PathVertexRd.java

  1. package org.drip.state.sequence;

  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>PathVertexRd</i> exposes the Functionality to generate a Sequence of the Path Vertex Latent State
  81.  * R<sup>d</sup> Realizations across Multiple Paths.
  82.  *
  83.  *  <br><br>
  84.  *  <ul>
  85.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  86.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
  87.  *      <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>
  88.  *      <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>
  89.  *  </ul>
  90.  * <br><br>
  91.  *
  92.  * @author Lakshmi Krishnamurthy
  93.  */

  95. public class PathVertexRd {
  96.     private org.drip.measure.process.DiffusionEvolver[] _aDE = null;
  97.     private org.drip.measure.discrete.CorrelatedPathVertexDimension _cpvd = null;

  99.     /**
  100.      * Generate a Standard Instance of PathVertexRd
  101.      * 
  102.      * @param cpvd Latent State Evolver CPVD Instance
  103.      * @param de The Latent State Diffusion Evolver
  104.      * 
  105.      * @return Standard Instance of PathVertexRd
  106.      */

  108.     public static final PathVertexRd Standard (
  109.         final org.drip.measure.discrete.CorrelatedPathVertexDimension cpvd,
  110.         final org.drip.measure.process.DiffusionEvolver de)
  111.     {
  112.         if (null == cpvd || null == de) return null;

  114.         int iNumDimension = cpvd.numDimension();

  116.         org.drip.measure.process.DiffusionEvolver[] aDE = new
  117.             org.drip.measure.process.DiffusionEvolver[iNumDimension];

  119.         for (int iDimension = 0; iDimension < iNumDimension; ++iDimension)
  120.             aDE[iDimension] = de;

  122.         try {
  123.             return new PathVertexRd (cpvd, aDE);
  124.         } catch (java.lang.Exception e) {
  125.             e.printStackTrace();
  126.         }

  128.         return null;
  129.     }

  131.     /**
  132.      * PathVertexRd Constructor
  133.      * 
  134.      * @param cpvd Latent State Evolver CPVD Instance
  135.      * @param aDE Array of the Latent State Diffusion Evolvers
  136.      * 
  137.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  138.      */

  140.     public PathVertexRd (
  141.         final org.drip.measure.discrete.CorrelatedPathVertexDimension cpvd,
  142.         final org.drip.measure.process.DiffusionEvolver[] aDE)
  143.         throws java.lang.Exception
  144.     {
  145.         if (null == (_cpvd = cpvd) || null == (_aDE = aDE))
  146.             throw new java.lang.Exception ("PathVertexRd Constructor => Invalid Inputs");

  148.         int iNumDimension = _aDE.length;

  150.         if (iNumDimension != _cpvd.numDimension())
  151.             throw new java.lang.Exception ("PathVertexRd Constructor => Invalid Inputs");

  153.         for (int iDimension = 0; iDimension < iNumDimension; ++iDimension) {
  154.             if (null == _aDE[iDimension])
  155.                 throw new java.lang.Exception ("PathVertexRd Constructor => Invalid Inputs");
  156.         }
  157.     }

  159.     /**
  160.      * Retrieve the Latent State Dimension
  161.      * 
  162.      * @return The Latent State Dimension
  163.      */

  165.     public int dimension()
  166.     {
  167.         return _aDE.length;
  168.     }

  170.     /**
  171.      * Retrieve the Latent State Evolver CPVD Instance
  172.      * 
  173.      * @return The Latent State Evolver CPVD Instance
  174.      */

  176.     public org.drip.measure.discrete.CorrelatedPathVertexDimension cpvd()
  177.     {
  178.         return _cpvd;
  179.     }

  181.     /**
  182.      * Retrieve the Array of the Latent State Diffusion Evolvers
  183.      * 
  184.      * @return The Array of the Latent State Diffusion Evolvers
  185.      */

  187.     public org.drip.measure.process.DiffusionEvolver[] evolver()
  188.     {
  189.         return _aDE;
  190.     }

  192.     /**
  193.      * Generate the R^d Path Vertex Realizations using the Initial R^d and the Evolution Time Width
  194.      * 
  195.      * @param adblPathInitial The Initial Path R^d
  196.      * @param adblTimeIncrement The Array of Evolution Time Width Increments
  197.      * 
  198.      * @return The R^d Path Vertex Realizations
  199.      */

  201.     public double[][][] pathVertex (
  202.         final double[] adblPathInitial,
  203.         final double[] adblTimeIncrement)
  204.     {
  205.         if (null == adblPathInitial || null == adblTimeIncrement) return null;

  207.         int iNumPath = _cpvd.numPath();

  209.         int iNumDimension = dimension();

  211.         int iNumVertex = _cpvd.numVertex();

  213.         if (iNumDimension != adblPathInitial.length || iNumVertex != adblTimeIncrement.length) return null;

  215.         double[][][] aaadblPathForward = new double[iNumPath][iNumVertex][iNumDimension];

  217.         org.drip.measure.discrete.VertexRd[] aVertexRd = _cpvd.multiPathVertexRd();

  219.         if (null == aVertexRd || iNumPath != aVertexRd.length) return null;

  221.         for (int iPath = 0; iPath < iNumPath; ++iPath) {
  222.             if (null == aVertexRd[iPath]) return null;

  224.             java.util.List<double[]> lsVertexRd = aVertexRd[iPath].vertexList();

  226.             org.drip.measure.realization.JumpDiffusionEdgeUnit[][] aaJDEU = new
  227.                 org.drip.measure.realization.JumpDiffusionEdgeUnit[iNumDimension][iNumVertex];
  228.             org.drip.measure.realization.JumpDiffusionVertex[][] aaJDV = new
  229.                 org.drip.measure.realization.JumpDiffusionVertex[iNumDimension][iNumVertex + 1];

  231.             for (int iTimeVertex = 0; iTimeVertex < iNumVertex; ++iTimeVertex) {
  232.                 double[] adblRd = lsVertexRd.get (iTimeVertex);

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

  236.                 for (int iDimension = 0; iDimension < iNumDimension; ++iDimension) {
  237.                     try {
  238.                         aaJDEU[iDimension][iTimeVertex] = new
  239.                             org.drip.measure.realization.JumpDiffusionEdgeUnit
  240.                                 (adblTimeIncrement[iTimeVertex], adblRd[iDimension], 0.);
  241.                     } catch (java.lang.Exception e) {
  242.                         e.printStackTrace();

  244.                         return null;
  245.                     }
  246.                 }
  247.             }

  249.             for (int iDimension = 0; iDimension < iNumDimension; ++iDimension) {
  250.                 try {
  251.                     aaJDV[iDimension] = _aDE[iDimension].vertexSequence (new
  252.                         org.drip.measure.realization.JumpDiffusionVertex (0., adblPathInitial[iDimension],
  253.                             0., false), aaJDEU[iDimension], adblTimeIncrement);
  254.                 } catch (java.lang.Exception e) {
  255.                     e.printStackTrace();

  257.                     return null;
  258.                 }
  259.             }

  261.             for (int iTimeVertex = 0; iTimeVertex < iNumVertex; ++iTimeVertex) {
  262.                 for (int iDimension = 0; iDimension < iNumDimension; ++iDimension)
  263.                     aaadblPathForward[iPath][iTimeVertex][iDimension] =
  264.                         aaJDV[iDimension][iTimeVertex].value();
  265.             }
  266.         }

  268.         return aaadblPathForward;
  269.     }

  271.     /**
  272.      * Generate the R^d Path Vertex Realizations using the Initial R^d and the Evolution Time Width
  273.      * 
  274.      * @param adblPathInitial The Initial Path R^d
  275.      * @param dblTimeIncrement The Evolution Time Width
  276.      * 
  277.      * @return The R^d Path Vertex Realizations
  278.      */

  280.     public double[][][] pathVertex (
  281.         final double[] adblPathInitial,
  282.         final double dblTimeIncrement)
  283.     {
  284.         if (!org.drip.numerical.common.NumberUtil.IsValid (dblTimeIncrement)) return null;

  286.         int iNumVertex = _cpvd.numVertex();

  288.         double[] adblTimeIncrement = new double[iNumVertex];

  290.         for (int iTimeVertex = 0; iTimeVertex < iNumVertex; ++iTimeVertex)
  291.             adblTimeIncrement[iTimeVertex] = dblTimeIncrement;

  293.         return pathVertex (adblPathInitial, adblTimeIncrement);
  294.     }

  296.     /**
  297.      * Generate the R^d Path Vertex Realizations using the Initial R^d and the Array of Event Tenors
  298.      * 
  299.      * @param adblPathInitial The Initial Path R^d
  300.      * @param astrEventTenor The Array of Event Tenors
  301.      * 
  302.      * @return The R^d Path Vertex Realizations
  303.      */

  305.     public double[][][] pathVertex (
  306.         final double[] adblPathInitial,
  307.         final java.lang.String[] astrEventTenor)
  308.     {
  309.         if (null == astrEventTenor) return null;

  311.         int iNumVertex = _cpvd.numVertex();

  313.         if (iNumVertex != astrEventTenor.length) return null;

  315.         double[] adblTimeIncrement = new double[iNumVertex];

  317.         for (int iTimeVertex = 0; iTimeVertex < iNumVertex; ++iTimeVertex) {
  318.             try {
  319.                 adblTimeIncrement[iTimeVertex] = org.drip.analytics.support.Helper.TenorToYearFraction
  320.                     (astrEventTenor[iTimeVertex]);
  321.             } catch (java.lang.Exception e) {
  322.                 e.printStackTrace();

  324.                 return null;
  325.             }
  326.         }

  328.         return pathVertex (adblPathInitial, adblTimeIncrement);
  329.     }

  331.     /**
  332.      * Generate the R^d Path Vertex Realizations using the Initial R^d and the Array of Event Tenors
  333.      * 
  334.      * @param adblPathInitial The Initial Path R^d
  335.      * @param iSpotDate The Spot Date
  336.      * @param aiEventDate The Array of Event Dates
  337.      * 
  338.      * @return The R^d Path Vertex Realizations
  339.      */

  341.     public double[][][] pathVertex (
  342.         final double[] adblPathInitial,
  343.         final int iSpotDate,
  344.         final int[] aiEventDate)
  345.     {
  346.         if (null == aiEventDate) return null;

  348.         int iNumVertex = _cpvd.numVertex();

  350.         if (iNumVertex != aiEventDate.length) return null;

  352.         double[] adblTimeIncrement = new double[iNumVertex];

  354.         org.drip.analytics.daycount.ActActDCParams aap =
  355.             org.drip.analytics.daycount.ActActDCParams.FromFrequency (1);

  357.         for (int iTimeVertex = 0; iTimeVertex < iNumVertex; ++iTimeVertex) {
  358.             try {
  359.                 adblTimeIncrement[iTimeVertex] = org.drip.analytics.daycount.Convention.YearFraction
  360.                     (iSpotDate, aiEventDate[iTimeVertex], "Act/Act ISDA", false, aap, "");
  361.             } catch (java.lang.Exception e) {
  362.                 e.printStackTrace();

  364.                 return null;
  365.             }
  366.         }

  368.         return pathVertex (adblPathInitial, adblTimeIncrement);
  369.     }
  370. }
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