ZeroCurveRegressor.java
package org.drip.regression.curve;
/*
* -*- 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>ZeroCurveRegressor</i> implements the regression analysis set for the Zero Curve. The regression tests
* do the consists of the following:
*
* <br><br>
* <ul>
* <li>
* Build a discount curve, followed by the zero curve
* </li>
* <li>
* Regressor #1: Compute zero curve discount factors
* </li>
* <li>
* Regressor #2: Compute zero curve zero rates
* </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/curve/README.md">Curve Construction/Reconciliation Regression Engine</a></li>
* </ul>
* <br><br>
*
* @author Lakshmi Krishnamurthy
*/
public class ZeroCurveRegressor implements org.drip.regression.core.RegressorSet {
private org.drip.state.discount.ZeroCurve _zc = null;
private java.lang.String _strRegressionScenario = "org.drip.analytics.curve.ZeroCurve";
private java.util.List<org.drip.regression.core.UnitRegressor> _setRegressors = new
java.util.ArrayList<org.drip.regression.core.UnitRegressor>();
/**
* ZeroCurveRegressor constructor - Creates the base zero curve and initializes the regression objects
*/
public ZeroCurveRegressor()
{
}
/*
* Setting up of the zero curve regressor set
*/
@Override public boolean setupRegressors()
{
/*
* Zero Curve Creation unit regressor - implements the pre-regression, the post-regression, and the
* actual regression functionality of the UnitRegressorExecutor class.
*/
try {
_setRegressors.add (new org.drip.regression.core.UnitRegressionExecutor
("CreateZeroCurveFromPeriods", _strRegressionScenario)
{
private static final double s_dblZSpread = 0.01;
private org.drip.analytics.date.JulianDate _dtStart = null;
private org.drip.state.discount.ExplicitBootDiscountCurve _dc = null;
private java.util.List<org.drip.analytics.cashflow.CompositePeriod> _lsCouponPeriod = new
java.util.ArrayList<org.drip.analytics.cashflow.CompositePeriod>();
@Override public boolean preRegression()
{
if (null == (_dtStart = org.drip.analytics.date.DateUtil.CreateFromYMD (2010,
org.drip.analytics.date.DateUtil.MAY, 12)))
return false;
final int NUM_DC_NODES = 5;
final int NUM_PERIOD_NODES = 40;
int aiDate[] = new int[NUM_DC_NODES];
double adblRate[] = new double[NUM_DC_NODES];
for (int i = 0; i < NUM_DC_NODES; ++i) {
aiDate[i] = _dtStart.addYears (2 * i + 1).julian();
adblRate[i] = 0.05 + 0.001 * (NUM_DC_NODES - i);
}
if (null == (_dc = org.drip.state.creator.ScenarioDiscountCurveBuilder.PiecewiseForward
(_dtStart, "CHF", aiDate, adblRate)))
return false;
try {
org.drip.param.period.UnitCouponAccrualSetting ucas = new
org.drip.param.period.UnitCouponAccrualSetting (2, "30/360", false, "30/360",
false, "ZAR", false,
org.drip.analytics.support.CompositePeriodBuilder.ACCRUAL_COMPOUNDING_RULE_GEOMETRIC);
org.drip.param.period.ComposableFixedUnitSetting cfus = new
org.drip.param.period.ComposableFixedUnitSetting ("6M",
org.drip.analytics.support.CompositePeriodBuilder.EDGE_DATE_SEQUENCE_REGULAR,
null, s_dblZSpread, 0., "ZAR");
org.drip.param.period.CompositePeriodSetting cps = new
org.drip.param.period.CompositePeriodSetting (2, "6M", "ZAR", null, 1., null,
null, null, null);
java.util.List<java.lang.Integer> lsStreamEdgeDate =
org.drip.analytics.support.CompositePeriodBuilder.RegularEdgeDates (_dtStart,
"6M", (NUM_PERIOD_NODES * 6) + "M", null);
_lsCouponPeriod =
org.drip.analytics.support.CompositePeriodBuilder.FixedCompositeUnit (
lsStreamEdgeDate, cps, ucas, cfus);
} catch (java.lang.Exception e) {
e.printStackTrace();
return false;
}
return true;
}
@Override public boolean execRegression()
{
try {
if (null == (_zc = org.drip.state.curve.DerivedZeroRate.FromBaseCurve (2, "30/360",
_dc.currency(), true, _lsCouponPeriod, _lsCouponPeriod.get
(_lsCouponPeriod.size() - 1).endDate(), _dtStart.julian(), _dtStart.addDays
(2).julian(), _dc, s_dblZSpread, null, new
org.drip.spline.params.SegmentCustomBuilderControl
(org.drip.spline.stretch.MultiSegmentSequenceBuilder.BASIS_SPLINE_POLYNOMIAL,
new org.drip.spline.basis.PolynomialFunctionSetParams (4),
org.drip.spline.params.SegmentInelasticDesignControl.Create (2, 2), new
org.drip.spline.params.ResponseScalingShapeControl (true, new
org.drip.function.r1tor1.QuadraticRationalShapeControl (0.)),
null))))
return false;
} catch (java.lang.Exception e) {
e.printStackTrace();
return false;
}
return true;
}
});
/*
* Get Zero Discount Factor unit regressor - implements the pre-regression, the post-regression,
* and the actual regression functionality of the UnitRegressorExecutor class.
*/
_setRegressors.add (new org.drip.regression.core.UnitRegressionExecutor ("getZeroDF",
_strRegressionScenario)
{
private static final int NUM_DF_NODES = 30;
private int _aiDate[] = new int[NUM_DF_NODES];
private double _adblDiscFactor[] = new double[NUM_DF_NODES];
@Override public boolean preRegression()
{
org.drip.analytics.date.JulianDate dtStart =
org.drip.analytics.date.DateUtil.CreateFromYMD (2008,
org.drip.analytics.date.DateUtil.SEPTEMBER, 25);
for (int i = 0; i < NUM_DF_NODES; ++i)
_aiDate[i] = dtStart.addMonths (6 * i + 6).julian();
return true;
}
@Override public boolean execRegression()
{
try {
for (int i = 0; i < NUM_DF_NODES; ++i)
_adblDiscFactor[i] = _zc.df (_aiDate[i]);
} catch (java.lang.Exception e) {
e.printStackTrace();
return false;
}
return true;
}
@Override public boolean postRegression (
final org.drip.regression.core.RegressionRunDetail rnvd)
{
try {
for (int i = 0; i < NUM_DF_NODES; ++i)
rnvd.set ("ZeroDF[" + new org.drip.analytics.date.JulianDate (_aiDate[i]) +
"]", "" + _adblDiscFactor[i]);
} catch (java.lang.Exception e) {
e.printStackTrace();
return false;
}
return true;
}
});
/*
* Get Zero Rate unit regressor - implements the pre-regression, the post-regression, and the
* actual regression functionality of the UnitRegressorExecutor class.
*/
_setRegressors.add (new org.drip.regression.core.UnitRegressionExecutor ("getZeroRate",
_strRegressionScenario)
{
private static final int NUM_DF_NODES = 30;
private int _aiDate[] = new int[NUM_DF_NODES];
private double _adblRate[] = new double[NUM_DF_NODES];
@Override public boolean preRegression()
{
org.drip.analytics.date.JulianDate dtStart =
org.drip.analytics.date.DateUtil.CreateFromYMD (2008,
org.drip.analytics.date.DateUtil.SEPTEMBER, 25);
for (int i = 0; i < NUM_DF_NODES; ++i)
_aiDate[i] = dtStart.addMonths (6 * i + 6).julian();
return true;
}
@Override public boolean execRegression()
{
try {
for (int i = 0; i < NUM_DF_NODES; ++i)
_adblRate[i] = _zc.zeroRate (_aiDate[i]);
} catch (java.lang.Exception e) {
e.printStackTrace();
return false;
}
return true;
}
@Override public boolean postRegression (
final org.drip.regression.core.RegressionRunDetail rnvd)
{
try {
for (int i = 0; i < NUM_DF_NODES; ++i)
rnvd.set ("ZeroRate[" + new org.drip.analytics.date.JulianDate (_aiDate[i]) +
"]", "" + _adblRate[i]);
} catch (java.lang.Exception e) {
e.printStackTrace();
return false;
}
return true;
}
});
} catch (java.lang.Exception e) {
e.printStackTrace();
return false;
}
return true;
}
@Override public java.util.List<org.drip.regression.core.UnitRegressor> getRegressorSet()
{
return _setRegressors;
}
@Override public java.lang.String getSetName()
{
return _strRegressionScenario;
}
}