Examples with GeometricBrownianMotion org.ojalgo.random.process.GeometricBrownianMotion used on opensource projects

Example 1 with GeometricBrownianMotion

use of org.ojalgo.random.process.GeometricBrownianMotion in project ojAlgo-finance by optimatika.

the class FinanceUtils method forecast.

public static CalendarDateSeries<RandomNumber> forecast(final CalendarDateSeries<? extends Number> series, final int pointCount, final CalendarDateUnit timeUnit, final boolean includeOriginalSeries) {
    final CalendarDateSeries<RandomNumber> retVal = new CalendarDateSeries<>(timeUnit);
    retVal.name(series.getName()).colour(series.getColour());
    final double tmpSamplePeriod = (double) series.getAverageStepSize() / (double) timeUnit.size();
    final GeometricBrownianMotion tmpProcess = GeometricBrownianMotion.estimate(series.asPrimitive(), tmpSamplePeriod);
    if (includeOriginalSeries) {
        for (final Entry<CalendarDate, ? extends Number> tmpEntry : series.entrySet()) {
            retVal.put(tmpEntry.getKey(), new Deterministic(tmpEntry.getValue()));
        }
    }
    final CalendarDate tmpLastKey = series.lastKey();
    final double tmpLastValue = series.lastValue().doubleValue();
    tmpProcess.setValue(tmpLastValue);
    for (int i = 1; i <= pointCount; i++) {
        retVal.put(tmpLastKey.millis + (i * timeUnit.size()), tmpProcess.getDistribution(i));
    }
    return retVal;
}

Example 2 with GeometricBrownianMotion

use of org.ojalgo.random.process.GeometricBrownianMotion in project ojAlgo-finance by optimatika.

the class FinancePortfolio method getLossProbability.

public final double getLossProbability(final Number timePeriod) {
    final GeometricBrownianMotion tmpProc = this.forecast();
    final double tmpDoubleValue = timePeriod.doubleValue();
    final double tmpValue = tmpProc.getValue();
    return tmpProc.getDistribution(tmpDoubleValue).getDistribution(tmpValue);
}

Example 3 with GeometricBrownianMotion

use of org.ojalgo.random.process.GeometricBrownianMotion in project ojAlgo-finance by optimatika.

the class MultidimensionalSimulatorTest method testStepping.

@Test
public void testStepping() {
    final PrimitiveDenseStore tmpCorrelation = PrimitiveDenseStore.FACTORY.makeEye(3, 3);
    final GeometricBrownianMotion tmpOrgProc1 = new SimpleAsset(0.0, 0.01, PrimitiveMath.THIRD).forecast();
    final GeometricBrownianMotion tmpOrgProc2 = new SimpleAsset(0.0, 0.02, PrimitiveMath.THIRD).forecast();
    final GeometricBrownianMotion tmpOrgProc3 = new SimpleAsset(0.0, 0.03, PrimitiveMath.THIRD).forecast();
    TestUtils.assertEquals(0.01, tmpOrgProc1.getStandardDeviation(), 0.005);
    TestUtils.assertEquals(0.02, tmpOrgProc2.getStandardDeviation(), 0.005);
    TestUtils.assertEquals(0.03, tmpOrgProc3.getStandardDeviation(), 0.005);
    final ArrayList<GeometricBrownianMotion> tmpProcs = new ArrayList<>();
    tmpProcs.add(tmpOrgProc1);
    tmpProcs.add(tmpOrgProc2);
    tmpProcs.add(tmpOrgProc3);
    final GeometricBrownian1D tmpGB1D = new GeometricBrownian1D(tmpCorrelation, tmpProcs);
    final List<CalendarDateSeries<Double>> tmpSeries = new ArrayList<>();
    tmpSeries.add(new CalendarDateSeries<Double>(CalendarDateUnit.MONTH));
    tmpSeries.add(new CalendarDateSeries<Double>(CalendarDateUnit.MONTH));
    tmpSeries.add(new CalendarDateSeries<Double>(CalendarDateUnit.MONTH));
    CalendarDate tmpCalendarDateKey = CalendarDate.make(CalendarDateUnit.MONTH);
    tmpSeries.get(0).put(tmpCalendarDateKey, tmpOrgProc1.getValue());
    tmpSeries.get(1).put(tmpCalendarDateKey, tmpOrgProc2.getValue());
    tmpSeries.get(2).put(tmpCalendarDateKey, tmpOrgProc3.getValue());
    for (int t = 0; t < 1000; t++) {
        tmpGB1D.step(1.0 / 12.0);
        tmpCalendarDateKey = tmpCalendarDateKey.step(CalendarDateUnit.MONTH);
        tmpSeries.get(0).put(tmpCalendarDateKey, tmpGB1D.getValue(0));
        tmpSeries.get(1).put(tmpCalendarDateKey, tmpGB1D.getValue(1));
        tmpSeries.get(2).put(tmpCalendarDateKey, tmpGB1D.getValue(2));
    }
    final GeometricBrownianMotion tmpNewProc1 = GeometricBrownianMotion.estimate(tmpSeries.get(0).asPrimitive(), 1.0 / 12.0);
    final GeometricBrownianMotion tmpNewProc2 = GeometricBrownianMotion.estimate(tmpSeries.get(1).asPrimitive(), 1.0 / 12.0);
    final GeometricBrownianMotion tmpNewProc3 = GeometricBrownianMotion.estimate(tmpSeries.get(2).asPrimitive(), 1.0 / 12.0);
    TestUtils.assertEquals(0.01, tmpNewProc1.getStandardDeviation(), 0.005);
    TestUtils.assertEquals(0.02, tmpNewProc2.getStandardDeviation(), 0.005);
    TestUtils.assertEquals(0.03, tmpNewProc3.getStandardDeviation(), 0.005);
}

Example 4 with GeometricBrownianMotion

use of org.ojalgo.random.process.GeometricBrownianMotion in project ojAlgo-finance by optimatika.

the class SymbolDataTest method testYahooWeeklyAAPL.

@Test
public void testYahooWeeklyAAPL() {
    final YahooSymbol tmpYahoo = new YahooSymbol("AAPL", CalendarDateUnit.WEEK);
    final List<? extends DatePrice> tmpRows = tmpYahoo.getHistoricalPrices();
    final CalendarDateSeries<Double> tmpDaySeries = new CalendarDateSeries<>(CalendarDateUnit.DAY);
    tmpDaySeries.putAll(tmpRows);
    final CalendarDateSeries<Double> tmpYearSeries = tmpDaySeries.resample(CalendarDateUnit.YEAR);
    final CalendarDateSeries<Double> tmpMonthSeries = tmpDaySeries.resample(CalendarDateUnit.MONTH);
    final PrimitiveSeries tmpDataY = tmpYearSeries.asPrimitive();
    final PrimitiveSeries tmpDataM = tmpMonthSeries.asPrimitive();
    final SampleSet tmpSetY = SampleSet.wrap(tmpDataY.log().differences());
    final SampleSet tmpSetM = SampleSet.wrap(tmpDataM.log().differences());
    final GeometricBrownianMotion tmpProcY = GeometricBrownianMotion.estimate(tmpDataY, 1.0);
    tmpProcY.setValue(1.0);
    final GeometricBrownianMotion tmpProcM = GeometricBrownianMotion.estimate(tmpDataM, 1.0 / 12.0);
    tmpProcM.setValue(1.0);
    LogNormal tmpExpDistr = new LogNormal(tmpSetY.getMean(), tmpSetY.getStandardDeviation());
    LogNormal tmpActDistr = tmpProcY.getDistribution(1.0);
    TestUtils.assertEquals("Yearly Expected", tmpExpDistr.getExpected(), tmpActDistr.getExpected(), 1E-14 / PrimitiveMath.THREE);
    TestUtils.assertEquals("Yearly Var", tmpExpDistr.getVariance(), tmpActDistr.getVariance(), 1E-14 / PrimitiveMath.THREE);
    TestUtils.assertEquals("Yearly StdDev", tmpExpDistr.getStandardDeviation(), tmpActDistr.getStandardDeviation(), 1E-14 / PrimitiveMath.THREE);
    tmpExpDistr = new LogNormal(tmpSetM.getMean() * 12.0, tmpSetM.getStandardDeviation() * PrimitiveFunction.SQRT.invoke(12.0));
    tmpActDistr = tmpProcM.getDistribution(1.0);
    TestUtils.assertEquals("Monthly Expected", tmpExpDistr.getExpected(), tmpActDistr.getExpected(), 1E-14 / PrimitiveMath.THREE);
    TestUtils.assertEquals("Monthly Var", tmpExpDistr.getVariance(), tmpActDistr.getVariance(), 1E-14 / PrimitiveMath.THREE);
    TestUtils.assertEquals("Monthly StdDev", tmpExpDistr.getStandardDeviation(), tmpActDistr.getStandardDeviation(), 1E-14 / PrimitiveMath.THREE);
}

Example 5 with GeometricBrownianMotion

use of org.ojalgo.random.process.GeometricBrownianMotion in project ojAlgo-finance by optimatika.

the class FinanceUtils method estimateExcessDiffusionProcess.

public static GeometricBrownianMotion estimateExcessDiffusionProcess(final CalendarDateSeries<?> priceSeries, final CalendarDateSeries<?> riskFreeInterestRateSeries, final CalendarDateUnit timeUnit) {
    final SampleSet tmpSampleSet = FinanceUtils.makeExcessGrowthRateSampleSet(priceSeries, riskFreeInterestRateSeries);
    // The average number of millis between to subsequent keys in the series.
    double tmpStepSize = priceSeries.getResolution().size();
    // The time between to keys expressed in terms of the specified time meassure and unit.
    tmpStepSize /= timeUnit.size();
    final double tmpExp = tmpSampleSet.getMean();
    final double tmpVar = tmpSampleSet.getVariance();
    final double tmpDiff = PrimitiveFunction.SQRT.invoke(tmpVar / tmpStepSize);
    final double tmpDrift = (tmpExp / tmpStepSize) + ((tmpDiff * tmpDiff) / TWO);
    final GeometricBrownianMotion retVal = new GeometricBrownianMotion(tmpDrift, tmpDiff);
    return retVal;
}