CreditAnalyticsRegressionEngine.java

  1. package org.drip.regression.curve;

  2. /*
  3.  * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
  4.  */

  5. /*!
  6.  * Copyright (C) 2020 Lakshmi Krishnamurthy
  7.  * Copyright (C) 2019 Lakshmi Krishnamurthy
  8.  * Copyright (C) 2018 Lakshmi Krishnamurthy
  9.  * Copyright (C) 2017 Lakshmi Krishnamurthy
  10.  * Copyright (C) 2016 Lakshmi Krishnamurthy
  11.  * Copyright (C) 2015 Lakshmi Krishnamurthy
  12.  * Copyright (C) 2014 Lakshmi Krishnamurthy
  13.  * Copyright (C) 2013 Lakshmi Krishnamurthy
  14.  * Copyright (C) 2012 Lakshmi Krishnamurthy
  15.  *
  16.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  17.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  18.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  19.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  20.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  21.  *      and computational support.
  22.  *  
  23.  *      https://lakshmidrip.github.io/DROP/
  24.  *  
  25.  *  DROP is composed of three modules:
  26.  *  
  27.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  28.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  29.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  30.  *
  31.  *  DROP Product Core implements libraries for the following:
  32.  *  - Fixed Income Analytics
  33.  *  - Loan Analytics
  34.  *  - Transaction Cost Analytics
  35.  *
  36.  *  DROP Portfolio Core implements libraries for the following:
  37.  *  - Asset Allocation Analytics
  38.  *  - Asset Liability Management Analytics
  39.  *  - Capital Estimation Analytics
  40.  *  - Exposure Analytics
  41.  *  - Margin Analytics
  42.  *  - XVA Analytics
  43.  *
  44.  *  DROP Computational Core implements libraries for the following:
  45.  *  - Algorithm Support
  46.  *  - Computation Support
  47.  *  - Function Analysis
  48.  *  - Model Validation
  49.  *  - Numerical Analysis
  50.  *  - Numerical Optimizer
  51.  *  - Spline Builder
  52.  *  - Statistical Learning
  53.  *
  54.  *  Documentation for DROP is Spread Over:
  55.  *
  56.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  57.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  58.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  59.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  60.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  61.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  62.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  63.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  64.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  65.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  66.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  67.  *
  68.  *  Licensed under the Apache License, Version 2.0 (the "License");
  69.  *      you may not use this file except in compliance with the License.
  70.  *  
  71.  *  You may obtain a copy of the License at
  72.  *      http://www.apache.org/licenses/LICENSE-2.0
  73.  *  
  74.  *  Unless required by applicable law or agreed to in writing, software
  75.  *      distributed under the License is distributed on an "AS IS" BASIS,
  76.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  77.  *  
  78.  *  See the License for the specific language governing permissions and
  79.  *      limitations under the License.
  80.  */

  81. /**
  82.  * <i>CreditAnalyticsRegressionEngine</i> implements the RegressionEngine for the curve regression. It adds
  83.  * the CreditCurveRegressor, DiscountCurveRegressor, and ZeroCurveRegressor, and launches the regression
  84.  * engine.
  85.  *
  86.  * <br><br>
  87.  *  <ul>
  88.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationalCore.md">Computational Core Module</a></li>
  89.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationSupportLibrary.md">Computation Support</a></li>
  90.  *      <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>
  91.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/regression/curve/README.md">Curve Construction/Reconciliation Regression Engine</a></li>
  92.  *  </ul>
  93.  * <br><br>
  94.  *
  95.  * @author Lakshmi Krishnamurthy
  96.  */

  97. public class CreditAnalyticsRegressionEngine extends org.drip.regression.core.RegressionEngine {

  98.     /**
  99.      * Initialize the Credit Analytics Regression Engine
  100.      *
  101.      * @param iNumRuns Number of runs to be initialized with
  102.      * @param iRegressionDetail Detail of the regression run
  103.      *
  104.      * @throws Exception Thrown from the super
  105.      */

  106.     public CreditAnalyticsRegressionEngine (
  107.         final int iNumRuns,
  108.         final int iRegressionDetail)
  109.         throws java.lang.Exception
  110.     {
  111.         super (iNumRuns, iRegressionDetail);
  112.     }

  113.     @Override public boolean initRegressionEnv()
  114.     {
  115.         org.drip.service.env.EnvManager.InitEnv ("");

  116.         return super.initRegressionEnv();
  117.     }

  118.     public static void main (
  119.         final java.lang.String[] astrArgs)
  120.         throws java.lang.Exception
  121.     {
  122.         CreditAnalyticsRegressionEngine care = new CreditAnalyticsRegressionEngine (10,
  123.             org.drip.regression.core.RegressionEngine.REGRESSION_DETAIL_MODULE_UNIT_DECOMPOSED);

  124.         /*
  125.          * Add the regressor sets: Refer to the implementation of the corresponding regressors
  126.          */

  127.         care.addRegressorSet (new CreditCurveRegressor());

  128.         care.addRegressorSet (new DiscountCurveRegressor());

  129.         care.addRegressorSet (new ZeroCurveRegressor());

  130.         /*
  131.          * Launch regression - and that's it!
  132.          */

  133.         care.launch();
  134.     }
  135. }