RegressionEngine.java
package org.drip.regression.core;
/*
* -*- 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>RegressionEngine</i> provides the control and frame-work functionality for the General Purpose
* Regression Suite. It invokes the following steps as part of the execution:
* <ul>
* <li>
* Initialize the regression environment. This step sets up the regression sets, and adds individual
* regressors to the set.
* </li>
* <li>
* Invoke the regressors in each set one by one.
* </li>
* <li>
* Collect the results and details of the regression runs.
* </li>
* <li>
* Compile the regression statistics.
* </li>
* <li>
* Optionally display the regression statistics.
* </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/ComputationSupportLibrary.md">Computation Support</a></li>
* <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>
* <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>
* </ul>
* <br><br>
*
* @author Lakshmi Krishnamurthy
*/
public class RegressionEngine {
/**
* Regression outputs decomposed at individual Module Units
*/
public static final int REGRESSION_DETAIL_MODULE_UNIT_DECOMPOSED = 1;
/**
* Regression outputs rolled up to Module Units
*/
public static final int REGRESSION_DETAIL_MODULE_UNIT_AGGREGATED = 2;
/**
* Regression outputs rolled up to Modules
*/
public static final int REGRESSION_DETAIL_MODULE_AGGREGATED = 4;
/**
* Regression Output: Statistics
*/
public static final int REGRESSION_DETAIL_STATS = 8;
private int _iNumRuns = 0;
private int _iRegressionDetail = REGRESSION_DETAIL_MODULE_UNIT_DECOMPOSED;
protected java.util.Set<org.drip.regression.core.RegressorSet> _setRS = new
java.util.HashSet<org.drip.regression.core.RegressorSet>();
org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.regression.core.UnitRegressionStat> _mapURS = new
org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.regression.core.UnitRegressionStat>();
private boolean executeRegressionSet (
final org.drip.regression.core.RegressorSet rs)
{
if (null == rs || null == rs.getSetName() || rs.getSetName().isEmpty()) return false;
java.util.List<org.drip.regression.core.UnitRegressor> lsRegressor = rs.getRegressorSet();
if (null == lsRegressor || 0 == lsRegressor.size()) {
System.out.println ("Cannot get the " + rs.getSetName() + " scenarios!");
return false;
}
long lModuleTime = 0;
int iNumRegressionsSucceeded = 0;
boolean bRegressionDetail = 0 != (REGRESSION_DETAIL_MODULE_UNIT_DECOMPOSED & _iRegressionDetail) ?
true : false;
System.out.println ("\t" + rs.getSetName() + " starts at " + new java.util.Date());
for (org.drip.regression.core.UnitRegressor r : lsRegressor) {
if (null == r) continue;
org.drip.regression.core.RegressionRunOutput ro = r.regress();
if (null != ro && ro._bStatus) {
++iNumRegressionsSucceeded;
lModuleTime += ro._lExecTime;
java.lang.String strScenarioQualifiedRegressor = rs.getSetName() + "." + r.getName();
org.drip.regression.core.UnitRegressionStat urs = _mapURS.get
(strScenarioQualifiedRegressor);
if (null == urs) urs = new org.drip.regression.core.UnitRegressionStat();
urs.addExecTime (ro._lExecTime);
_mapURS.put (strScenarioQualifiedRegressor, urs);
if (0 != (REGRESSION_DETAIL_MODULE_UNIT_DECOMPOSED & _iRegressionDetail) ||
0 != (REGRESSION_DETAIL_MODULE_UNIT_AGGREGATED & _iRegressionDetail))
System.out.println (ro.displayString (bRegressionDetail));
}
}
System.out.println ("\t" + rs.getSetName() + "=> " + lModuleTime+ " (mu-s): " +
iNumRegressionsSucceeded + " / " + lsRegressor.size() + " succeeded.");
System.out.println ("\t" + rs.getSetName() + " ends at " + new java.util.Date() + "\n");
return true;
}
protected RegressionEngine (
final int iNumRuns,
final int iRegressionDetail)
throws java.lang.Exception
{
if (0 >= (_iNumRuns = iNumRuns))
throw new java.lang.Exception ("RegressionEngine ctr: Invalid inputs");
_iRegressionDetail = iRegressionDetail;
}
/**
* Add the regressor set to the framework
*
* @param rs Regressor Set
*
* @return TRUE - Regressor Set successfully added
*/
protected final boolean addRegressorSet (
final org.drip.regression.core.RegressorSet rs)
{
if (null == rs || !rs.setupRegressors()) return false;
_setRS.add (rs);
return true;
}
/**
* One-time initialization of the regression engine environment
*
* @return TRUE - Regression Environment initialized successfully
*/
public boolean initRegressionEnv()
{
return true;
}
/**
* Launch the Regression Engine and execute the regression sets
*
* @return TRUE - Launch Successful
*/
protected final boolean launch()
{
if (0 == _setRS.size() || !initRegressionEnv()) return false;
boolean bLaunchSuccessful = true;
for (int i = 0; i < _iNumRuns; ++i) {
for (org.drip.regression.core.RegressorSet rs : _setRS)
bLaunchSuccessful = executeRegressionSet (rs);
}
if (0 != _mapURS.size() && null != _mapURS.entrySet()) {
for (java.util.Map.Entry<java.lang.String, org.drip.regression.core.UnitRegressionStat>
meURS : _mapURS.entrySet()) {
if (null == meURS || null == meURS.getKey() || meURS.getKey().isEmpty()) continue;
org.drip.regression.core.UnitRegressionStat urs = meURS.getValue();
if (null == urs || !urs.generateStat()) continue;
if (0 != (REGRESSION_DETAIL_STATS & _iRegressionDetail)) {
System.out.println ("\n--------\nStats for " + meURS.getKey() + "\n--------");
System.out.println (urs.displayString (meURS.getKey()));
}
}
}
return bLaunchSuccessful;
}
}