RegressionEngine.java

  1. package org.drip.regression.core;

  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>RegressionEngine</i> provides the control and frame-work functionality for the General Purpose
  86.  * Regression Suite. It invokes the following steps as part of the execution:
  87.  *  <ul>
  88.  *      <li>
  89.  *          Initialize the regression environment. This step sets up the regression sets, and adds individual
  90.  *              regressors to the set.
  91.  *      </li>
  92.  *      <li>
  93.  *          Invoke the regressors in each set one by one.
  94.  *      </li>
  95.  *      <li>
  96.  *          Collect the results and details of the regression runs.
  97.  *      </li>
  98.  *      <li>
  99.  *          Compile the regression statistics.
  100.  *      </li>
  101.  *      <li>
  102.  *          Optionally display the regression statistics.
  103.  *      </li>
  104.  *  </ul>
  105.  * 
  106.  * <br><br>
  107.  *  <ul>
  108.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationalCore.md">Computational Core Module</a></li>
  109.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationSupportLibrary.md">Computation Support</a></li>
  110.  *      <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/regression/README.md">Regression Engine Core and the Unit Regressors</a></li>
  111.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/regression/core/README.md">Regression Engine Core - Unit Regressors</a></li>
  112.  *  </ul>
  113.  * <br><br>
  114.  *
  115.  * @author Lakshmi Krishnamurthy
  116.  */

  118. public class RegressionEngine {

  120.     /**
  121.      * Regression outputs decomposed at individual Module Units 
  122.      */

  124.     public static final int REGRESSION_DETAIL_MODULE_UNIT_DECOMPOSED = 1;

  126.     /**
  127.      * Regression outputs rolled up to Module Units
  128.      */

  130.     public static final int REGRESSION_DETAIL_MODULE_UNIT_AGGREGATED = 2;

  132.     /**
  133.      * Regression outputs rolled up to Modules 
  134.      */

  136.     public static final int REGRESSION_DETAIL_MODULE_AGGREGATED = 4;

  138.     /**
  139.      * Regression Output: Statistics
  140.      */

  142.     public static final int REGRESSION_DETAIL_STATS = 8;

  144.     private int _iNumRuns = 0;
  145.     private int _iRegressionDetail = REGRESSION_DETAIL_MODULE_UNIT_DECOMPOSED;

  147.     protected java.util.Set<org.drip.regression.core.RegressorSet> _setRS = new
  148.         java.util.HashSet<org.drip.regression.core.RegressorSet>();

  150.     org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.regression.core.UnitRegressionStat> _mapURS = new
  151.         org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.regression.core.UnitRegressionStat>();

  153.     private boolean executeRegressionSet (
  154.         final org.drip.regression.core.RegressorSet rs)
  155.     {
  156.         if (null == rs || null == rs.getSetName() || rs.getSetName().isEmpty()) return false;

  158.         java.util.List<org.drip.regression.core.UnitRegressor> lsRegressor = rs.getRegressorSet();

  160.         if (null == lsRegressor || 0 == lsRegressor.size()) {
  161.             System.out.println ("Cannot get the " + rs.getSetName() + " scenarios!");

  163.             return false;
  164.         }

  166.         long lModuleTime = 0;
  167.         int iNumRegressionsSucceeded = 0;
  168.         boolean bRegressionDetail = 0 != (REGRESSION_DETAIL_MODULE_UNIT_DECOMPOSED & _iRegressionDetail) ?
  169.             true : false;

  171.         System.out.println ("\t" + rs.getSetName() + " starts at " + new java.util.Date());

  173.         for (org.drip.regression.core.UnitRegressor r : lsRegressor) {
  174.             if (null == r) continue;

  176.             org.drip.regression.core.RegressionRunOutput ro = r.regress();

  178.             if (null != ro && ro._bStatus) {
  179.                 ++iNumRegressionsSucceeded;
  180.                 lModuleTime += ro._lExecTime;

  182.                 java.lang.String strScenarioQualifiedRegressor = rs.getSetName() + "." + r.getName();

  184.                 org.drip.regression.core.UnitRegressionStat urs = _mapURS.get
  185.                     (strScenarioQualifiedRegressor);

  187.                 if (null == urs) urs = new org.drip.regression.core.UnitRegressionStat();

  189.                 urs.addExecTime (ro._lExecTime);

  191.                 _mapURS.put (strScenarioQualifiedRegressor, urs);

  193.                 if (0 != (REGRESSION_DETAIL_MODULE_UNIT_DECOMPOSED & _iRegressionDetail) ||
  194.                     0 != (REGRESSION_DETAIL_MODULE_UNIT_AGGREGATED & _iRegressionDetail))
  195.                     System.out.println (ro.displayString (bRegressionDetail));
  196.             }
  197.         }

  199.         System.out.println ("\t" + rs.getSetName() + "=> " + lModuleTime+ " (mu-s): " +
  200.             iNumRegressionsSucceeded + " / " + lsRegressor.size() + " succeeded.");

  202.         System.out.println ("\t" + rs.getSetName() + " ends at " + new java.util.Date() + "\n");

  204.         return true;
  205.     }

  207.     protected RegressionEngine (
  208.         final int iNumRuns,
  209.         final int iRegressionDetail)
  210.         throws java.lang.Exception
  211.     {
  212.         if (0 >= (_iNumRuns = iNumRuns))
  213.             throw new java.lang.Exception ("RegressionEngine ctr: Invalid inputs");

  215.         _iRegressionDetail = iRegressionDetail;
  216.     }

  218.     /**
  219.      * Add the regressor set to the framework
  220.      * 
  221.      * @param rs Regressor Set
  222.      * 
  223.      * @return TRUE - Regressor Set successfully added
  224.      */

  226.     protected final boolean addRegressorSet (
  227.         final org.drip.regression.core.RegressorSet rs)
  228.     {
  229.         if (null == rs || !rs.setupRegressors()) return false;

  231.         _setRS.add (rs);

  233.         return true;
  234.     }

  236.     /**
  237.      * One-time initialization of the regression engine environment
  238.      * 
  239.      * @return TRUE - Regression Environment initialized successfully
  240.      */

  242.     public boolean initRegressionEnv()
  243.     {
  244.         return true;
  245.     }

  247.     /**
  248.      * Launch the Regression Engine and execute the regression sets
  249.      * 
  250.      * @return TRUE - Launch Successful
  251.      */

  253.     protected final boolean launch()
  254.     {
  255.         if (0 == _setRS.size() || !initRegressionEnv()) return false;

  257.         boolean bLaunchSuccessful = true;

  259.         for (int i = 0; i < _iNumRuns; ++i) {
  260.             for (org.drip.regression.core.RegressorSet rs : _setRS)
  261.                 bLaunchSuccessful = executeRegressionSet (rs);
  262.         }

  264.         if (0 != _mapURS.size() && null != _mapURS.entrySet()) {
  265.             for (java.util.Map.Entry<java.lang.String, org.drip.regression.core.UnitRegressionStat>
  266.                 meURS : _mapURS.entrySet()) {
  267.                 if (null == meURS || null == meURS.getKey() || meURS.getKey().isEmpty()) continue;

  269.                 org.drip.regression.core.UnitRegressionStat urs = meURS.getValue();

  271.                 if (null == urs || !urs.generateStat()) continue;

  273.                 if (0 != (REGRESSION_DETAIL_STATS & _iRegressionDetail)) {
  274.                     System.out.println ("\n--------\nStats for " + meURS.getKey() + "\n--------");

  276.                     System.out.println (urs.displayString (meURS.getKey()));
  277.                 }
  278.             }
  279.         }

  281.         return bLaunchSuccessful;
  282.     }
  283. }
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