WengertJacobian.java

  1. package org.drip.numerical.differentiation;

  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.  * Copyright (C) 2015 Lakshmi Krishnamurthy
  14.  * Copyright (C) 2014 Lakshmi Krishnamurthy
  15.  * Copyright (C) 2013 Lakshmi Krishnamurthy
  16.  * Copyright (C) 2012 Lakshmi Krishnamurthy
  17.  * 
  18.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  19.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  20.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  21.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  22.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  23.  *      and computational support.
  24.  *  
  25.  *      https://lakshmidrip.github.io/DROP/
  26.  *  
  27.  *  DROP is composed of three modules:
  28.  *  
  29.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  30.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  31.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  32.  * 
  33.  *  DROP Product Core implements libraries for the following:
  34.  *  - Fixed Income Analytics
  35.  *  - Loan Analytics
  36.  *  - Transaction Cost Analytics
  37.  * 
  38.  *  DROP Portfolio Core implements libraries for the following:
  39.  *  - Asset Allocation Analytics
  40.  *  - Asset Liability Management Analytics
  41.  *  - Capital Estimation Analytics
  42.  *  - Exposure Analytics
  43.  *  - Margin Analytics
  44.  *  - XVA Analytics
  45.  * 
  46.  *  DROP Computational Core implements libraries for the following:
  47.  *  - Algorithm Support
  48.  *  - Computation Support
  49.  *  - Function Analysis
  50.  *  - Model Validation
  51.  *  - Numerical Analysis
  52.  *  - Numerical Optimizer
  53.  *  - Spline Builder
  54.  *  - Statistical Learning
  55.  * 
  56.  *  Documentation for DROP is Spread Over:
  57.  * 
  58.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  59.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  60.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  61.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  62.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  63.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  64.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  65.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  66.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  67.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  68.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  69.  * 
  70.  *  Licensed under the Apache License, Version 2.0 (the "License");
  71.  *      you may not use this file except in compliance with the License.
  72.  *   
  73.  *  You may obtain a copy of the License at
  74.  *      http://www.apache.org/licenses/LICENSE-2.0
  75.  *  
  76.  *  Unless required by applicable law or agreed to in writing, software
  77.  *      distributed under the License is distributed on an "AS IS" BASIS,
  78.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  79.  *  
  80.  *  See the License for the specific language governing permissions and
  81.  *      limitations under the License.
  82.  */

  84. /**
  85.  * <i>WengertJacobian</i> contains the Jacobian of the given set of Wengert variables to the set of
  86.  * parameters. It exposes the following functionality:
  87.  * 
  88.  * <br><br>
  89.  *  <ul>
  90.  *      <li>
  91.  *          Set/Retrieve the Wengert variables
  92.  *      </li>
  93.  *      <li>
  94.  *          Accumulate the Partials
  95.  *      </li>
  96.  *      <li>
  97.  *          Scale the partial entries
  98.  *      </li>
  99.  *      <li>
  100.  *          Merge the Jacobian with another
  101.  *      </li>
  102.  *      <li>
  103.  *          Retrieve the WengertJacobian elements
  104.  *      </li>
  105.  *      <li>
  106.  *          Display the contents of the WengertJacobian
  107.  *      </li>
  108.  *  </ul>
  109.  * 
  110.  * <br><br>
  111.  *  <ul>
  112.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationalCore.md">Computational Core Module</a></li>
  113.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/NumericalAnalysisLibrary.md">Numerical Analysis Library</a></li>
  114.  *      <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/numerical">Numerical Quadrature, Differentiation, Eigenization, Linear Algebra, and Utilities</a></li>
  115.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/numerical/differentiation">R<sup>1</sup> To R<sup>1</sup> Numerical Differentiation</a></li>
  116.  *  </ul>
  117.  * <br><br>
  118.  *
  119.  * @author Lakshmi Krishnamurthy
  120.  */

  122. public class WengertJacobian {
  123.     private double[] _adblWengert = null;
  124.     private double[][] _aadblDWengertDParameter = null;

  126.     /**
  127.      * WengertJacobian constructor
  128.      * 
  129.      * @param iNumWengerts Number of Wengert variables
  130.      * @param iNumParameters Number of Parameters
  131.      * 
  132.      * @throws java.lang.Exception Thrown if the inputs are invalid
  133.      */

  135.     public WengertJacobian (
  136.         final int iNumWengerts,
  137.         final int iNumParameters)
  138.         throws java.lang.Exception
  139.     {
  140.         if (0 >= iNumWengerts || 0 >= iNumParameters)
  141.             throw new java.lang.Exception ("WengertJacobian constructor: Invalid inputs");

  143.         _adblWengert = new double[iNumWengerts];
  144.         _aadblDWengertDParameter = new double[iNumWengerts][iNumParameters];

  146.         for (int iWengertIndex = 0; iWengertIndex < _aadblDWengertDParameter.length; ++iWengertIndex) {
  147.             for (int iParameterIndex = 0; iParameterIndex < _aadblDWengertDParameter[0].length;
  148.                 ++iParameterIndex)
  149.                 _aadblDWengertDParameter[iWengertIndex][iParameterIndex] = 0.;
  150.         }
  151.     }

  153.     /**
  154.      * Retrieve the number of Wengert Variables
  155.      * 
  156.      * @return Number of Wengert Variables
  157.      */

  159.     public int numWengerts()
  160.     {
  161.         return null == _adblWengert ? 0 : _adblWengert.length;
  162.     }

  164.     /**
  165.      * Retrieve the number of Parameters
  166.      * 
  167.      * @return Number of Parameters
  168.      */

  170.     public int numParameters()
  171.     {
  172.         return (null == _aadblDWengertDParameter || null == _aadblDWengertDParameter[0]) ? 0 :
  173.             _aadblDWengertDParameter[0].length;
  174.     }

  176.     /**
  177.      * Set the Value for the Wengert variable
  178.      * 
  179.      * @param iWengertIndex Wengert Variable Index 
  180.      * @param dblWengert The Value for the Wengert Variable
  181.      * 
  182.      * @return TRUE - Successfully set
  183.      */

  185.     public boolean setWengert (
  186.         final int iWengertIndex,
  187.         final double dblWengert)
  188.     {
  189.         if (0 > iWengertIndex || iWengertIndex >= _adblWengert.length ||
  190.             !org.drip.numerical.common.NumberUtil.IsValid (dblWengert))
  191.             return false;

  193.         _adblWengert[iWengertIndex] = dblWengert;
  194.         return true;
  195.     }

  197.     /**
  198.      * Get the Value for the Wengert Variable
  199.      * 
  200.      * @param iIndex Wengert Variable Index 
  201.      * 
  202.      * @return The Value for the Wengert variable
  203.      * 
  204.      * @throws java.lang.Exception Thrown if the inputs are invalid
  205.      */

  207.     public double wengert (
  208.         final int iIndex)
  209.         throws java.lang.Exception
  210.     {
  211.         if (0 > iIndex || iIndex >= _adblWengert.length)
  212.             throw new java.lang.Exception ("WengertJacobian::wengert => Invalid Wengert Variable Index!");

  214.         return _adblWengert[iIndex];
  215.     }

  217.     /**
  218.      * Accumulate {D(Wengert)}/{D(Parameter)}
  219.      * 
  220.      * @param iWengertIndex Wengert Variable Index
  221.      * @param iParameterIndex Parameter Index
  222.      * @param dblDWengertDParameter The incremental {D(Wengert)}/{D(Parameter)}
  223.      * 
  224.      * @return TRUE - Successfully set
  225.      */

  227.     public boolean accumulatePartialFirstDerivative (
  228.         final int iWengertIndex,
  229.         final int iParameterIndex,
  230.         final double dblDWengertDParameter)
  231.     {
  232.         if (0 > iParameterIndex || iParameterIndex >= _aadblDWengertDParameter[0].length || 0 > iWengertIndex
  233.             || iWengertIndex >= _adblWengert.length || !org.drip.numerical.common.NumberUtil.IsValid
  234.                 (dblDWengertDParameter))
  235.             return false;

  237.         _aadblDWengertDParameter[iWengertIndex][iParameterIndex] += dblDWengertDParameter;
  238.         return true;
  239.     }

  241.     /**
  242.      * Retrieve {D(Wengert)}/{D(Parameter)} for the Wengert and the parameter identified by their indices
  243.      * 
  244.      * @param iWengertIndex Wengert Variable Index
  245.      * @param iParameterIndex Parameter Index
  246.      * 
  247.      * @return {D(Wengert)}/{D(Parameter)}
  248.      */

  250.     public double firstDerivative (
  251.         final int iWengertIndex,
  252.         final int iParameterIndex)
  253.     {
  254.         return _aadblDWengertDParameter[iWengertIndex][iParameterIndex];
  255.     }

  257.     /**
  258.      * Accumulate and merge partial entries from the other CurveWengertJacobian
  259.      * 
  260.      * @param wjOther CurveWengertJacobian to be accumulated and merged
  261.      * 
  262.      * @return TRUE - Successfully accumulated and merged
  263.      */

  265.     public boolean cumulativeMerge (
  266.         final org.drip.numerical.differentiation.WengertJacobian wjOther)
  267.     {
  268.         if (null == wjOther) return false;

  270.         for (int iWengertIndex = 0; iWengertIndex < _aadblDWengertDParameter.length; ++iWengertIndex) {
  271.             for (int iParameterIndex = 0; iParameterIndex < _aadblDWengertDParameter[0].length;
  272.                 ++iParameterIndex)
  273.                 _aadblDWengertDParameter[iWengertIndex][iParameterIndex] += wjOther.firstDerivative
  274.                     (iWengertIndex, iParameterIndex);
  275.         }

  277.         return true;
  278.     }

  280.     /**
  281.      * Accumulate and merge the weighted partial entries from the other CurveWengertJacobian
  282.      * 
  283.      * @param wjOther CurveWengertJacobian to be accumulated and merged
  284.      * @param dblWeight The Weight
  285.      * 
  286.      * @return TRUE - Successfully accumulated and merged
  287.      */

  289.     public boolean cumulativeMerge (
  290.         final org.drip.numerical.differentiation.WengertJacobian wjOther,
  291.         final double dblWeight)
  292.     {
  293.         if (null == wjOther || !org.drip.numerical.common.NumberUtil.IsValid (dblWeight)) return false;

  295.         for (int iWengertIndex = 0; iWengertIndex < _aadblDWengertDParameter.length; ++iWengertIndex) {
  296.             for (int iParameterIndex = 0; iParameterIndex < _aadblDWengertDParameter[0].length;
  297.                 ++iParameterIndex)
  298.                 _aadblDWengertDParameter[iWengertIndex][iParameterIndex] += wjOther.firstDerivative
  299.                     (iWengertIndex, iParameterIndex) * dblWeight;
  300.         }

  302.         return true;
  303.     }

  305.     /**
  306.      * Scale the partial entries
  307.      * 
  308.      * @param dblScale Factor by which the partials are to be scaled by
  309.      * 
  310.      * @return TRUE - Scaling down successful
  311.      */

  313.     public boolean scale (
  314.         final double dblScale)
  315.     {
  316.         if (0 >= dblScale) return false;

  318.         for (int iWengertIndex = 0; iWengertIndex < _aadblDWengertDParameter.length; ++iWengertIndex) {
  319.             for (int iParameterIndex = 0; iParameterIndex < _aadblDWengertDParameter[0].length;
  320.                 ++iParameterIndex)
  321.                 _aadblDWengertDParameter[iWengertIndex][iParameterIndex] *= dblScale;
  322.         }

  324.         return true;
  325.     }

  327.     /**
  328.      * Stringifies the contents of WengertJacobian
  329.      * 
  330.      * @return Stringified WengertJacobian
  331.      */

  333.     public java.lang.String displayString()
  334.     {
  335.         java.lang.StringBuffer sb = new java.lang.StringBuffer();

  337.         for (int iWengertIndex = 0; iWengertIndex < _aadblDWengertDParameter.length; ++iWengertIndex) {
  338.             java.lang.StringBuffer sbDWengertDParameter = new java.lang.StringBuffer();

  340.             sbDWengertDParameter.append ("Wengert{" + iWengertIndex + "} => [");

  342.             for (int iParameterIndex = 0; iParameterIndex < _aadblDWengertDParameter[0].length;
  343.                 ++iParameterIndex) {
  344.                 if (0 != iParameterIndex) sbDWengertDParameter.append (", ");

  346.                 sbDWengertDParameter.append (org.drip.numerical.common.FormatUtil.FormatDouble
  347.                     (_aadblDWengertDParameter[iWengertIndex][iParameterIndex], 1, 3, 1.));
  348.             }

  350.             sb.append (sbDWengertDParameter).append ("]\n");
  351.         }

  353.         return sb.toString();
  354.     }
  355. }
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