CompoundBracketingRegressorSet.java
package org.drip.regression.fixedpointfinder;
/*
* -*- 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>CompoundBracketingRegressorSet</i> implements regression run for the Compound Bracketing Fixed Point
* Search Method. It implements the following 2 compound bracketing schemes: Brent and Zheng.
*
* <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/fixedpointfinder/README.md">Fixed Point Finder Regression Engine</a></li>
* </ul>
* <br><br>
*
* @author Lakshmi Krishnamurthy
*/
public class CompoundBracketingRegressorSet implements org.drip.regression.core.RegressorSet {
private org.drip.function.definition.R1ToR1 _of = null;
private java.lang.String _strRegressionScenario = "org.drip.math.solver1D.FixedPointFinderCompound";
private java.util.List<org.drip.regression.core.UnitRegressor> _setRegressors = new
java.util.ArrayList<org.drip.regression.core.UnitRegressor>();
public CompoundBracketingRegressorSet()
{
_of = new org.drip.function.definition.R1ToR1 (null)
{
public double evaluate (
final double dblVariate)
throws java.lang.Exception
{
if (java.lang.Double.isNaN (dblVariate))
throw new java.lang.Exception
("FixedPointFinderRegressorOF.evalTarget => Invalid variate!");
/* return java.lang.Math.cos (dblVariate) - dblVariate * dblVariate * dblVariate;
return dblVariate * dblVariate * dblVariate - 3. * dblVariate * dblVariate + 2. *
dblVariate;
return dblVariate * dblVariate * dblVariate + 4. * dblVariate + 4.;
return 32. * dblVariate * dblVariate * dblVariate * dblVariate * dblVariate * dblVariate
- 48. * dblVariate * dblVariate * dblVariate * dblVariate + 18. * dblVariate *
dblVariate - 1.; */
return 1. + 3. * dblVariate - 2. * java.lang.Math.sin (dblVariate);
}
@Override public double integrate (
final double dblBegin,
final double dblEnd)
throws java.lang.Exception
{
return org.drip.numerical.integration.R1ToR1Integrator.Boole (this, dblBegin, dblEnd);
}
};
}
@Override public boolean setupRegressors()
{
try {
_setRegressors.add (new org.drip.regression.core.UnitRegressionExecutor ("BrentFixedPointFinder",
_strRegressionScenario)
{
org.drip.function.r1tor1solver.FixedPointFinderBrent fpfbBrent = null;
org.drip.function.r1tor1solver.FixedPointFinderOutput fpfopBrent = null;
@Override public boolean preRegression()
{
try {
fpfbBrent = new org.drip.function.r1tor1solver.FixedPointFinderBrent (0., _of, true);
return true;
} catch (java.lang.Exception e) {
e.printStackTrace();
}
return false;
}
@Override public boolean execRegression()
{
if (null == (fpfopBrent = fpfbBrent.findRoot())) return false;
return true;
}
@Override public boolean postRegression (
final org.drip.regression.core.RegressionRunDetail rnvd)
{
rnvd.set ("FixedPoint", "" + fpfopBrent.getRoot());
return true;
}
});
_setRegressors.add (new org.drip.regression.core.UnitRegressionExecutor ("ZhengFixedPointFinder",
_strRegressionScenario)
{
org.drip.function.r1tor1solver.FixedPointFinderZheng fpfbZheng = null;
org.drip.function.r1tor1solver.FixedPointFinderOutput fpfopZheng = null;
@Override public boolean preRegression()
{
try {
fpfbZheng = new org.drip.function.r1tor1solver.FixedPointFinderZheng (0., _of, true);
return true;
} catch (java.lang.Exception e) {
e.printStackTrace();
}
return false;
}
@Override public boolean execRegression()
{
if (null == (fpfopZheng = fpfbZheng.findRoot())) return false;
return true;
}
@Override public boolean postRegression (
final org.drip.regression.core.RegressionRunDetail rnvd)
{
rnvd.set ("FixedPoint", "" + fpfopZheng.getRoot());
return true;
}
});
} catch (java.lang.Exception e) {
e.printStackTrace();
}
return true;
}
@Override public java.util.List<org.drip.regression.core.UnitRegressor> getRegressorSet()
{
return _setRegressors;
}
@Override public java.lang.String getSetName()
{
return _strRegressionScenario;
}
}