ScopingProjectionVariateDistribution.java
package org.drip.measure.bayesian;
/*
* -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
*/
/*!
* Copyright (C) 2020 Lakshmi Krishnamurthy
* Copyright (C) 2019 Lakshmi Krishnamurthy
* Copyright (C) 2018 Lakshmi Krishnamurthy
* Copyright (C) 2017 Lakshmi Krishnamurthy
* Copyright (C) 2016 Lakshmi Krishnamurthy
*
* This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
* asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
* analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
* equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
* numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
* and computational support.
*
* https://lakshmidrip.github.io/DROP/
*
* DROP is composed of three modules:
*
* - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
* - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
* - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
*
* DROP Product Core implements libraries for the following:
* - Fixed Income Analytics
* - Loan Analytics
* - Transaction Cost Analytics
*
* DROP Portfolio Core implements libraries for the following:
* - Asset Allocation Analytics
* - Asset Liability Management Analytics
* - Capital Estimation Analytics
* - Exposure Analytics
* - Margin Analytics
* - XVA Analytics
*
* DROP Computational Core implements libraries for the following:
* - Algorithm Support
* - Computation Support
* - Function Analysis
* - Model Validation
* - Numerical Analysis
* - Numerical Optimizer
* - Spline Builder
* - Statistical Learning
*
* Documentation for DROP is Spread Over:
*
* - Main => https://lakshmidrip.github.io/DROP/
* - Wiki => https://github.com/lakshmiDRIP/DROP/wiki
* - GitHub => https://github.com/lakshmiDRIP/DROP
* - Repo Layout Taxonomy => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
* - Javadoc => https://lakshmidrip.github.io/DROP/Javadoc/index.html
* - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
* - Release Versions => https://lakshmidrip.github.io/DROP/version.html
* - Community Credits => https://lakshmidrip.github.io/DROP/credits.html
* - Issues Catalog => https://github.com/lakshmiDRIP/DROP/issues
* - JUnit => https://lakshmidrip.github.io/DROP/junit/index.html
* - Jacoco => https://lakshmidrip.github.io/DROP/jacoco/index.html
*
* Licensed under the Apache License, Version 2.0 (the "License");
* you may not use this file except in compliance with the License.
*
* You may obtain a copy of the License at
* http://www.apache.org/licenses/LICENSE-2.0
*
* Unless required by applicable law or agreed to in writing, software
* distributed under the License is distributed on an "AS IS" BASIS,
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
*
* See the License for the specific language governing permissions and
* limitations under the License.
*/
/**
* <i>ScopingProjectionVariateDistribution</i> holds the Scoping Variate Distribution, the Projection Variate
* Distributions, and the Projection Variate Loadings based off of the Scoping Variates.
*
* <br><br>
* <ul>
* <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationalCore.md">Computational Core Module</a></li>
* <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/NumericalAnalysisLibrary.md">Numerical Analysis Library</a></li>
* <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/measure/README.md">R<sup>d</sup> Continuous/Discrete Probability Measures</a></li>
* <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/measure/bayesian/README.md">Prior, Conditional, Posterior Theil Bayesian</a></li>
* </ul>
*
* @author Lakshmi Krishnamurthy
*/
public class ScopingProjectionVariateDistribution {
private org.drip.measure.continuous.R1Multivariate _r1mScopingDistribution = null;
private java.util.Map<java.lang.String, org.drip.measure.bayesian.ProjectionDistributionLoading> _mapPDL
= new
org.drip.analytics.support.CaseInsensitiveHashMap<org.drip.measure.bayesian.ProjectionDistributionLoading>();
/**
* ScopingProjectionVariateDistribution Constructor
*
* @param r1mScopingDistribution The Multivariate R^1 Scoping Distribution
*
* @throws java.lang.Exception Thrown if the Inputs are Invalid
*/
public ScopingProjectionVariateDistribution (
final org.drip.measure.continuous.R1Multivariate r1mScopingDistribution)
throws java.lang.Exception
{
if (null == (_r1mScopingDistribution = r1mScopingDistribution))
throw new java.lang.Exception
("ScopingProjectionVariateDistribution Constructor => Invalid Inputs");
}
/**
* Retrieve the Scoping Distribution
*
* @return The Scoping Distribution
*/
public org.drip.measure.continuous.R1Multivariate scopingDistribution()
{
return _r1mScopingDistribution;
}
/**
* Generate Loadings Native to the Scoping Distribution
*
* @return The Matrix of Loadings Native to the Scoping Distribution
*/
public double[][] nativeLoading()
{
int iNumScopingVariate = _r1mScopingDistribution.meta().numVariable();
double[][] aadblNativeLoading = new double[iNumScopingVariate][iNumScopingVariate];
for (int i = 0; i < iNumScopingVariate; ++i) {
for (int j = 0; j < iNumScopingVariate; ++j)
aadblNativeLoading[i][j] = i == j ? 1. : 0.;
}
return aadblNativeLoading;
}
/**
* Add the Named Projection Distribution Loading
*
* @param strName The Projection Distribution Name
* @param pdl The Projection Distribution Loading
*
* @return TRUE - The Projection Distribution Loading successfully added
*/
public boolean addProjectionDistributionLoading (
final java.lang.String strName,
final org.drip.measure.bayesian.ProjectionDistributionLoading pdl)
{
if (null == strName || strName.isEmpty() || null == pdl) return false;
_mapPDL.put (strName, pdl);
return true;
}
/**
* Retrieve the Named Projection Distribution Loading
*
* @param strName The Projection Distribution Name
*
* @return The Projection Distribution Loading
*/
public org.drip.measure.bayesian.ProjectionDistributionLoading projectionDistributionLoading (
final java.lang.String strName)
{
if (null == strName || strName.isEmpty()) return null;
if (strName.equalsIgnoreCase ("NATIVE")) {
try {
return new org.drip.measure.bayesian.ProjectionDistributionLoading (_r1mScopingDistribution,
nativeLoading());
} catch (java.lang.Exception e) {
e.printStackTrace();
return null;
}
}
return _mapPDL.containsKey (strName) ? _mapPDL.get (strName) : null;
}
}