JumpDiffusionEdgeUnit.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
*
* 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>JumpDiffusionEdgeUnit</i> holds the Jump Diffusion R<sup>d</sup> Unit Edge Realizations.
*
* <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 JumpDiffusionEdgeUnit {
private double _dblJump = java.lang.Double.NaN;
private double _dblDiffusion = java.lang.Double.NaN;
private double _dblTimeIncrement = java.lang.Double.NaN;
/**
* Generate a R^1 Uniform Diffusion Realization
*
* @param dblTimeIncrement The Time Increment
*
* @return The R^1 Uniform Diffusion Realization
*/
public static final JumpDiffusionEdgeUnit UniformDiffusion (
final double dblTimeIncrement)
{
try {
return new JumpDiffusionEdgeUnit (dblTimeIncrement, java.lang.Math.random(), 0.);
} catch (java.lang.Exception e) {
e.printStackTrace();
}
return null;
}
/**
* Generate a R^1 Gaussian Diffusion Realization
*
* @param dblTimeIncrement The Time Increment
*
* @return The R^1 Gaussian Diffusion Realization
*/
public static final JumpDiffusionEdgeUnit GaussianDiffusion (
final double dblTimeIncrement)
{
try {
return new JumpDiffusionEdgeUnit (dblTimeIncrement,
org.drip.measure.gaussian.NormalQuadrature.Random(), 0.);
} catch (java.lang.Exception e) {
e.printStackTrace();
}
return null;
}
/**
* Generate a R^1 Uniform Jump Realization
*
* @param dblTimeIncrement The Time Increment
*
* @return The R^1 Uniform Jump Realization
*/
public static final JumpDiffusionEdgeUnit UniformJump (
final double dblTimeIncrement)
{
try {
return new JumpDiffusionEdgeUnit (dblTimeIncrement, 0., java.lang.Math.random());
} catch (java.lang.Exception e) {
e.printStackTrace();
}
return null;
}
/**
* Generate a R^1 Gaussian Jump Realization
*
* @param dblTimeIncrement The Time Increment
*
* @return The R^1 Gaussian Jump Realization
*/
public static final JumpDiffusionEdgeUnit GaussianJump (
final double dblTimeIncrement)
{
try {
return new JumpDiffusionEdgeUnit (dblTimeIncrement, 0.,
org.drip.measure.gaussian.NormalQuadrature.Random());
} catch (java.lang.Exception e) {
e.printStackTrace();
}
return null;
}
/**
* Generate an Array of R^1 Diffusion Realizations
*
* @param adblTimeIncrement The Array of Time Increments
* @param adblDiffusionRealization The Array of Diffusion Realizations
*
* @return Array of R^1 Diffusion Realizations
*/
public static final JumpDiffusionEdgeUnit[] Diffusion (
final double[] adblTimeIncrement,
final double[] adblDiffusionRealization)
{
if (null == adblDiffusionRealization) return null;
int iSize = adblDiffusionRealization.length;
JumpDiffusionEdgeUnit[] aJDU = 0 == iSize ? null : new JumpDiffusionEdgeUnit[iSize];
if (0 == iSize || iSize != adblTimeIncrement.length) return null;
for (int i = 0; i < iSize; ++i) {
try {
aJDU[i] = new JumpDiffusionEdgeUnit (adblTimeIncrement[i], adblDiffusionRealization[i], 0.);
} catch (java.lang.Exception e) {
e.printStackTrace();
return null;
}
}
return aJDU;
}
/**
* Generate an Array of R^1 Jump Realizations
*
* @param adblTimeIncrement The Array of Time Increments
* @param adblJumpRealization The Array of Jump Realizations
*
* @return Array of R^1 Jump Realizations
*/
public static final JumpDiffusionEdgeUnit[] Jump (
final double[] adblTimeIncrement,
final double[] adblJumpRealization)
{
if (null == adblJumpRealization) return null;
int iSize = adblJumpRealization.length;
JumpDiffusionEdgeUnit[] aJDU = 0 == iSize ? null : new JumpDiffusionEdgeUnit[iSize];
if (0 == iSize || iSize != adblTimeIncrement.length) return null;
for (int i = 0; i < iSize; ++i) {
try {
aJDU[i] = new JumpDiffusionEdgeUnit (adblTimeIncrement[i], 0., adblJumpRealization[i]);
} catch (java.lang.Exception e) {
e.printStackTrace();
return null;
}
}
return aJDU;
}
/**
* Generate an Array of R^1 Jump Diffusion Realizations
*
* @param adblTimeIncrement The Array of Time Increments
* @param adblDiffusionRealization The Array of Diffusion Realizations
* @param adblJumpRealization The Array of Jump Realizations
*
* @return Array of R^1 Jump Diffusion Realizations
*/
public static final JumpDiffusionEdgeUnit[] JumpDiffusion (
final double[] adblTimeIncrement,
final double[] adblDiffusionRealization,
final double[] adblJumpRealization)
{
if (null == adblDiffusionRealization || null == adblJumpRealization) return null;
int iSize = adblDiffusionRealization.length;
JumpDiffusionEdgeUnit[] aJDEU = 0 == iSize ? null : new JumpDiffusionEdgeUnit[iSize];
if (0 == iSize || iSize != adblJumpRealization.length || iSize != adblTimeIncrement.length)
return null;
for (int i = 0; i < iSize; ++i) {
try {
aJDEU[i] = new JumpDiffusionEdgeUnit (adblTimeIncrement[i], adblDiffusionRealization[i],
adblJumpRealization[i]);
} catch (java.lang.Exception e) {
e.printStackTrace();
return null;
}
}
return aJDEU;
}
/**
* JumpDiffusionEdgeUnit Constructor
*
* @param dblTimeIncrement The Edge Time Increment
* @param dblDiffusion The Diffusion Random Variable
* @param dblJump The Jump Random Variable
*
* @throws java.lang.Exception Thrown if the Inputs are Invalid
*/
public JumpDiffusionEdgeUnit (
final double dblTimeIncrement,
final double dblDiffusion,
final double dblJump)
throws java.lang.Exception
{
if (!org.drip.numerical.common.NumberUtil.IsValid (_dblTimeIncrement = dblTimeIncrement) || 0. ==
_dblTimeIncrement || !org.drip.numerical.common.NumberUtil.IsValid (_dblDiffusion = dblDiffusion) ||
!org.drip.numerical.common.NumberUtil.IsValid (_dblJump = dblJump))
throw new java.lang.Exception ("JumpDiffusionEdgeUnit Constructor => Invalid Inputs");
}
/**
* Retrieve the Edge Time Increment
*
* @return The Edge Time Increment
*/
public double timeIncrement()
{
return _dblTimeIncrement;
}
/**
* Retrieve the Diffusion Unit Random Variable
*
* @return The Diffusion Unit Random Variable
*/
public double diffusion()
{
return _dblDiffusion;
}
/**
* Retrieve the Jump Unit Random Variable
*
* @return The Jump Unit Random Variable
*/
public double jump()
{
return _dblJump;
}
}