EDFJacobianRegressorSet.java

package org.drip.regression.curvejacobian;

/*
 * -*- 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
 * 
 *  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>EDFJacobianRegressorSet</i> implements the regression analysis set for the EDF product related
 * Sensitivity Jacobians. Specifically, it computes the PVDF micro-Jack.
 * 
 * <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/curvejacobian/README.md">Curve Jacobian Reconciliation Regression Engine</a></li>
 *  </ul>
 * <br><br>
 *
 * @author Lakshmi Krishnamurthy
 */

public class EDFJacobianRegressorSet implements org.drip.regression.core.RegressorSet {
    private java.lang.String _strRegressionScenario =
        "org.drip.analytics.definition.EDFDiscountCurve.CompPVDFJacobian";

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

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

    @Override public boolean setupRegressors()
    {
        try {
            _setRegressors.add (new org.drip.regression.core.UnitRegressionExecutor ("EDFJacobian",
                _strRegressionScenario) {
                org.drip.analytics.date.JulianDate dtStart = null;
                org.drip.state.discount.MergedDiscountForwardCurve dcEDF = null;
                org.drip.numerical.differentiation.WengertJacobian wjPVDF = null;
                org.drip.numerical.differentiation.WengertJacobian aWJComp[] = null;
                org.drip.product.definition.CalibratableComponent aCompCalib[] = null;

                @Override public boolean preRegression()
                {
                    int NUM_DC_INSTR = 8;
                    int aiDate[] = new int[NUM_DC_INSTR];
                    double adblRate[] = new double[NUM_DC_INSTR];
                    double adblCompCalibValue[] = new double[NUM_DC_INSTR];
                    aWJComp = new org.drip.numerical.differentiation.WengertJacobian[NUM_DC_INSTR];
                    java.lang.String astrCalibMeasure[] = new java.lang.String[NUM_DC_INSTR];
                    aCompCalib = new
                        org.drip.product.definition.CalibratableComponent[NUM_DC_INSTR];

                    dtStart = org.drip.analytics.date.DateUtil.CreateFromYMD (2011, 4, 6);

                    adblCompCalibValue[0] = .0027;
                    adblCompCalibValue[1] = .0032;
                    adblCompCalibValue[2] = .0041;
                    adblCompCalibValue[3] = .0054;
                    adblCompCalibValue[4] = .0077;
                    adblCompCalibValue[5] = .0104;
                    adblCompCalibValue[6] = .0134;
                    adblCompCalibValue[7] = .0160;
                    org.drip.analytics.date.JulianDate dtEDFStart = dtStart;

                    org.drip.product.definition.CalibratableComponent[] aEDF =
                        org.drip.product.creator.SingleStreamComponentBuilder.ForwardRateFuturesPack
                            (dtStart, 8, "USD");

                    for (int i = 0; i < NUM_DC_INSTR; ++i) {
                        adblRate[i] = 0.01;
                        aCompCalib[i] = aEDF[i];
                        astrCalibMeasure[i] = "Rate";

                        aiDate[i] = dtEDFStart.addDays ((i + 1) * 91).julian();
                    }

                    return null != (dcEDF =
                        org.drip.state.creator.ScenarioDiscountCurveBuilder.NonlinearBuild (dtStart, "USD",
                            aCompCalib, adblCompCalibValue, astrCalibMeasure, null));
                }

                @Override public boolean execRegression()
                {
                    for (int i = 0; i < aCompCalib.length; ++i) {
                        try {
                            if (null == (aWJComp[i] = aCompCalib[i].jackDDirtyPVDManifestMeasure (new
                                org.drip.param.valuation.ValuationParams (dtStart, dtStart, "USD"), null,
                                    org.drip.param.creator.MarketParamsBuilder.Create (dcEDF, null,
                                        null, null, null, null, null), null)))
                                return false;
                        } catch (java.lang.Exception e) {
                            e.printStackTrace();

                            return false;
                        }
                    }

                    return null != (wjPVDF = dcEDF.compJackDPVDManifestMeasure (dtStart));
                }

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

                    return rnvd.set ("CompPVDFJacobian", "" + wjPVDF.displayString());
                }
            });
        } catch (java.lang.Exception e) {
            e.printStackTrace();
        }

        return true;
    }

    @Override public java.lang.String getSetName()
    {
        return _strRegressionScenario;
    }
}