@progress/kendo-angular-schematics/src/third_party/d3fc/geometricBrownianMotion.js

Kendo UI Schematics for Angular

/**-----------------------------------------------------------------------------------------
* Copyright © 2025 Progress Software Corporation. All rights reserved.
* Licensed under commercial license. See LICENSE.md in the project root for more information
*-------------------------------------------------------------------------------------------*/
// The following source code is copied from https://github.com/d3fc/d3fc

// The MIT License (MIT)

// Copyright (c) 2015-2019 Scott Logic Ltd.

// Permission is hereby granted, free of charge, to any person obtaining a copy
// of this software and associated documentation files (the "Software"), to deal
// in the Software without restriction, including without limitation the rights
// to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
// copies of the Software, and to permit persons to whom the Software is
// furnished to do so, subject to the following conditions:

// The above copyright notice and this permission notice shall be included in
// all copies or substantial portions of the Software.

// THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
// IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
// FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
// AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
// LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
// OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN
// THE SOFTWARE.

// const { randomNormal } = require('d3-random');
const randomNormal = require('./randomNormal');

module.exports = function() {
    let period = 1;
    let steps = 20;
    let mu = 0.1;
    let sigma = 0.1;
    let random = randomNormal();

    var geometricBrownianMotion = (value = 0) => {
        const timeStep = period / steps;
        const pathData = [];

        for (let i = 0; i < steps + 1; i++) {
            pathData.push(value);
            const increment = (random() * Math.sqrt(timeStep) * sigma) +
                ((mu - sigma * sigma / 2) * timeStep);
            value = value * Math.exp(increment);
        }

        return pathData;
    };

    geometricBrownianMotion.period = (...args) => {
        if (!args.length) {
            return period;
        }
        period = args[0];
        return geometricBrownianMotion;
    };

    geometricBrownianMotion.steps = (...args) => {
        if (!args.length) {
            return steps;
        }
        steps = args[0];
        return geometricBrownianMotion;
    };

    geometricBrownianMotion.mu = (...args) => {
        if (!args.length) {
            return mu;
        }
        mu = args[0];
        return geometricBrownianMotion;
    };

    geometricBrownianMotion.sigma = (...args) => {
        if (!args.length) {
            return sigma;
        }
        sigma = args[0];
        return geometricBrownianMotion;
    };

    geometricBrownianMotion.random = (...args) => {
        if (!args.length) {
            return random;
        }
        random = args[0];
        return geometricBrownianMotion;
    };

    return geometricBrownianMotion;
}