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;
    }
}