WengertJacobian.java
package org.drip.numerical.differentiation;
/*
* -*- 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
* Copyright (C) 2015 Lakshmi Krishnamurthy
* Copyright (C) 2014 Lakshmi Krishnamurthy
* Copyright (C) 2013 Lakshmi Krishnamurthy
* Copyright (C) 2012 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>WengertJacobian</i> contains the Jacobian of the given set of Wengert variables to the set of
* parameters. It exposes the following functionality:
*
* <br><br>
* <ul>
* <li>
* Set/Retrieve the Wengert variables
* </li>
* <li>
* Accumulate the Partials
* </li>
* <li>
* Scale the partial entries
* </li>
* <li>
* Merge the Jacobian with another
* </li>
* <li>
* Retrieve the WengertJacobian elements
* </li>
* <li>
* Display the contents of the WengertJacobian
* </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/numerical">Numerical Quadrature, Differentiation, Eigenization, Linear Algebra, and Utilities</a></li>
* <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>
* </ul>
* <br><br>
*
* @author Lakshmi Krishnamurthy
*/
public class WengertJacobian {
private double[] _adblWengert = null;
private double[][] _aadblDWengertDParameter = null;
/**
* WengertJacobian constructor
*
* @param iNumWengerts Number of Wengert variables
* @param iNumParameters Number of Parameters
*
* @throws java.lang.Exception Thrown if the inputs are invalid
*/
public WengertJacobian (
final int iNumWengerts,
final int iNumParameters)
throws java.lang.Exception
{
if (0 >= iNumWengerts || 0 >= iNumParameters)
throw new java.lang.Exception ("WengertJacobian constructor: Invalid inputs");
_adblWengert = new double[iNumWengerts];
_aadblDWengertDParameter = new double[iNumWengerts][iNumParameters];
for (int iWengertIndex = 0; iWengertIndex < _aadblDWengertDParameter.length; ++iWengertIndex) {
for (int iParameterIndex = 0; iParameterIndex < _aadblDWengertDParameter[0].length;
++iParameterIndex)
_aadblDWengertDParameter[iWengertIndex][iParameterIndex] = 0.;
}
}
/**
* Retrieve the number of Wengert Variables
*
* @return Number of Wengert Variables
*/
public int numWengerts()
{
return null == _adblWengert ? 0 : _adblWengert.length;
}
/**
* Retrieve the number of Parameters
*
* @return Number of Parameters
*/
public int numParameters()
{
return (null == _aadblDWengertDParameter || null == _aadblDWengertDParameter[0]) ? 0 :
_aadblDWengertDParameter[0].length;
}
/**
* Set the Value for the Wengert variable
*
* @param iWengertIndex Wengert Variable Index
* @param dblWengert The Value for the Wengert Variable
*
* @return TRUE - Successfully set
*/
public boolean setWengert (
final int iWengertIndex,
final double dblWengert)
{
if (0 > iWengertIndex || iWengertIndex >= _adblWengert.length ||
!org.drip.numerical.common.NumberUtil.IsValid (dblWengert))
return false;
_adblWengert[iWengertIndex] = dblWengert;
return true;
}
/**
* Get the Value for the Wengert Variable
*
* @param iIndex Wengert Variable Index
*
* @return The Value for the Wengert variable
*
* @throws java.lang.Exception Thrown if the inputs are invalid
*/
public double wengert (
final int iIndex)
throws java.lang.Exception
{
if (0 > iIndex || iIndex >= _adblWengert.length)
throw new java.lang.Exception ("WengertJacobian::wengert => Invalid Wengert Variable Index!");
return _adblWengert[iIndex];
}
/**
* Accumulate {D(Wengert)}/{D(Parameter)}
*
* @param iWengertIndex Wengert Variable Index
* @param iParameterIndex Parameter Index
* @param dblDWengertDParameter The incremental {D(Wengert)}/{D(Parameter)}
*
* @return TRUE - Successfully set
*/
public boolean accumulatePartialFirstDerivative (
final int iWengertIndex,
final int iParameterIndex,
final double dblDWengertDParameter)
{
if (0 > iParameterIndex || iParameterIndex >= _aadblDWengertDParameter[0].length || 0 > iWengertIndex
|| iWengertIndex >= _adblWengert.length || !org.drip.numerical.common.NumberUtil.IsValid
(dblDWengertDParameter))
return false;
_aadblDWengertDParameter[iWengertIndex][iParameterIndex] += dblDWengertDParameter;
return true;
}
/**
* Retrieve {D(Wengert)}/{D(Parameter)} for the Wengert and the parameter identified by their indices
*
* @param iWengertIndex Wengert Variable Index
* @param iParameterIndex Parameter Index
*
* @return {D(Wengert)}/{D(Parameter)}
*/
public double firstDerivative (
final int iWengertIndex,
final int iParameterIndex)
{
return _aadblDWengertDParameter[iWengertIndex][iParameterIndex];
}
/**
* Accumulate and merge partial entries from the other CurveWengertJacobian
*
* @param wjOther CurveWengertJacobian to be accumulated and merged
*
* @return TRUE - Successfully accumulated and merged
*/
public boolean cumulativeMerge (
final org.drip.numerical.differentiation.WengertJacobian wjOther)
{
if (null == wjOther) return false;
for (int iWengertIndex = 0; iWengertIndex < _aadblDWengertDParameter.length; ++iWengertIndex) {
for (int iParameterIndex = 0; iParameterIndex < _aadblDWengertDParameter[0].length;
++iParameterIndex)
_aadblDWengertDParameter[iWengertIndex][iParameterIndex] += wjOther.firstDerivative
(iWengertIndex, iParameterIndex);
}
return true;
}
/**
* Accumulate and merge the weighted partial entries from the other CurveWengertJacobian
*
* @param wjOther CurveWengertJacobian to be accumulated and merged
* @param dblWeight The Weight
*
* @return TRUE - Successfully accumulated and merged
*/
public boolean cumulativeMerge (
final org.drip.numerical.differentiation.WengertJacobian wjOther,
final double dblWeight)
{
if (null == wjOther || !org.drip.numerical.common.NumberUtil.IsValid (dblWeight)) return false;
for (int iWengertIndex = 0; iWengertIndex < _aadblDWengertDParameter.length; ++iWengertIndex) {
for (int iParameterIndex = 0; iParameterIndex < _aadblDWengertDParameter[0].length;
++iParameterIndex)
_aadblDWengertDParameter[iWengertIndex][iParameterIndex] += wjOther.firstDerivative
(iWengertIndex, iParameterIndex) * dblWeight;
}
return true;
}
/**
* Scale the partial entries
*
* @param dblScale Factor by which the partials are to be scaled by
*
* @return TRUE - Scaling down successful
*/
public boolean scale (
final double dblScale)
{
if (0 >= dblScale) return false;
for (int iWengertIndex = 0; iWengertIndex < _aadblDWengertDParameter.length; ++iWengertIndex) {
for (int iParameterIndex = 0; iParameterIndex < _aadblDWengertDParameter[0].length;
++iParameterIndex)
_aadblDWengertDParameter[iWengertIndex][iParameterIndex] *= dblScale;
}
return true;
}
/**
* Stringifies the contents of WengertJacobian
*
* @return Stringified WengertJacobian
*/
public java.lang.String displayString()
{
java.lang.StringBuffer sb = new java.lang.StringBuffer();
for (int iWengertIndex = 0; iWengertIndex < _aadblDWengertDParameter.length; ++iWengertIndex) {
java.lang.StringBuffer sbDWengertDParameter = new java.lang.StringBuffer();
sbDWengertDParameter.append ("Wengert{" + iWengertIndex + "} => [");
for (int iParameterIndex = 0; iParameterIndex < _aadblDWengertDParameter[0].length;
++iParameterIndex) {
if (0 != iParameterIndex) sbDWengertDParameter.append (", ");
sbDWengertDParameter.append (org.drip.numerical.common.FormatUtil.FormatDouble
(_aadblDWengertDParameter[iWengertIndex][iParameterIndex], 1, 3, 1.));
}
sb.append (sbDWengertDParameter).append ("]\n");
}
return sb.toString();
}
}