ConstraintFunctionPointMetrics.java

  1. package org.drip.function.rdtor1solver;

  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.  * Copyright (C) 2018 Lakshmi Krishnamurthy
  11.  * Copyright (C) 2017 Lakshmi Krishnamurthy
  12.  * Copyright (C) 2016 Lakshmi Krishnamurthy
  13.  * 
  14.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  15.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  16.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  17.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  18.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  19.  *      and computational support.
  20.  *  
  21.  *      https://lakshmidrip.github.io/DROP/
  22.  *  
  23.  *  DROP is composed of three modules:
  24.  *  
  25.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  26.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  27.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  28.  * 
  29.  *  DROP Product Core implements libraries for the following:
  30.  *  - Fixed Income Analytics
  31.  *  - Loan Analytics
  32.  *  - Transaction Cost Analytics
  33.  * 
  34.  *  DROP Portfolio Core implements libraries for the following:
  35.  *  - Asset Allocation Analytics
  36.  *  - Asset Liability Management Analytics
  37.  *  - Capital Estimation Analytics
  38.  *  - Exposure Analytics
  39.  *  - Margin Analytics
  40.  *  - XVA Analytics
  41.  * 
  42.  *  DROP Computational Core implements libraries for the following:
  43.  *  - Algorithm Support
  44.  *  - Computation Support
  45.  *  - Function Analysis
  46.  *  - Model Validation
  47.  *  - Numerical Analysis
  48.  *  - Numerical Optimizer
  49.  *  - Spline Builder
  50.  *  - Statistical Learning
  51.  * 
  52.  *  Documentation for DROP is Spread Over:
  53.  * 
  54.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  55.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  56.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  57.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  58.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  59.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  60.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  61.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  62.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  63.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  64.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  65.  * 
  66.  *  Licensed under the Apache License, Version 2.0 (the "License");
  67.  *      you may not use this file except in compliance with the License.
  68.  *   
  69.  *  You may obtain a copy of the License at
  70.  *      http://www.apache.org/licenses/LICENSE-2.0
  71.  *  
  72.  *  Unless required by applicable law or agreed to in writing, software
  73.  *      distributed under the License is distributed on an "AS IS" BASIS,
  74.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  75.  *  
  76.  *  See the License for the specific language governing permissions and
  77.  *      limitations under the License.
  78.  */

  80. /**
  81.  * <i>ConstraintFunctionPointMetrics</i> holds the R<sup>d</sup> Point Base and Sensitivity Metrics of the
  82.  * Constraint Function.
  83.  *
  84.  *  <br><br>
  85.  *  <ul>
  86.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/NumericalCore.md">Numerical Core Module</a></li>
  87.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/NumericalOptimizerLibrary.md">Numerical Optimizer</a></li>
  88.  *      <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/feed/README.md">Function</a></li>
  89.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/feed/rdtor1solver/README.md">R<sup>d</sup> To R<sup>1</sup> Solver</a></li>
  90.  *  </ul>
  91.  *
  92.  * @author Lakshmi Krishnamurthy
  93.  */

  95. public class ConstraintFunctionPointMetrics
  96. {
  97.     private double[] _constraintFunctionValueArray = null;
  98.     private double[] _constraintFunctionMultiplierArray = null;
  99.     private double[][] _constraintFunctionJacobianArray = null;

  101.     /**
  102.      * ConstraintFunctionPointMetrics Constructor
  103.      * 
  104.      * @param constraintFunctionValueArray Constraint Function Value Array
  105.      * @param constraintFunctionJacobianArray Constraint Function Jacobian Array
  106.      * @param constraintFunctionMultiplierArray Constraint Function Karush-Kahn-Tucker Multiplier Array
  107.      * 
  108.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  109.      */

  111.     public ConstraintFunctionPointMetrics (
  112.         final double[] constraintFunctionValueArray,
  113.         final double[][] constraintFunctionJacobianArray,
  114.         final double[] constraintFunctionMultiplierArray)
  115.         throws java.lang.Exception
  116.     {
  117.         if (null == (_constraintFunctionValueArray = constraintFunctionValueArray) ||
  118.             null == (_constraintFunctionJacobianArray = constraintFunctionJacobianArray) ||
  119.             null == (_constraintFunctionMultiplierArray = constraintFunctionMultiplierArray))
  120.         {
  121.             throw new java.lang.Exception ("ConstraintFunctionPointMetrics Constructor => Invalid Inputs");
  122.         }

  124.         int constraintCount = _constraintFunctionValueArray.length;
  125.         int functionDimension = _constraintFunctionJacobianArray.length;

  127.         if (0 == constraintCount || constraintCount != _constraintFunctionMultiplierArray.length ||
  128.             0 == functionDimension)
  129.         {
  130.             throw new java.lang.Exception ("ConstraintFunctionPointMetrics Constructor => Invalid Inputs");
  131.         }

  133.         for (int constraintIndex = 0;
  134.             constraintIndex < constraintCount;
  135.             ++constraintIndex)
  136.         {
  137.             if (!org.drip.numerical.common.NumberUtil.IsValid (
  138.                     _constraintFunctionValueArray[constraintIndex]
  139.                 ) || !org.drip.numerical.common.NumberUtil.IsValid (
  140.                     _constraintFunctionMultiplierArray[constraintIndex]
  141.                 )
  142.             )
  143.             {
  144.                 throw new java.lang.Exception (
  145.                     "ConstraintFunctionPointMetrics Constructor => Invalid Inputs"
  146.                 );
  147.             }
  148.         }

  150.         for (int functionDimensionIndex = 0;
  151.             functionDimensionIndex < functionDimension;
  152.             ++functionDimensionIndex)
  153.         {
  154.             if (null == _constraintFunctionJacobianArray[functionDimensionIndex] ||
  155.                 constraintCount != _constraintFunctionJacobianArray[functionDimensionIndex].length ||
  156.                 !org.drip.numerical.common.NumberUtil.IsValid (
  157.                     _constraintFunctionJacobianArray[functionDimensionIndex]
  158.                 )
  159.             )
  160.             {
  161.                 throw new java.lang.Exception
  162.                     ("ConstraintFunctionPointMetrics Constructor => Invalid Inputs");
  163.             }
  164.         }
  165.     }

  167.     /**
  168.      * Retrieve the Constraint Count
  169.      * 
  170.      * @return The Constraint Count
  171.      */

  173.     public int count()
  174.     {
  175.         return _constraintFunctionValueArray.length;
  176.     }

  178.     /**
  179.      * Retrieve the Constraint Dimension
  180.      * 
  181.      * @return The Constraint Dimension
  182.      */

  184.     public int dimension()
  185.     {
  186.         return _constraintFunctionJacobianArray.length;
  187.     }

  189.     /**
  190.      * Retrieve the Constraint Function Value Array
  191.      * 
  192.      * @return The Constraint Function Value Array
  193.      */

  195.     public double[] constraintFunctionValueArray()
  196.     {
  197.         return _constraintFunctionValueArray;
  198.     }

  200.     /**
  201.      * Retrieve the Constraint Function KKR Multiplier Array
  202.      * 
  203.      * @return The Constraint Function KKR Multiplier Array
  204.      */

  206.     public double[] constraintFunctionMultiplierArray()
  207.     {
  208.         return _constraintFunctionMultiplierArray;
  209.     }

  211.     /**
  212.      * Retrieve the Constraint Function Jacobian Array
  213.      * 
  214.      * @return The Constraint Function Jacobian Array
  215.      */

  217.     public double[][] constraintFunctionJacobianArray()
  218.     {
  219.         return _constraintFunctionJacobianArray;
  220.     }
  221. }
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