeu.timeIncrement();
}
/**
* Retrieve the Start Realization
*
* @return The Start Realization
*/
public double start()
{
return _dblStart;
}
/**
* Retrieve the Deterministic Component
*
* @return The Deterministic Component
*/
public double deterministic()
{
return _dblDeterministic;
}
/**
* Retrieve the Diffusion Stochastic Component
*
* @return The Diffusion Stochastic Component
*/
public double diffusionStochastic()
{
return null == _sed ? 0. : _sed.change();
}
/**
* Retrieve the Diffusion Wander Realization
*
* @return The Diffusion Wander Realization
*/
public double diffusionWander()
{
return _jdeu.diffusion();
}
/**
* Retrieve the Jump Stochastic Component
*
* @return The Jump Stochastic Component
*/
public double jumpStochastic()
{
return null == _sej ? 0. : _sej.target();
}
/**
* Retrieve the Jump Wander Realization
*
* @return The Jump Wander Realization
*/
public double jumpWander()
{
return _jdeu.jump();
}
/**
* Retrieve the Finish Realization
*
* @return The Finish Realization
*/
public double finish()
{
return null == _sej || !_sej.jumpOccurred() ? _dblStart + _dblDeterministic + diffusionStochastic() :
_sej.target();
}
/**
* Retrieve the Gross Change
*
* @return The Gross Change
*/
public double grossChange()
{
return finish() - _dblStart;
}
/**
* Retrieve the Stochastic Diffusion Edge Instance
*
* @return The Stochastic Diffusion Edge Instance
*/
public org.drip.measure.realization.StochasticEdgeDiffusion stochasticDiffusionEdge()
{
return _sed;
}
/**
* Retrieve the Stochastic Jump Edge Instance
*
* @return The Stochastic Jump Edge Instance
*/
public org.drip.measure.realization.StochasticEdgeJump stochasticJumpEdge()
{
return _sej;
}
}