RxToR1Property.java

  1. package org.drip.function.definition;

  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.  * 
  11.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  12.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  13.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  14.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  15.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  16.  *      and computational support.
  17.  *  
  18.  *      https://lakshmidrip.github.io/DROP/
  19.  *  
  20.  *  DROP is composed of three modules:
  21.  *  
  22.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  23.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  24.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  25.  * 
  26.  *  DROP Product Core implements libraries for the following:
  27.  *  - Fixed Income Analytics
  28.  *  - Loan Analytics
  29.  *  - Transaction Cost Analytics
  30.  * 
  31.  *  DROP Portfolio Core implements libraries for the following:
  32.  *  - Asset Allocation Analytics
  33.  *  - Asset Liability Management Analytics
  34.  *  - Capital Estimation Analytics
  35.  *  - Exposure Analytics
  36.  *  - Margin Analytics
  37.  *  - XVA Analytics
  38.  * 
  39.  *  DROP Computational Core implements libraries for the following:
  40.  *  - Algorithm Support
  41.  *  - Computation Support
  42.  *  - Function Analysis
  43.  *  - Model Validation
  44.  *  - Numerical Analysis
  45.  *  - Numerical Optimizer
  46.  *  - Spline Builder
  47.  *  - Statistical Learning
  48.  * 
  49.  *  Documentation for DROP is Spread Over:
  50.  * 
  51.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  52.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  53.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  54.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  55.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  56.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  57.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  58.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  59.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  60.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  61.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  62.  * 
  63.  *  Licensed under the Apache License, Version 2.0 (the "License");
  64.  *      you may not use this file except in compliance with the License.
  65.  *   
  66.  *  You may obtain a copy of the License at
  67.  *      http://www.apache.org/licenses/LICENSE-2.0
  68.  *  
  69.  *  Unless required by applicable law or agreed to in writing, software
  70.  *      distributed under the License is distributed on an "AS IS" BASIS,
  71.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  72.  *  
  73.  *  See the License for the specific language governing permissions and
  74.  *      limitations under the License.
  75.  */

  77. /**
  78.  * <i>RxToR1Property</i> evaluates the Specified Pair of R<sup>x</sup> To R<sup>1</sup> Functions, and
  79.  * verifies the Properties.
  80.  *
  81.  *  <br><br>
  82.  *  <ul>
  83.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationalCore.md">Computational Core Module</a></li>
  84.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/NumericalAnalysisLibrary.md">Numerical Analysis Library</a></li>
  85.  *      <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/function/README.md">R<sup>d</sup> To R<sup>d</sup> Function Analysis</a></li>
  86.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/function/definition/README.md">Function Implementation Ancillary Support Objects</a></li>
  87.  *  </ul>
  88.  *
  89.  * @author Lakshmi Krishnamurthy
  90.  */

  92. public abstract class RxToR1Property
  93. {

  95.     /**
  96.      * Mismatch Tolerance
  97.      */

  99.     public static final double MISMATCH_TOLERANCE = 0.01;

  101.     /**
  102.      * EQUAL To Comparison
  103.      */

  105.     public static final java.lang.String EQ = "EQ";

  107.     /**
  108.      * LESS THAN OR EQUAL To Comparison
  109.      */

  111.     public static final java.lang.String LTE = "LTE";

  113.     /**
  114.      * GREATER THAN OR EQUAL To Comparison
  115.      */

  117.     public static final java.lang.String GTE = "GTE";

  119.     /**
  120.      * LESS THAN To Comparison
  121.      */

  123.     public static final java.lang.String LT = "LT";

  125.     /**
  126.      * GREATER THAN To Comparison
  127.      */

  129.     public static final java.lang.String GT = "GT";

  131.     private java.lang.String _type = "";
  132.     private double _mismatchTolerance = java.lang.Double.NaN;

  134.     protected RxToR1Property (
  135.         final java.lang.String type,
  136.         final double mismatchTolerance)
  137.         throws java.lang.Exception
  138.     {
  139.         if (null == (_type = type) || _type.isEmpty() ||
  140.             !org.drip.numerical.common.NumberUtil.IsValid (_mismatchTolerance = mismatchTolerance))
  141.         {
  142.             throw new java.lang.Exception ("RxToR1Property Constructor => Invalid Inputs");
  143.         }
  144.     }

  146.     /**
  147.      * Retrieve the Type of the Comparison
  148.      * 
  149.      * @return The Type of the Comparison
  150.      */

  152.     public java.lang.String type()
  153.     {
  154.         return _type;
  155.     }

  157.     /**
  158.      * Retrieve the Mismatch Tolerance
  159.      * 
  160.      * @return The Mismatch Tolerance
  161.      */

  163.     public double mismatchTolerance()
  164.     {
  165.         return _mismatchTolerance;
  166.     }

  168.     /**
  169.      * Verify the specified Left and Right Function Values
  170.      * 
  171.      * @param leftValue Left Function Value
  172.      * @param rightValue Right Function Value
  173.      * 
  174.      * @return Results of the Verification
  175.      */

  177.     public org.drip.function.definition.R1PropertyVerification verify (
  178.         final double leftValue,
  179.         final double rightValue)
  180.     {
  181.         if (!org.drip.numerical.common.NumberUtil.IsValid (leftValue) ||
  182.             !org.drip.numerical.common.NumberUtil.IsValid (rightValue))
  183.         {
  184.             return null;
  185.         }

  187.         java.lang.String type = type();

  189.         try
  190.         {
  191.             if (LT.equalsIgnoreCase (type))
  192.             {
  193.                 return new org.drip.function.definition.R1PropertyVerification (
  194.                     leftValue,
  195.                     rightValue,
  196.                     leftValue < rightValue
  197.                 );
  198.             }

  200.             if (GT.equalsIgnoreCase (type))
  201.             {
  202.                 return new org.drip.function.definition.R1PropertyVerification (
  203.                     leftValue,
  204.                     rightValue,
  205.                     leftValue > rightValue
  206.                 );
  207.             }

  209.             double mismatchTolerance = mismatchTolerance();

  211.             double leftTolerance = java.lang.Math.abs (leftValue * mismatchTolerance);

  213.             double rightTolerance = java.lang.Math.abs (rightValue * mismatchTolerance);

  215.             double tolerance = leftTolerance < rightTolerance ? leftTolerance: rightTolerance;
  216.             tolerance = tolerance < mismatchTolerance ? mismatchTolerance : tolerance;

  218.             if (EQ.equalsIgnoreCase (type))
  219.             {
  220.                 return new org.drip.function.definition.R1PropertyVerification (
  221.                     leftValue,
  222.                     rightValue,
  223.                     java.lang.Math.abs (leftValue - rightValue) < tolerance
  224.                 );
  225.             }

  227.             if (LTE.equalsIgnoreCase (type))
  228.             {
  229.                 return new org.drip.function.definition.R1PropertyVerification (
  230.                     leftValue,
  231.                     rightValue,
  232.                     leftValue < rightValue || java.lang.Math.abs (leftValue - rightValue) < tolerance
  233.                 );
  234.             }

  236.             if (GTE.equalsIgnoreCase (type))
  237.             {
  238.                 return new org.drip.function.definition.R1PropertyVerification (
  239.                     leftValue,
  240.                     rightValue,
  241.                     leftValue > rightValue || java.lang.Math.abs (leftValue - rightValue) < tolerance
  242.                 );
  243.             }
  244.         }
  245.         catch (java.lang.Exception e)
  246.         {
  247.             e.printStackTrace();
  248.         }

  250.         return null;
  251.     }
  252. }
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