ZeroCurveRegressor.java

  1. package org.drip.regression.curve;

  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>ZeroCurveRegressor</i> implements the regression analysis set for the Zero Curve. The  regression tests
  86.  * do the consists of the following:
  87.  * 
  88.  * <br><br>
  89.  *  <ul>
  90.  *      <li>
  91.  *          Build a discount curve, followed by the zero curve
  92.  *      </li>
  93.  *      <li>
  94.  *          Regressor #1: Compute zero curve discount factors
  95.  *      </li>
  96.  *      <li>
  97.  *          Regressor #2: Compute zero curve zero rates
  98.  *      </li>
  99.  *  </ul>
  100.  * 
  101.  * <br><br>
  102.  *  <ul>
  103.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationalCore.md">Computational Core Module</a></li>
  104.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationSupportLibrary.md">Computation Support</a></li>
  105.  *      <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>
  106.  *      <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>
  107.  *  </ul>
  108.  * <br><br>
  109.  *
  110.  * @author Lakshmi Krishnamurthy
  111.  */

  113. public class ZeroCurveRegressor implements org.drip.regression.core.RegressorSet {
  114.     private org.drip.state.discount.ZeroCurve _zc = null;
  115.     private java.lang.String _strRegressionScenario = "org.drip.analytics.curve.ZeroCurve";

  117.     private java.util.List<org.drip.regression.core.UnitRegressor> _setRegressors = new
  118.         java.util.ArrayList<org.drip.regression.core.UnitRegressor>();

  120.     /**
  121.      * ZeroCurveRegressor constructor - Creates the base zero curve and initializes the regression objects
  122.      */

  124.     public ZeroCurveRegressor()
  125.     {
  126.     }

  128.     /*
  129.      * Setting up of the zero curve regressor set
  130.      */

  132.     @Override public boolean setupRegressors()
  133.     {
  134.         /*
  135.          * Zero Curve Creation unit regressor - implements the pre-regression, the post-regression, and the
  136.          *  actual regression functionality of the UnitRegressorExecutor class.
  137.          */

  139.         try {
  140.             _setRegressors.add (new org.drip.regression.core.UnitRegressionExecutor
  141.                 ("CreateZeroCurveFromPeriods", _strRegressionScenario)
  142.             {
  143.                 private static final double s_dblZSpread = 0.01;

  145.                 private org.drip.analytics.date.JulianDate _dtStart = null;
  146.                 private org.drip.state.discount.ExplicitBootDiscountCurve _dc = null;

  148.                 private java.util.List<org.drip.analytics.cashflow.CompositePeriod> _lsCouponPeriod = new
  149.                     java.util.ArrayList<org.drip.analytics.cashflow.CompositePeriod>();

  151.                 @Override public boolean preRegression()
  152.                 {
  153.                     if (null == (_dtStart = org.drip.analytics.date.DateUtil.CreateFromYMD (2010,
  154.                         org.drip.analytics.date.DateUtil.MAY, 12)))
  155.                         return false;

  157.                     final int NUM_DC_NODES = 5;
  158.                     final int NUM_PERIOD_NODES  = 40;
  159.                     int aiDate[] = new int[NUM_DC_NODES];
  160.                     double adblRate[] = new double[NUM_DC_NODES];

  162.                     for (int i = 0; i < NUM_DC_NODES; ++i) {
  163.                         aiDate[i] = _dtStart.addYears (2 * i + 1).julian();

  165.                         adblRate[i] = 0.05 + 0.001 * (NUM_DC_NODES - i);
  166.                     }

  168.                     if (null == (_dc = org.drip.state.creator.ScenarioDiscountCurveBuilder.PiecewiseForward
  169.                         (_dtStart, "CHF", aiDate, adblRate)))
  170.                         return false;

  172.                     try {
  173.                         org.drip.param.period.UnitCouponAccrualSetting ucas = new
  174.                             org.drip.param.period.UnitCouponAccrualSetting (2, "30/360", false, "30/360",
  175.                                 false, "ZAR", false,
  176.                                     org.drip.analytics.support.CompositePeriodBuilder.ACCRUAL_COMPOUNDING_RULE_GEOMETRIC);

  178.                         org.drip.param.period.ComposableFixedUnitSetting cfus = new
  179.                             org.drip.param.period.ComposableFixedUnitSetting ("6M",
  180.                                 org.drip.analytics.support.CompositePeriodBuilder.EDGE_DATE_SEQUENCE_REGULAR,
  181.                             null, s_dblZSpread, 0., "ZAR");

  183.                         org.drip.param.period.CompositePeriodSetting cps = new
  184.                             org.drip.param.period.CompositePeriodSetting (2, "6M", "ZAR", null, 1., null,
  185.                                 null, null, null);

  187.                         java.util.List<java.lang.Integer> lsStreamEdgeDate =
  188.                             org.drip.analytics.support.CompositePeriodBuilder.RegularEdgeDates (_dtStart,
  189.                                 "6M", (NUM_PERIOD_NODES * 6) + "M", null);

  191.                         _lsCouponPeriod =
  192.                             org.drip.analytics.support.CompositePeriodBuilder.FixedCompositeUnit (
  193.                                 lsStreamEdgeDate, cps, ucas, cfus);
  194.                     } catch (java.lang.Exception e) {
  195.                         e.printStackTrace();

  197.                         return false;
  198.                     }

  200.                     return true;
  201.                 }

  203.                 @Override public boolean execRegression()
  204.                 {
  205.                     try {
  206.                         if (null == (_zc = org.drip.state.curve.DerivedZeroRate.FromBaseCurve (2, "30/360",
  207.                             _dc.currency(), true, _lsCouponPeriod, _lsCouponPeriod.get
  208.                                 (_lsCouponPeriod.size() - 1).endDate(), _dtStart.julian(), _dtStart.addDays
  209.                                     (2).julian(), _dc, s_dblZSpread, null, new
  210.                                         org.drip.spline.params.SegmentCustomBuilderControl
  211.                                             (org.drip.spline.stretch.MultiSegmentSequenceBuilder.BASIS_SPLINE_POLYNOMIAL,
  212.                             new org.drip.spline.basis.PolynomialFunctionSetParams (4),
  213.                                 org.drip.spline.params.SegmentInelasticDesignControl.Create (2, 2), new
  214.                                     org.drip.spline.params.ResponseScalingShapeControl (true, new
  215.                                         org.drip.function.r1tor1.QuadraticRationalShapeControl (0.)),
  216.                                             null))))
  217.                             return false;
  218.                     } catch (java.lang.Exception e) {
  219.                         e.printStackTrace();

  221.                         return false;
  222.                     }

  224.                     return true;
  225.                 }
  226.             });

  228.             /*
  229.              * Get Zero Discount Factor unit regressor - implements the pre-regression, the post-regression,
  230.              *  and the actual regression functionality of the UnitRegressorExecutor class.
  231.              */

  233.             _setRegressors.add (new org.drip.regression.core.UnitRegressionExecutor ("getZeroDF",
  234.                 _strRegressionScenario)
  235.             {
  236.                 private static final int NUM_DF_NODES = 30;

  238.                 private int _aiDate[] = new int[NUM_DF_NODES];
  239.                 private double _adblDiscFactor[] = new double[NUM_DF_NODES];

  241.                 @Override public boolean preRegression()
  242.                 {
  243.                     org.drip.analytics.date.JulianDate dtStart =
  244.                         org.drip.analytics.date.DateUtil.CreateFromYMD (2008,
  245.                             org.drip.analytics.date.DateUtil.SEPTEMBER, 25);

  247.                     for (int i = 0; i < NUM_DF_NODES; ++i)
  248.                         _aiDate[i] = dtStart.addMonths (6 * i + 6).julian();

  250.                     return true;
  251.                 }

  253.                 @Override public boolean execRegression()
  254.                 {
  255.                     try {
  256.                         for (int i = 0; i < NUM_DF_NODES; ++i)
  257.                             _adblDiscFactor[i] = _zc.df (_aiDate[i]);
  258.                     } catch (java.lang.Exception e) {
  259.                         e.printStackTrace();

  261.                         return false;
  262.                     }

  264.                     return true;
  265.                 }

  267.                 @Override public boolean postRegression (
  268.                     final org.drip.regression.core.RegressionRunDetail rnvd)
  269.                 {
  270.                     try {
  271.                         for (int i = 0; i < NUM_DF_NODES; ++i)
  272.                             rnvd.set ("ZeroDF[" + new org.drip.analytics.date.JulianDate (_aiDate[i]) +
  273.                                 "]", "" + _adblDiscFactor[i]);
  274.                     } catch (java.lang.Exception e) {
  275.                         e.printStackTrace();

  277.                         return false;
  278.                     }

  280.                     return true;
  281.                 }
  282.             });

  284.             /*
  285.              * Get Zero Rate unit regressor - implements the pre-regression, the post-regression, and the
  286.              *  actual regression functionality of the UnitRegressorExecutor class.
  287.              */

  289.             _setRegressors.add (new org.drip.regression.core.UnitRegressionExecutor ("getZeroRate",
  290.                 _strRegressionScenario)
  291.             {
  292.                 private static final int NUM_DF_NODES = 30;

  294.                 private int _aiDate[] = new int[NUM_DF_NODES];
  295.                 private double _adblRate[] = new double[NUM_DF_NODES];

  297.                 @Override public boolean preRegression()
  298.                 {
  299.                     org.drip.analytics.date.JulianDate dtStart =
  300.                         org.drip.analytics.date.DateUtil.CreateFromYMD (2008,
  301.                             org.drip.analytics.date.DateUtil.SEPTEMBER, 25);

  303.                     for (int i = 0; i < NUM_DF_NODES; ++i)
  304.                         _aiDate[i] = dtStart.addMonths (6 * i + 6).julian();

  306.                     return true;
  307.                 }

  309.                 @Override public boolean execRegression()
  310.                 {
  311.                     try {
  312.                         for (int i = 0; i < NUM_DF_NODES; ++i)
  313.                             _adblRate[i] = _zc.zeroRate (_aiDate[i]);
  314.                     } catch (java.lang.Exception e) {
  315.                         e.printStackTrace();

  317.                         return false;
  318.                     }

  320.                     return true;
  321.                 }

  323.                 @Override public boolean postRegression (
  324.                     final org.drip.regression.core.RegressionRunDetail rnvd)
  325.                 {
  326.                     try {
  327.                         for (int i = 0; i < NUM_DF_NODES; ++i)
  328.                             rnvd.set ("ZeroRate[" + new org.drip.analytics.date.JulianDate (_aiDate[i]) +
  329.                                 "]", "" + _adblRate[i]);
  330.                     } catch (java.lang.Exception e) {
  331.                         e.printStackTrace();

  333.                         return false;
  334.                     }

  336.                     return true;
  337.                 }
  338.             });
  339.         } catch (java.lang.Exception e) {
  340.             e.printStackTrace();

  342.             return false;
  343.         }

  345.         return true;
  346.     }

  348.     @Override public java.util.List<org.drip.regression.core.UnitRegressor> getRegressorSet()
  349.     {
  350.         return _setRegressors;
  351.     }

  353.     @Override public java.lang.String getSetName()
  354.     {
  355.         return _strRegressionScenario;
  356.     }
  357. }
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