PathRd.java

package org.drip.state.sequence;

/*
 * -*- 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>PathRd</i> exposes the Functionality to generate a Sequence of the Path Vertex Latent State
 * R<sup>d</sup> Realizations across Multiple Paths.
 *
 *  <br><br>
 *  <ul>
 *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
 *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
 *      <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/state/README.md">Latent State Inference and Creation Utilities</a></li>
 *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/state/sequence/README.md">Monte Carlo Path State Realizations</a></li>
 *  </ul>
 * <br><br>
 *
 * @author Lakshmi Krishnamurthy
 */

public class PathRd {
    private double[] _adblMean = null;
    private boolean _bLogNormal = false;
    private double _dblVolatility = java.lang.Double.NaN;

    /**
     * PathRd Constructor
     * 
     * @param adblMean Array of Mean
     * @param dblVolatility Volatility
     * @param bLogNormal TRUE - The Generated Random Numbers are Log Normal
     * 
     * @throws java.lang.Exception Thrown if Inputs are Invalid
     */

    public PathRd (
        final double[] adblMean,
        final double dblVolatility,
        final boolean bLogNormal)
        throws java.lang.Exception
    {
        if (!org.drip.numerical.common.NumberUtil.IsValid (_adblMean = adblMean) || null == _adblMean || 0 ==
            _adblMean.length || !org.drip.numerical.common.NumberUtil.IsValid (_dblVolatility = dblVolatility) ||
                0. >= _dblVolatility)
            throw new java.lang.Exception ("PathRd Constructor => Invalid Inputs");

        _bLogNormal = bLogNormal;
    }

    /**
     * Indicate if the Random Numbers are Gaussian/LogNormal
     * 
     * @return TRUE - The Generated Random Numbers are Log Normal
     */

    public boolean logNormal()
    {
        return _bLogNormal;
    }

    /**
     * Retrieve the R^d Dimension
     * 
     * @return The R^d Dimension
     */

    public int dimension()
    {
        return _adblMean.length;
    }

    /**
     * Retrieve the Array of Means
     * 
     * @return The Array of Means
     */

    public double[] mean()
    {
        return _adblMean;
    }

    /**
     * Retrieve the Volatility
     * 
     * @return The Volatility
     */

    public double volatility()
    {
        return _dblVolatility;
    }

    /**
     * Generate the Sequence of Path Realizations
     * 
     * @param iNumPath Number of Paths
     * 
     * @return The Sequence of Path Realizations
     */

    public double[][] sequence (
        final int iNumPath)
    {
        if (0 >= iNumPath) return null;

        int iNumDimension = _adblMean.length;
        double[][] aadblSequence = new double[iNumPath][iNumDimension];

        for (int iPath = 0; iPath < iNumPath; ++iPath) {
            double[] adblRandom = org.drip.measure.discrete.SequenceGenerator.Gaussian (iNumDimension);

            if (null == adblRandom || iNumDimension != adblRandom.length) return null;

            for (int iDimension = 0; iDimension < iNumDimension; ++iDimension) {
                double dblWander = _dblVolatility * adblRandom[iDimension];

                aadblSequence[iPath][iDimension] = _bLogNormal ? _adblMean[iDimension] * java.lang.Math.exp
                    (dblWander) : _adblMean[iDimension] + dblWander;
            }
        }

        return aadblSequence;
    }
}