CashJacobianRegressorSet.java

  1. package org.drip.regression.curvejacobian;

  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.  * 
  17.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  18.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  19.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  20.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  21.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  22.  *      and computational support.
  23.  *  
  24.  *      https://lakshmidrip.github.io/DROP/
  25.  *  
  26.  *  DROP is composed of three modules:
  27.  *  
  28.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  29.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  30.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  31.  * 
  32.  *  DROP Product Core implements libraries for the following:
  33.  *  - Fixed Income Analytics
  34.  *  - Loan Analytics
  35.  *  - Transaction Cost Analytics
  36.  * 
  37.  *  DROP Portfolio Core implements libraries for the following:
  38.  *  - Asset Allocation Analytics
  39.  *  - Asset Liability Management Analytics
  40.  *  - Capital Estimation Analytics
  41.  *  - Exposure Analytics
  42.  *  - Margin Analytics
  43.  *  - XVA Analytics
  44.  * 
  45.  *  DROP Computational Core implements libraries for the following:
  46.  *  - Algorithm Support
  47.  *  - Computation Support
  48.  *  - Function Analysis
  49.  *  - Model Validation
  50.  *  - Numerical Analysis
  51.  *  - Numerical Optimizer
  52.  *  - Spline Builder
  53.  *  - Statistical Learning
  54.  * 
  55.  *  Documentation for DROP is Spread Over:
  56.  * 
  57.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  58.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  59.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  60.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  61.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  62.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  63.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  64.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  65.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  66.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  67.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  68.  * 
  69.  *  Licensed under the Apache License, Version 2.0 (the "License");
  70.  *      you may not use this file except in compliance with the License.
  71.  *   
  72.  *  You may obtain a copy of the License at
  73.  *      http://www.apache.org/licenses/LICENSE-2.0
  74.  *  
  75.  *  Unless required by applicable law or agreed to in writing, software
  76.  *      distributed under the License is distributed on an "AS IS" BASIS,
  77.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  78.  *  
  79.  *  See the License for the specific language governing permissions and
  80.  *      limitations under the License.
  81.  */

  83. /**
  84.  * <i>CashJacobianRegressorSet</i> implements the regression analysis set for the Cash product related
  85.  * Sensitivity Jacobians. Specifically, it computes the PVDF micro-Jack.
  86.  * 
  87.  * <br><br>
  88.  *  <ul>
  89.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationalCore.md">Computational Core Module</a></li>
  90.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationSupportLibrary.md">Computation Support</a></li>
  91.  *      <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>
  92.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/regression/curvejacobian/README.md">Curve Jacobian Reconciliation Regression Engine</a></li>
  93.  *  </ul>
  94.  * <br><br>
  95.  *
  96.  * @author Lakshmi Krishnamurthy
  97.  */

  99. public class CashJacobianRegressorSet implements org.drip.regression.core.RegressorSet {
  100.     private java.lang.String _strRegressionScenario =
  101.         "org.drip.analytics.definition.CashDiscountCurve.CompPVDFJacobian";

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

  106.     @Override public java.util.List<org.drip.regression.core.UnitRegressor> getRegressorSet()
  107.     {
  108.         return _setRegressors;
  109.     }

  111.     @Override public boolean setupRegressors()
  112.     {
  113.         try {
  114.             _setRegressors.add (new org.drip.regression.core.UnitRegressionExecutor ("CashJacobian",
  115.                 _strRegressionScenario) {
  116.                 org.drip.analytics.date.JulianDate dtStart = null;
  117.                 org.drip.state.discount.MergedDiscountForwardCurve dcCash = null;
  118.                 org.drip.numerical.differentiation.WengertJacobian wjPVDF = null;
  119.                 org.drip.numerical.differentiation.WengertJacobian aWJComp[] = null;
  120.                 org.drip.product.definition.CalibratableComponent aCompCalib[] = null;

  122.                 @Override public boolean preRegression() {
  123.                     int NUM_CASH_INSTR = 7;
  124.                     int aiDate[] = new int[NUM_CASH_INSTR];
  125.                     double adblRate[] = new double[NUM_CASH_INSTR];
  126.                     double adblCompCalibValue[] = new double[NUM_CASH_INSTR];
  127.                     aWJComp = new org.drip.numerical.differentiation.WengertJacobian[NUM_CASH_INSTR];
  128.                     java.lang.String astrCalibMeasure[] = new java.lang.String[NUM_CASH_INSTR];
  129.                     aCompCalib = new
  130.                         org.drip.product.definition.CalibratableComponent[NUM_CASH_INSTR];

  132.                     if (null == (dtStart = org.drip.analytics.date.DateUtil.CreateFromYMD (2011, 4, 6)))
  133.                         return false;

  135.                     aiDate[0] = dtStart.addDays (3).julian(); // ON

  137.                     aiDate[1] = dtStart.addDays (4).julian(); // 1D (TN)

  139.                     aiDate[2] = dtStart.addDays (9).julian(); // 1W

  141.                     aiDate[3] = dtStart.addDays (16).julian(); // 2W

  143.                     aiDate[4] = dtStart.addDays (32).julian(); // 1M

  145.                     aiDate[5] = dtStart.addDays (62).julian(); // 2M

  147.                     aiDate[6] = dtStart.addDays (92).julian(); // 3M

  149.                     adblCompCalibValue[0] = .0013;
  150.                     adblCompCalibValue[1] = .0017;
  151.                     adblCompCalibValue[2] = .0017;
  152.                     adblCompCalibValue[3] = .0018;
  153.                     adblCompCalibValue[4] = .0020;
  154.                     adblCompCalibValue[5] = .0023;
  155.                     adblCompCalibValue[6] = .0026;

  157.                     for (int i = 0; i < NUM_CASH_INSTR; ++i) {
  158.                         adblRate[i] = 0.01;
  159.                         astrCalibMeasure[i] = "Rate";

  161.                         try {
  162.                             aCompCalib[i] = org.drip.product.creator.SingleStreamComponentBuilder.Deposit
  163.                                 (dtStart.addDays (2), new org.drip.analytics.date.JulianDate (aiDate[i]),
  164.                                     org.drip.state.identifier.ForwardLabel.Create ("USD", "3M"));
  165.                         } catch (java.lang.Exception e) {
  166.                             e.printStackTrace();

  168.                             return false;
  169.                         }
  170.                     }

  172.                     return null != (dcCash =
  173.                         org.drip.state.creator.ScenarioDiscountCurveBuilder.NonlinearBuild (dtStart, "USD",
  174.                             aCompCalib, adblCompCalibValue, astrCalibMeasure, null));
  175.                 }

  177.                 @Override public boolean execRegression()
  178.                 {
  179.                     for (int i = 0; i < aCompCalib.length; ++i) {
  180.                         try {
  181.                             if (null == (aWJComp[i] = aCompCalib[i].jackDDirtyPVDManifestMeasure (new
  182.                                 org.drip.param.valuation.ValuationParams (dtStart, dtStart, "USD"), null,
  183.                                     org.drip.param.creator.MarketParamsBuilder.Create (dcCash, null,
  184.                                         null, null, null, null, null), null)))
  185.                                 return false;
  186.                         } catch (java.lang.Exception e) {
  187.                             e.printStackTrace();

  189.                             return false;
  190.                         }
  191.                     }

  193.                     return null != (wjPVDF = dcCash.compJackDPVDManifestMeasure (dtStart));
  194.                 }

  196.                 @Override public boolean postRegression (
  197.                     final org.drip.regression.core.RegressionRunDetail rnvd)
  198.                 {
  199.                     for (int i = 0; i < aCompCalib.length; ++i) {
  200.                         if (!rnvd.set ("PVDFMicroJack_" + aCompCalib[i].name(), aWJComp[i].displayString()))
  201.                             return false;
  202.                     }

  204.                     return rnvd.set ("CompPVDFJacobian", wjPVDF.displayString());
  205.                 }
  206.             });
  207.         } catch (java.lang.Exception e) {
  208.             e.printStackTrace();
  209.         }

  211.         return true;
  212.     }

  214.     @Override public java.lang.String getSetName()
  215.     {
  216.         return _strRegressionScenario;
  217.     }
  218. }
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