LabelRdVertex.java

package org.drip.measure.stochastic;

/*
 * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
 */

/*!
 * Copyright (C) 2020 Lakshmi Krishnamurthy
 * Copyright (C) 2019 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>LabelRdVertex</i> holds the Labeled R<sup>d</sup> Multi-Factor Latent State Vertex Realizations. The
 * References are:
 * 
 * <br><br>
 *  <ul>
 *      <li>
 *          Andersen, L. B. G., M. Pykhtin, and A. Sokol (2017): Credit Exposure in the Presence of Initial
 *              Margin https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2806156 <b>eSSRN</b>
 *      </li>
 *      <li>
 *          Albanese, C., S. Caenazzo, and O. Frankel (2017): Regression Sensitivities for Initial Margin
 *              Calculations https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2763488 <b>eSSRN</b>
 *      </li>
 *      <li>
 *          Anfuso, F., D. Aziz, P. Giltinan, and K. Loukopoulus (2017): A Sound Modeling and Back-testing
 *              Framework for Forecasting Initial Margin Requirements
 *              https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2716279 <b>eSSRN</b>
 *      </li>
 *      <li>
 *          Caspers, P., P. Giltinan, R. Lichters, and N. Nowaczyk (2017): Forecasting Initial Margin
 *              Requirements - A Model Evaluation https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2911167
 *              <b>eSSRN</b>
 *      </li>
 *      <li>
 *          International Swaps and Derivatives Association (2017): SIMM v2.0 Methodology
 *              https://www.isda.org/a/oFiDE/isda-simm-v2.pdf
 *      </li>
 *  </ul>
 *
 *  <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/stochastic/README.md">R<sup>1</sup> R<sup>1</sup> To R<sup>1</sup> Process</a></li>
 *  </ul>
 * 
 * @author Lakshmi Krishnamurthy
 */

public class LabelRdVertex extends org.drip.measure.stochastic.LabelBase
{
    private double[][] _vertexRd = null;

    /**
     * LabelRdVertex Constructor
     * 
     * @param labelList The List of Labels
     * @param vertexRd The R<sup>d</sup> Vertex Realizations
     * 
     * @throws java.lang.Exception Thrown if the Inputs are Invalid
     */

    public LabelRdVertex (
        final java.util.List<java.lang.String> labelList,
        final double[][] vertexRd)
        throws java.lang.Exception
    {
        super (labelList);

        if (null == (_vertexRd = vertexRd))
        {
            throw new java.lang.Exception ("LabelRdVertex Constructor => Invalid Inputs");
        }

        int labelCount = labelList.size();

        if (null == _vertexRd[0] || labelCount != _vertexRd[0].length)
        {
            throw new java.lang.Exception ("LabelRdVertex Constructor => Invalid Inputs");
        }

        int vertexCount = _vertexRd.length;

        for (int vertexIndex = 0; vertexIndex < vertexCount; ++vertexIndex)
        {
            if (null == _vertexRd[vertexIndex] || labelCount != _vertexRd[vertexIndex].length ||
                !org.drip.numerical.common.NumberUtil.IsValid (_vertexRd[vertexIndex]))
            {
                throw new java.lang.Exception ("LabelRdVertex Constructor => Invalid Inputs");
            }
        }
    }

    /**
     * Retrieve the Vertex R<sup>d</sup> Values
     * 
     * @return The Vertex R<sup>d</sup> Values
     */

    public double[][] vertexRd()
    {
        return _vertexRd;
    }

    /**
     * Retrieve the Vertex R<sup>1</sup> Array for the Specified Label
     * 
     * @param label The Label
     * 
     * @return The Vertex R<sup>1</sup> Array
     */

    public double[] vertexR1 (
        final java.lang.String label)
    {
        if (null == label || !_labelList.contains (label))
        {
            return null;
        }

        int vertexCount = _vertexRd.length;
        double[] vertexR1 = new double[vertexCount];

        int labelIndex = _labelIndexMap.get (label);

        for (int vertexIndex = 0; vertexIndex < vertexCount; ++vertexIndex)
        {
            vertexR1[vertexIndex] = _vertexRd[vertexIndex][labelIndex];
        }

        return vertexR1;
    }
}