BrownianBridgeLinear.java

package org.drip.sample.measure;

import org.drip.analytics.date.*;
import org.drip.measure.bridge.BrokenDateInterpolatorBrownian3P;
import org.drip.numerical.common.FormatUtil;
import org.drip.service.env.EnvManager;

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

/*!
 * 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 risk, transaction costs, exposure, margin
 *      calculations, valuation adjustment, and portfolio construction within and across fixed income,
 *      credit, commodity, equity, FX, and structured products.
 *  
 *      https://lakshmidrip.github.io/DROP/
 *  
 *  DROP is composed of three modules:
 *  
 *  - DROP Analytics Core - https://lakshmidrip.github.io/DROP-Analytics-Core/
 *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
 *  - DROP Numerical Core - https://lakshmidrip.github.io/DROP-Numerical-Core/
 * 
 *  DROP Analytics Core implements libraries for the following:
 *  - Fixed Income Analytics
 *  - Asset Backed Analytics
 *  - XVA Analytics
 *  - Exposure and Margin Analytics
 * 
 *  DROP Portfolio Core implements libraries for the following:
 *  - Asset Allocation Analytics
 *  - Transaction Cost Analytics
 * 
 *  DROP Numerical Core implements libraries for the following:
 *  - Statistical Learning
 *  - Numerical Optimizer
 *  - Spline Builder
 *  - Algorithm Support
 * 
 *  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>BrownianBridgeLinear</i> demonstrates using the Brownian Bridge Scheme to Interpolate Three Linear
 * Value Points.
 *  
 * <br><br>
 *  <ul>
 *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/NumericalCore.md">Numerical Core Module</a></li>
 *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/NumericalSupportLibrary.md">Numerical Support Library</a></li>
 *      <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/sample/README.md">Sample</a></li>
 *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/sample/measure/README.md">Probability Measure Generators</a></li>
 *  </ul>
 * <br><br>
 *
 * @author Lakshmi Krishnamurthy
 */

public class BrownianBridgeLinear {

    public static final void main (
        final String[] astrArgs)
        throws Exception
    {
        EnvManager.InitEnv ("");

        JulianDate dt1 = DateUtil.CreateFromYMD (
            2015,
            DateUtil.JULY,
            1
        );

        JulianDate dt2 = DateUtil.CreateFromYMD (
            2015,
            DateUtil.AUGUST,
            1
        );

        JulianDate dt3 = DateUtil.CreateFromYMD (
            2015,
            DateUtil.SEPTEMBER,
            1
        );

        double dblV1 = 10.;
        double dblV2 = 15.;
        double dblV3 = 20.;

        int iDaysStep = 2;

        BrokenDateInterpolatorBrownian3P tpbb = new BrokenDateInterpolatorBrownian3P (
            dt1.julian(),
            dt2.julian(),
            dt3.julian(),
            dblV1,
            dblV2,
            dblV3
        );

        System.out.println();

        System.out.println ("\t||--------------------------||");

        System.out.println ("\t||  BROWNIAN BRIDGE LINEAR  ||");

        System.out.println ("\t||--------------------------||");

        System.out.println (
            "\t|| [" + dt1 + "] => " +
            FormatUtil.FormatDouble (tpbb.interpolate (dt1.julian()), 2, 3, 1.) + " ||"
        );

        JulianDate dt = dt1.addDays (iDaysStep);

        while (dt.julian() < dt3.julian()) {
            System.out.println (
                "\t|| [" + dt + "] => " +
                FormatUtil.FormatDouble (tpbb.interpolate (dt.julian()), 2, 3, 1.) + " ||"
            );

            dt = dt.addDays (iDaysStep);
        }

        System.out.println (
            "\t|| [" + dt3 + "] => " +
            FormatUtil.FormatDouble (tpbb.interpolate (dt3.julian()), 2, 3, 1.) + " ||"
        );

        System.out.println ("\t||--------------------------||");

        System.out.println();

        EnvManager.TerminateEnv();
    }
}