UnitRegressionExecutor.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>UnitRegressionExecutor</i> implements the UnitRegressor, and splits the regression execution into pre-,
* execute, and post-regression. It provides default implementations for pre-regression and post-regression.
* Most typical regressors only need to over-ride the execRegression method.
*
* <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 abstract class UnitRegressionExecutor implements org.drip.regression.core.UnitRegressor {
private static final boolean _bDisplayStatus = false;
private java.lang.String _strRegressorSet = "";
private java.lang.String _strRegressorName = "";
/**
* Constructor for the unit regression executor
*
* @param strRegressorName Name of the unit regressor
* @param strRegressorSet Name of the regressor set
*
* @throws java.lang.Exception Thrown if inputs are invalid
*/
protected UnitRegressionExecutor (
final java.lang.String strRegressorName,
final java.lang.String strRegressorSet)
throws java.lang.Exception
{
if (null == (_strRegressorName = strRegressorName) || strRegressorName.isEmpty() || null ==
(_strRegressorSet = strRegressorSet) || _strRegressorSet.isEmpty())
throw new java.lang.Exception ("UnitRegressionExecutor ctr: Invalid inputs");
}
/**
* One-time initialization to set up the objects needed for the regression
*
* @return TRUE - Initialization successful
*/
public boolean preRegression()
{
return true;
}
/**
* Execute the regression call within this function
*
* @return The result of the regression
*/
public abstract boolean execRegression();
/**
* Clean-up of the objects set-up for the regression
*
* @param rnvd Regression Run Detail object to capture the regression details
*
* @return TRUE - Clean-up successful
*/
public boolean postRegression (
final org.drip.regression.core.RegressionRunDetail rnvd)
{
return true;
}
@Override public org.drip.regression.core.RegressionRunOutput regress()
{
org.drip.regression.core.RegressionRunOutput ro = null;
try {
ro = new org.drip.regression.core.RegressionRunOutput (_strRegressorSet + "." +
_strRegressorName);
} catch (java.lang.Exception e) {
e.printStackTrace();
return null;
}
if (!preRegression()) {
if (_bDisplayStatus)
System.out.println (_strRegressorSet + "." + _strRegressorName +
": Cannot set-up the regressor!");
return null;
}
long lStartTime = System.nanoTime();
if (!execRegression()) {
if (_bDisplayStatus)
System.out.println (_strRegressorSet + "." + _strRegressorName + ": failed");
ro.setTerminationStatus (false);
return ro;
}
ro._lExecTime = (long) (1.e-03 * (System.nanoTime() - lStartTime));
if (!postRegression (ro.getRegressionDetail())) {
if (_bDisplayStatus)
System.out.println (_strRegressorSet + "." + _strRegressorName +
": Regressor clean-up unsuccessful!");
return null;
}
if (_bDisplayStatus) System.out.println (_strRegressorSet + "." + _strRegressorName + ": succeeded");
ro.setTerminationStatus (true);
return ro;
}
@Override public java.lang.String getName()
{
return _strRegressorName;
}
}