WienerProcess using Apache commons-math

WienerProcess.java

import org.apache.commons.math3.distribution.NormalDistribution;

import java.time.LocalDate;
import java.util.*;
import static java.lang.Math.sqrt;
import static java.lang.Math.exp;

public class WienerProcess {
    /**
     * Run the Wiener process for a given period and initial amount with a monthly value that is added every month. The
     * code calculates the projection of the value, a set of quantiles and the brownian geometric motion based on a
     * random walk.
     *
     * @param mu mean value (annualized)
     * @param sigma standard deviation (annualized)
     * @param years projection duration in years
     * @param initialValue the initial value
     * @param monthlyValue the value that is added per month
     * @param breaks quantile breaks
     * @return a List of double arrays containing the values per month for the given quantile breaks
     */
    public static List<double[]> getProjection(double mu, double sigma, int years, int initialValue,
                                                  int monthlyValue, double[] breaks) {
        double periodizedMu = mu / 12;
        double periodizedSigma = sigma / Math.sqrt(12);
        int periods = years * 12;

        List<double[]> result = new ArrayList<double[]>();

        for (int i = 0; i < periods; i++) {
            double value = initialValue + (monthlyValue * i);
            NormalDistribution normalDistribution = new NormalDistribution(periodizedMu * (i + 1),
                    periodizedSigma * sqrt(i + 1));
            double bounds[] = new double[breaks.length];
            for (int j = 0; j < breaks.length; j++) {
                double normInv = normalDistribution.inverseCumulativeProbability(breaks[j]);
                bounds[j] = value * exp(normInv);
            }

            result.add(bounds);
        }
        return result;
    }
}