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finmath lib is a Mathematical Finance Library in Java.
It provides algorithms and methodologies related to mathematical finance.
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/*
* (c) Copyright Christian P. Fries, Germany. Contact: [email protected].
*
* Created on 21.10.2007
* Created on 02.02.2014
*/
package net.finmath.stochastic;
import java.io.Serializable;
import java.util.List;
import java.util.function.DoubleBinaryOperator;
import java.util.function.DoubleUnaryOperator;
import java.util.function.IntToDoubleFunction;
import java.util.stream.DoubleStream;
import net.finmath.functions.DoubleTernaryOperator;
/**
* This interface describes the methods implemented by an immutable random variable.
*
* The random variable is immutable, i.e. method calls like add, sub, mult will return
* a new instance and leave the method receiver random variable unchanged (immutable).
* This is used to ensure that arguments or return values are not changed.
*
* @author Christian Fries
* @version 1.6
*/
public interface RandomVariable extends Serializable {
/**
* Compare this random variable with a given one
*
* @param randomVariable Random variable to compare with.
* @return True if this random variable and the given one are equal, otherwise false
*/
boolean equals(RandomVariable randomVariable);
/**
* Returns the filtration time.
*
* @return The filtration time.
*/
double getFiltrationTime();
/**
* Returns the type priority.
*
* @return The type priority.
* @see ssrn abstract 3246127
*/
int getTypePriority();
/**
* Evaluate at a given path or state.
*
* @param pathOrState Index of the path or state.
* @return Value of this random variable at the given path or state.
*/
double get(int pathOrState);
/**
* Returns the number of paths or states.
*
* @return Number of paths or states.
*/
int size();
/**
* Check if this random variable is deterministic in the sense that it is represented by a single double value.
* Note that the methods returns false, if the random variable is represented by a vector where each element has the same value.
*
* @return True if this random variable is deterministic.
*/
boolean isDeterministic();
/**
* Returns the underlying values and a random variable.
*
* If the implementation supports an "inner representation", returns the inner representation. Otherwise just returns this.
*
* @return The underling values.
*/
default RandomVariable getValues() { return this; }
/**
* Returns a vector representing the realization of this random variable.
* This method is merely useful for analysis. Its interpretation depends on the context (Monte-Carlo or lattice).
* The method does not expose an internal data model.
*
* @return Vector of realizations of this random variable.
*/
double[] getRealizations();
/**
* Returns the double value if isDeterministic() is true. otherwise throws an {@link UnsupportedOperationException}.
*
* @return The double value if isDeterministic() is true, otherwise throws an an {@link UnsupportedOperationException}.
*/
Double doubleValue();
/**
* Returns the operator path → this.get(path) corresponding to this random variable.
*
* @return The operator path → this.get(path) corresponding to this random variable.
*/
IntToDoubleFunction getOperator();
/**
* Returns a stream of doubles corresponding to the realizations of this random variable.
*
* @return A stream of doubles corresponding to the realizations of this random variable.
*/
DoubleStream getRealizationsStream();
/**
* Returns the minimum value attained by this random variable.
*
* @return The minimum value.
*/
double getMin();
/**
* Returns the maximum value attained by this random variable.
*
* @return The maximum value.
*/
double getMax();
/**
* Returns the expectation of this random variable.
* The result of this method has to agrees with average().doubleValue().
*
* @return The average assuming equi-distribution.
*/
double getAverage();
/**
* Returns the expectation of this random variable for a given probability measure (weight).
*
* The result of this method is (mathematically) equivalent to
*
* this.mult(probabilities).getAverage() / probabilities.getAverage()
*
* while the internal implementation may differ, e.g. being more efficient by performing multiplication and summation in the same loop.
*
* @param probabilities The probability weights.
* @return The average assuming the given probability weights.
*/
double getAverage(RandomVariable probabilities);
/**
* Returns the variance of this random variable, i.e.,
* V where V = ((X-m)^2).getAverage() and X = this and m = X.getAverage().
*
* @return The average assuming equi-distribution.
*/
double getVariance();
/**
* Returns the variance of this random variable, i.e.,
* V where V = ((X-m)^2).getAverage(probabilities) and X = this and m = X.getAverage(probabilities).
*
* @param probabilities The probability weights.
* @return The average assuming the given probability weights.
*/
double getVariance(RandomVariable probabilities);
/**
* Returns the sample variance of this random variable, i.e.,
* V * size()/(size()-1) where V = getVariance().
*
* @return The sample variance.
*/
double getSampleVariance();
/**
* Returns the standard deviation of this random variable, i.e.,
* sqrt(V) where V = ((X-m)^2).getAverage() and X = this and m = X.getAverage().
*
* @return The standard deviation assuming equi-distribution.
*/
double getStandardDeviation();
/**
* Returns the standard deviation of this random variable, i.e.,
* sqrt(V) where V = ((X-m)^2).getAverage(probabilities) and X = this and m = X.getAverage(probabilities).
*
* @param probabilities The probability weights.
* @return The standard error assuming the given probability weights.
*/
double getStandardDeviation(RandomVariable probabilities);
/**
* Returns the standard error (discretization error) of this random variable.
* For a Monte-Carlo simulation this is 1/Math.sqrt(n) * {@link #getStandardDeviation() }.
*
* @return The standard error assuming equi-distribution.
*/
double getStandardError();
/**
* Returns the standard error (discretization error) of this random variable.
* For a Monte-Carlo simulation this is 1/Math.sqrt(n) * {@link #getStandardDeviation(RandomVariable) }.
*
* @param probabilities The probability weights.
* @return The standard error assuming the given probability weights.
*/
double getStandardError(RandomVariable probabilities);
/**
* Returns the quantile value for this given random variable, i.e., the value x such that P(this < x) = quantile,
* where P denotes the probability measure.
* The method will consider picewise constant values (with constant extrapolation) in the random variable.
* That is getQuantile(0) wiil return the smallest value and getQuantile(1) will return the largest value.
*
* @param quantile The quantile level.
* @return The quantile value assuming equi-distribution.
*/
double getQuantile(double quantile);
/**
* Returns the quantile value for this given random variable, i.e., the value x such that P(this < x) = quantile,
* where P denotes the probability measure.
*
* @param quantile The quantile level.
* @param probabilities The probability weights.
* @return The quantile value assuming the given probability weights.
*/
double getQuantile(double quantile, RandomVariable probabilities);
/**
* Returns the expectation over a quantile for this given random variable.
* The method will consider picewise constant values (with constant extrapolation) in the random variable.
* For a ≤ b the method returns (Σa ≤ i ≤ b x[i]) / (b-a+1), where
*
* - a = min(max((n+1) * quantileStart - 1, 0, 1);
* - b = min(max((n+1) * quantileEnd - 1, 0, 1);
* - n = this.size();
*
* For quantileStart > quantileEnd the method returns getQuantileExpectation(quantileEnd, quantileStart).
*
* @param quantileStart Lower bound of the integral.
* @param quantileEnd Upper bound of the integral.
* @return The (conditional) expectation of the values between two quantile levels assuming equi-distribution.
*/
double getQuantileExpectation(double quantileStart, double quantileEnd);
/**
* Generates a Histogram based on the realizations stored in this random variable.
* The returned result array's length is intervalPoints.length+1.
*
* - The value result[0] equals the relative frequency of values observed in the interval ( -infinity, intervalPoints[0] ].
* - The value result[i] equals the relative frequency of values observed in the interval ( intervalPoints[i-1], intervalPoints[i] ].
* - The value result[n] equals the relative frequency of values observed in the interval ( intervalPoints[n-1], infinity ).
*
* where n = intervalPoints.length. Note that the intervals are open on the left, closed on the right, i.e.,
* result[i] contains the number of elements x with intervalPoints[i-1] < x ≤ intervalPoints[i].
*
* Thus, is you have a random variable which only takes values contained in the (sorted) array
* possibleValues, then result = getHistogram(possibleValues) returns an
* array where result[i] is the relative frequency of occurrence of possibleValues[i].
*
* The sum of result[i] over all i is equal to 1, except for uninitialized random
* variables where all values are 0.
*
* @param intervalPoints Array of ascending values defining the interval boundaries.
* @return A histogram with respect to a provided interval.
*/
double[] getHistogram(double[] intervalPoints);
/**
* Generates a histogram based on the realizations stored in this random variable
* using interval points calculated from the arguments, see also {@link #getHistogram(double[])}.
* The interval points are
* set with equal distance over an the interval of the specified standard deviation.
*
* The interval points used are
* x[i] = mean + alpha[i] * standardDeviations * sigma
* where
*
* - i = 0,..., numberOfPoints-1,
* - alpha[i] = (i - (numberOfPoints-1)/2.0) / ((numberOfPoints-1)/2.0),
* - mean = {@link #getAverage()},
* - sigma = {@link #getStandardDeviation()}.
*
*
* The methods result is an array of two vectors, where result[0] are the
* intervals center points ('anchor points') and result[1] contains the relative frequency for the interval.
* The 'anchor point' for the interval (-infinity, x[0]) is x[0] - 1/2 (x[1]-x[0])
* and the 'anchor point' for the interval (x[n], infinity) is x[n] + 1/2 (x[n]-x[n-1]).
* Here n = numberOfPoints is the number of interval points.
*
* @param numberOfPoints The number of interval points.
* @param standardDeviations The number of standard deviations defining the discretization radius.
* @return A histogram, given as double[2][], where result[0] are the center point of the intervals and result[1] is the value of {@link #getHistogram(double[])} for the given the interval points. The length of result[0] and result[1] is numberOfPoints+1.
*/
double[][] getHistogram(int numberOfPoints, double standardDeviations);
/**
* Return a cacheable version of this object (often a self-reference).
* This method should be called when you store the object for later use,
* i.e., assign it, or when the object is consumed in a function, but later
* used also in another function.
*
* @return A cacheable version of this object (often a self-reference).
*/
RandomVariable cache();
/**
* Applies x → operator(x) to this random variable.
* It returns a new random variable with the result.
*
* @param operator An unary operator/function, mapping RandomVariable to RandomVariable.
* @return New random variable with the result of the function.
*/
default RandomVariable appy(RandomOperator operator) {
return operator.apply(this);
}
/**
* Applies x → operator(x) to this random variable.
* It returns a new random variable with the result.
*
* @param operator An unary operator/function, mapping double to double.
* @return New random variable with the result of the function.
*/
RandomVariable apply(DoubleUnaryOperator operator);
/**
* Applies x → operator(x,y) to this random variable, where x is this random variable and y is a given random variable.
* It returns a new random variable with the result.
*
* @param operator A binary operator/function, mapping (double,double) to double.
* @param argument A random variable.
* @return New random variable with the result of the function.
*/
RandomVariable apply(DoubleBinaryOperator operator, RandomVariable argument);
/**
* Applies x → operator(x,y,z) to this random variable, where x is this random variable and y and z are given random variable.
* It returns a new random variable with the result.
*
* @param operator A ternary operator/function, mapping (double,double,double) to double.
* @param argument1 A random variable representing y.
* @param argument2 A random variable representing z.
* @return New random variable with the result of the function.
*/
RandomVariable apply(DoubleTernaryOperator operator, RandomVariable argument1, RandomVariable argument2);
/**
* Applies x → min(x,cap) to this random variable.
* It returns a new random variable with the result.
*
* @param cap The cap.
* @return New random variable with the result of the function.
*/
RandomVariable cap(double cap);
/**
* Applies x → max(x,floor) to this random variable.
* It returns a new random variable with the result.
*
* @param floor The floor.
* @return New random variable with the result of the function.
*/
RandomVariable floor(double floor);
/**
* Applies x → x + value to this random variable.
* It returns a new random variable with the result.
*
* @param value The value to add.
* @return New random variable with the result of the function.
*/
RandomVariable add(double value);
/**
* Applies x → x - value to this random variable.
* @param value The value to subtract.
* @return New random variable with the result of the function.
*/
RandomVariable sub(double value);
/**
* Applies x → value - x to this random variable.
* @param value The value from which this is subtracted.
* @return New random variable with the result of the function.
*/
default RandomVariable bus(double value) {
return this.mult(-1).add(value);
}
/**
* Applies x → x * value to this random variable.
* @param value The value to multiply.
* @return New random variable with the result of the function.
*/
RandomVariable mult(double value);
/**
* Applies x → x / value to this random variable.
* @param value The value to divide.
* @return New random variable with the result of the function.
*/
RandomVariable div(double value);
/**
* Applies x → value / x to this random variable.
* @param value The numerator of the ratio where this is the denominator.
* @return New random variable with the result of the function.
*/
default RandomVariable vid(double value) {
return invert().mult(value);
}
/**
* Applies x → pow(x,exponent) to this random variable.
* @param exponent The exponent.
* @return New random variable with the result of the function.
*/
RandomVariable pow(double exponent);
/**
* Returns a random variable which is deterministic and corresponds
* the expectation of this random variable.
*
* @return New random variable being the expectation of this random variable.
*/
RandomVariable average();
/**
* Returns a random variable which is deterministic and corresponds
* the expectation of this random variable.
*
* @return New random variable being the expectation of this random variable.
*/
default RandomVariable expectation() {
return average();
}
/**
* Returns a random variable which is deterministic and corresponds
* the variance of this random variable.
*
* Note: The default implementation is a biased estimator. Use the factor n/(n-1) to convert to an unbiased estimator.
*
* @return New random variable being the variance of this random variable and the argument.
*/
default RandomVariable variance()
{
final RandomVariable meanDeviation = this.sub(average());
return meanDeviation.squared().average();
}
/**
* Returns a random variable which is deterministic and corresponds
* the covariance of this random variable and the argument.
*
* Note: The default implementation is a biased estimator. Use the factor n/(n-1) to convert to an unbiased estimator.
*
* @param value The random variable Y to be used in Cov(X,Y) with X being this.
* @return New random variable being the covariance of this random variable and the argument.
*/
default RandomVariable covariance(RandomVariable value)
{
return this.sub(average()).mult(value.sub(value.average())).average();
}
/**
* Returns the conditional expectation using a given conditional expectation estimator.
*
* @param conditionalExpectationOperator A given conditional expectation estimator.
* @return The conditional expectation of this random variable (as a random variable)
*/
default RandomVariable getConditionalExpectation(final ConditionalExpectationEstimator conditionalExpectationOperator)
{
return conditionalExpectationOperator.getConditionalExpectation(this);
}
/**
* Applies x → x * x to this random variable.
* @return New random variable with the result of the function.
*/
RandomVariable squared();
/**
* Applies x → sqrt(x) to this random variable.
* @return New random variable with the result of the function.
*/
RandomVariable sqrt();
/**
* Applies x → exp(x) to this random variable.
* @return New random variable with the result of the function.
*/
RandomVariable exp();
/**
* Applies x → expm1(x) (that is x → exp(x)-1.0) to this random variable.
* @return New random variable with the result of the function.
*/
default RandomVariable expm1() {
return this.exp().sub(1.0);
}
/**
* Applies x → log(x) to this random variable.
* @return New random variable with the result of the function.
*/
RandomVariable log();
/**
* Applies x → sin(x) to this random variable.
* @return New random variable with the result of the function.
*/
RandomVariable sin();
/**
* Applies x → cos(x) to this random variable.
* @return New random variable with the result of the function.
*/
RandomVariable cos();
/**
* Applies x → x+randomVariable to this random variable.
* @param randomVariable A random variable (compatible with this random variable).
* @return New random variable with the result of the function.
*/
RandomVariable add(RandomVariable randomVariable);
/**
* Applies x → x-randomVariable to this random variable.
* @param randomVariable A random variable (compatible with this random variable).
* @return New random variable with the result of the function.
*/
RandomVariable sub(RandomVariable randomVariable);
/**
* Applies x → randomVariable-x to this random variable.
* @param randomVariable A random variable (compatible with this random variable).
* @return New random variable with the result of the function.
*/
RandomVariable bus(RandomVariable randomVariable);
/**
* Applies x → x*randomVariable to this random variable.
* @param randomVariable A random variable (compatible with this random variable).
* @return New random variable with the result of the function.
*/
RandomVariable mult(RandomVariable randomVariable);
/**
* Applies x → x/randomVariable to this random variable.
* @param randomVariable A random variable (compatible with this random variable).
* @return New random variable with the result of the function.
*/
RandomVariable div(RandomVariable randomVariable);
/**
* Applies x → randomVariable/x to this random variable.
* @param randomVariable A random variable (compatible with this random variable).
* @return New random variable with the result of the function.
*/
RandomVariable vid(RandomVariable randomVariable);
/**
* Applies x → min(x,cap) to this random variable.
* @param cap The cap. A random variable (compatible with this random variable).
* @return New random variable with the result of the function.
*/
RandomVariable cap(RandomVariable cap);
/**
* Applies x → max(x,floor) to this random variable.
* @param floor The floor. A random variable (compatible with this random variable).
* @return New random variable with the result of the function.
*/
RandomVariable floor(RandomVariable floor);
/**
* Applies x → x * (1.0 + rate * periodLength) to this random variable.
* @param rate The accruing rate. A random variable (compatible with this random variable).
* @param periodLength The period length
* @return New random variable with the result of the function.
*/
RandomVariable accrue(RandomVariable rate, double periodLength);
/**
* Applies x → x / (1.0 + rate * periodLength) to this random variable.
* @param rate The discounting rate. A random variable (compatible with this random variable).
* @param periodLength The period length
* @return New random variable with the result of the function.
*/
RandomVariable discount(RandomVariable rate, double periodLength);
/**
* Applies x → (x ≥ 0 ? valueIfTriggerNonNegative : valueIfTriggerNegative)
* @param valueIfTriggerNonNegative The value used if this is greater or equal 0
* @param valueIfTriggerNegative The value used if the this is less than 0
* @return New random variable with the result of the function.
*/
RandomVariable choose(RandomVariable valueIfTriggerNonNegative, RandomVariable valueIfTriggerNegative);
/**
* Applies x → 1/x to this random variable.
* @return New random variable with the result of the function.
*/
RandomVariable invert();
/**
* Applies x → Math.abs(x), i.e. x → |x| to this random variable.
* @return New random variable with the result of the function.
*/
RandomVariable abs();
/**
* Applies x → x + factor1 * factor2
* @param factor1 The factor 1. A random variable (compatible with this random variable).
* @param factor2 The factor 2.
* @return New random variable with the result of the function.
*/
RandomVariable addProduct(RandomVariable factor1, double factor2);
/**
* Applies x → x + factor1 * factor2
* @param factor1 The factor 1. A random variable (compatible with this random variable).
* @param factor2 The factor 2. A random variable (compatible with this random variable).
* @return New random variable with the result of the function.
*/
RandomVariable addProduct(RandomVariable factor1, RandomVariable factor2);
/**
* Applies x → x + numerator / denominator
*
* @param numerator The numerator of the ratio to add. A random variable (compatible with this random variable).
* @param denominator The denominator of the ratio to add. A random variable (compatible with this random variable).
* @return New random variable with the result of the function.
*/
RandomVariable addRatio(RandomVariable numerator, RandomVariable denominator);
/**
* Applies x → x - numerator / denominator
*
* @param numerator The numerator of the ratio to sub. A random variable (compatible with this random variable).
* @param denominator The denominator of the ratio to sub. A random variable (compatible with this random variable).
* @return New random variable with the result of the function.
*/
RandomVariable subRatio(RandomVariable numerator, RandomVariable denominator);
/**
* Applies \( x \mapsto x + \sum_{i=0}^{n-1} factor1_{i} * factor2_{i}
* @param factor1 The factor 1. A list of random variables (compatible with this random variable).
* @param factor2 The factor 2. A list of random variables (compatible with this random variable).
* @return New random variable with the result of the function.
*/
default RandomVariable addSumProduct(final RandomVariable[] factor1, final RandomVariable[] factor2)
{
RandomVariable result = this;
for(int i=0; i factor1, final List factor2)
{
RandomVariable result = this;
for(int i=0; i