JumpDiffusionEdgeUnit.java

  1. package org.drip.measure.realization;

  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>JumpDiffusionEdgeUnit</i> holds the Jump Diffusion R<sup>d</sup> Unit Edge Realizations.
  81.  *
  82.  *  <br><br>
  83.  *  <ul>
  84.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationalCore.md">Computational Core Module</a></li>
  85.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/NumericalAnalysisLibrary.md">Numerical Analysis Library</a></li>
  86.  *      <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>
  87.  *      <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>
  88.  *  </ul>
  89.  *
  90.  * @author Lakshmi Krishnamurthy
  91.  */

  93. public class JumpDiffusionEdgeUnit {
  94.     private double _dblJump = java.lang.Double.NaN;
  95.     private double _dblDiffusion = java.lang.Double.NaN;
  96.     private double _dblTimeIncrement = java.lang.Double.NaN;

  98.     /**
  99.      * Generate a R^1 Uniform Diffusion Realization
  100.      * 
  101.      * @param dblTimeIncrement The Time Increment
  102.      * 
  103.      * @return The R^1 Uniform Diffusion Realization
  104.      */

  106.     public static final JumpDiffusionEdgeUnit UniformDiffusion (
  107.         final double dblTimeIncrement)
  108.     {
  109.         try {
  110.             return new JumpDiffusionEdgeUnit (dblTimeIncrement, java.lang.Math.random(), 0.);
  111.         } catch (java.lang.Exception e) {
  112.             e.printStackTrace();
  113.         }

  115.         return null;
  116.     }

  118.     /**
  119.      * Generate a R^1 Gaussian Diffusion Realization
  120.      * 
  121.      * @param dblTimeIncrement The Time Increment
  122.      * 
  123.      * @return The R^1 Gaussian Diffusion Realization
  124.      */

  126.     public static final JumpDiffusionEdgeUnit GaussianDiffusion (
  127.         final double dblTimeIncrement)
  128.     {
  129.         try {
  130.             return new JumpDiffusionEdgeUnit (dblTimeIncrement,
  131.                 org.drip.measure.gaussian.NormalQuadrature.Random(), 0.);
  132.         } catch (java.lang.Exception e) {
  133.             e.printStackTrace();
  134.         }

  136.         return null;
  137.     }

  139.     /**
  140.      * Generate a R^1 Uniform Jump Realization
  141.      * 
  142.      * @param dblTimeIncrement The Time Increment
  143.      * 
  144.      * @return The R^1 Uniform Jump Realization
  145.      */

  147.     public static final JumpDiffusionEdgeUnit UniformJump (
  148.         final double dblTimeIncrement)
  149.     {
  150.         try {
  151.             return new JumpDiffusionEdgeUnit (dblTimeIncrement, 0., java.lang.Math.random());
  152.         } catch (java.lang.Exception e) {
  153.             e.printStackTrace();
  154.         }

  156.         return null;
  157.     }

  159.     /**
  160.      * Generate a R^1 Gaussian Jump Realization
  161.      * 
  162.      * @param dblTimeIncrement The Time Increment
  163.      * 
  164.      * @return The R^1 Gaussian Jump Realization
  165.      */

  167.     public static final JumpDiffusionEdgeUnit GaussianJump (
  168.         final double dblTimeIncrement)
  169.     {
  170.         try {
  171.             return new JumpDiffusionEdgeUnit (dblTimeIncrement, 0.,
  172.                 org.drip.measure.gaussian.NormalQuadrature.Random());
  173.         } catch (java.lang.Exception e) {
  174.             e.printStackTrace();
  175.         }

  177.         return null;
  178.     }

  180.     /**
  181.      * Generate an Array of R^1 Diffusion Realizations
  182.      * 
  183.      * @param adblTimeIncrement The Array of Time Increments
  184.      * @param adblDiffusionRealization The Array of Diffusion Realizations
  185.      * 
  186.      * @return Array of R^1 Diffusion Realizations
  187.      */

  189.     public static final JumpDiffusionEdgeUnit[] Diffusion (
  190.         final double[] adblTimeIncrement,
  191.         final double[] adblDiffusionRealization)
  192.     {
  193.         if (null == adblDiffusionRealization) return null;

  195.         int iSize = adblDiffusionRealization.length;
  196.         JumpDiffusionEdgeUnit[] aJDU = 0 == iSize ? null : new JumpDiffusionEdgeUnit[iSize];

  198.         if (0 == iSize || iSize != adblTimeIncrement.length) return null;

  200.         for (int i = 0; i < iSize; ++i) {
  201.             try {
  202.                 aJDU[i] = new JumpDiffusionEdgeUnit (adblTimeIncrement[i], adblDiffusionRealization[i], 0.);
  203.             } catch (java.lang.Exception e) {
  204.                 e.printStackTrace();

  206.                 return null;
  207.             }
  208.         }

  210.         return aJDU;
  211.     }

  213.     /**
  214.      * Generate an Array of R^1 Jump Realizations
  215.      * 
  216.      * @param adblTimeIncrement The Array of Time Increments
  217.      * @param adblJumpRealization The Array of Jump Realizations
  218.      * 
  219.      * @return Array of R^1 Jump Realizations
  220.      */

  222.     public static final JumpDiffusionEdgeUnit[] Jump (
  223.         final double[] adblTimeIncrement,
  224.         final double[] adblJumpRealization)
  225.     {
  226.         if (null == adblJumpRealization) return null;

  228.         int iSize = adblJumpRealization.length;
  229.         JumpDiffusionEdgeUnit[] aJDU = 0 == iSize ? null : new JumpDiffusionEdgeUnit[iSize];

  231.         if (0 == iSize || iSize != adblTimeIncrement.length) return null;

  233.         for (int i = 0; i < iSize; ++i) {
  234.             try {
  235.                 aJDU[i] = new JumpDiffusionEdgeUnit (adblTimeIncrement[i], 0., adblJumpRealization[i]);
  236.             } catch (java.lang.Exception e) {
  237.                 e.printStackTrace();

  239.                 return null;
  240.             }
  241.         }

  243.         return aJDU;
  244.     }

  246.     /**
  247.      * Generate an Array of R^1 Jump Diffusion Realizations
  248.      * 
  249.      * @param adblTimeIncrement The Array of Time Increments
  250.      * @param adblDiffusionRealization The Array of Diffusion Realizations
  251.      * @param adblJumpRealization The Array of Jump Realizations
  252.      * 
  253.      * @return Array of R^1 Jump Diffusion Realizations
  254.      */

  256.     public static final JumpDiffusionEdgeUnit[] JumpDiffusion (
  257.         final double[] adblTimeIncrement,
  258.         final double[] adblDiffusionRealization,
  259.         final double[] adblJumpRealization)
  260.     {
  261.         if (null == adblDiffusionRealization || null == adblJumpRealization) return null;

  263.         int iSize = adblDiffusionRealization.length;
  264.         JumpDiffusionEdgeUnit[] aJDEU = 0 == iSize ? null : new JumpDiffusionEdgeUnit[iSize];

  266.         if (0 == iSize || iSize != adblJumpRealization.length || iSize != adblTimeIncrement.length)
  267.             return null;

  269.         for (int i = 0; i < iSize; ++i) {
  270.             try {
  271.                 aJDEU[i] = new JumpDiffusionEdgeUnit (adblTimeIncrement[i], adblDiffusionRealization[i],
  272.                     adblJumpRealization[i]);
  273.             } catch (java.lang.Exception e) {
  274.                 e.printStackTrace();

  276.                 return null;
  277.             }
  278.         }

  280.         return aJDEU;
  281.     }

  283.     /**
  284.      * JumpDiffusionEdgeUnit Constructor
  285.      * 
  286.      * @param dblTimeIncrement The Edge Time Increment
  287.      * @param dblDiffusion The Diffusion Random Variable
  288.      * @param dblJump The Jump Random Variable
  289.      * 
  290.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  291.      */

  293.     public JumpDiffusionEdgeUnit (
  294.         final double dblTimeIncrement,
  295.         final double dblDiffusion,
  296.         final double dblJump)
  297.         throws java.lang.Exception
  298.     {
  299.         if (!org.drip.numerical.common.NumberUtil.IsValid (_dblTimeIncrement = dblTimeIncrement) || 0. ==
  300.             _dblTimeIncrement || !org.drip.numerical.common.NumberUtil.IsValid (_dblDiffusion = dblDiffusion) ||
  301.                 !org.drip.numerical.common.NumberUtil.IsValid (_dblJump = dblJump))
  302.             throw new java.lang.Exception ("JumpDiffusionEdgeUnit Constructor => Invalid Inputs");
  303.     }

  305.     /**
  306.      * Retrieve the Edge Time Increment
  307.      * 
  308.      * @return The Edge Time Increment
  309.      */

  311.     public double timeIncrement()
  312.     {
  313.         return _dblTimeIncrement;
  314.     }

  316.     /**
  317.      * Retrieve the Diffusion Unit Random Variable
  318.      * 
  319.      * @return The Diffusion Unit Random Variable
  320.      */

  322.     public double diffusion()
  323.     {
  324.         return _dblDiffusion;
  325.     }

  327.     /**
  328.      * Retrieve the Jump Unit Random Variable
  329.      * 
  330.      * @return The Jump Unit Random Variable
  331.      */

  333.     public double jump()
  334.     {
  335.         return _dblJump;
  336.     }
  337. }
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