BasisSplineRegressor.java

  1. package org.drip.regression.spline;

  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>BasisSplineRegressor</i> implements the custom basis spline regressor for the given basis spline. As
  86.  * part of the regression run, it executes the following:
  87.  * 
  88.  * <br><br>
  89.  *  <ul>
  90.  *      <li>
  91.  *          Calibrate and compute the left and the right Jacobian.
  92.  *      </li>
  93.  *      <li>
  94.  *          Reset right node and re-run calibration.
  95.  *      </li>
  96.  *      <li>
  97.  *          Compute an intermediate value Jacobian.
  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/spline/README.md">Custom Basis Spline Regression Engine</a></li>
  107.  *  </ul>
  108.  * <br><br>
  109.  *
  110.  * @author Lakshmi Krishnamurthy
  111.  */

  113. public class BasisSplineRegressor extends org.drip.regression.core.UnitRegressionExecutor {
  114.     private java.lang.String _strName = "";
  115.     private org.drip.spline.segment.LatentStateResponseModel _seg1 = null;
  116.     private org.drip.spline.segment.LatentStateResponseModel _seg2 = null;
  117.     private org.drip.numerical.differentiation.WengertJacobian _wjLeft = null;
  118.     private org.drip.numerical.differentiation.WengertJacobian _wjRight = null;
  119.     private org.drip.numerical.differentiation.WengertJacobian _wjValue = null;

  121.     /**
  122.      * Create an instance of Polynomial BasisSplineRegressor
  123.      * 
  124.      * @param strName Regressor Name
  125.      * @param strScenarioName Regressor Scenario Name
  126.      * @param iNumBasis Number of Basis Functions
  127.      * @param iCk Ck
  128.      * 
  129.      * @return The BasisSplineRegressor Instance
  130.      */

  132.     public static final BasisSplineRegressor CreatePolynomialSplineRegressor (
  133.         final java.lang.String strName,
  134.         final java.lang.String strScenarioName,
  135.         final int iNumBasis,
  136.         final int iCk)
  137.     {
  138.         try {
  139.             org.drip.spline.basis.FunctionSet fs =
  140.                 org.drip.spline.basis.FunctionSetBuilder.PolynomialBasisSet (new
  141.                     org.drip.spline.basis.PolynomialFunctionSetParams (iNumBasis));

  143.             return null == fs ? null : new BasisSplineRegressor (strName, strScenarioName, fs, iCk);
  144.         } catch (java.lang.Exception e) {
  145.             e.printStackTrace();
  146.         }

  148.         return null;
  149.     }

  151.     /**
  152.      * Create an instance of Bernstein Polynomial BasisSplineRegressor
  153.      * 
  154.      * @param strName Regressor Name
  155.      * @param strScenarioName Regressor Scenario Name
  156.      * @param iNumBasis Number of Basis Functions
  157.      * @param iCk Ck
  158.      * 
  159.      * @return The BasisSplineRegressor Instance
  160.      */

  162.     public static final BasisSplineRegressor CreateBernsteinPolynomialSplineRegressor (
  163.         final java.lang.String strName,
  164.         final java.lang.String strScenarioName,
  165.         final int iNumBasis,
  166.         final int iCk)
  167.     {
  168.         try {
  169.             org.drip.spline.basis.FunctionSet fs =
  170.                 org.drip.spline.basis.FunctionSetBuilder.BernsteinPolynomialBasisSet (new
  171.                     org.drip.spline.basis.PolynomialFunctionSetParams (iNumBasis));

  173.             return null == fs ? null : new BasisSplineRegressor (strName, strScenarioName, fs, iCk);
  174.         } catch (java.lang.Exception e) {
  175.             e.printStackTrace();
  176.         }

  178.         return null;
  179.     }

  181.     /**
  182.      * Create an instance of Exponential BasisSplineRegressor
  183.      * 
  184.      * @param strName Regressor Name
  185.      * @param strScenarioName Regressor Scenario Name
  186.      * @param dblTension Tension Parameter
  187.      * 
  188.      * @return The BasisSplineRegressor Instance
  189.      */

  191.     public static final BasisSplineRegressor CreateExponentialTensionSplineRegressor (
  192.         final java.lang.String strName,
  193.         final java.lang.String strScenarioName,
  194.         final double dblTension)
  195.     {
  196.         try {
  197.             org.drip.spline.basis.FunctionSet fs =
  198.                 org.drip.spline.basis.FunctionSetBuilder.ExponentialTensionBasisSet (new
  199.                     org.drip.spline.basis.ExponentialTensionSetParams (dblTension));

  201.             return null == fs ? null : new BasisSplineRegressor (strName, strScenarioName, fs, 2);
  202.         } catch (java.lang.Exception e) {
  203.             e.printStackTrace();
  204.         }

  206.         return null;
  207.     }

  209.     /**
  210.      * Create an instance of Hyperbolic BasisSplineRegressor
  211.      * 
  212.      * @param strName Regressor Name
  213.      * @param strScenarioName Regressor Scenario Name
  214.      * @param dblTension Tension Parameter
  215.      * 
  216.      * @return The BasisSplineRegressor Instance
  217.      */

  219.     public static final BasisSplineRegressor CreateHyperbolicTensionSplineRegressor (
  220.         final java.lang.String strName,
  221.         final java.lang.String strScenarioName,
  222.         final double dblTension)
  223.     {
  224.         try {
  225.             org.drip.spline.basis.FunctionSet fs =
  226.                 org.drip.spline.basis.FunctionSetBuilder.HyperbolicTensionBasisSet (new
  227.                     org.drip.spline.basis.ExponentialTensionSetParams (dblTension));

  229.             return null == fs ? null : new BasisSplineRegressor (strName, strScenarioName, fs, 2);
  230.         } catch (java.lang.Exception e) {
  231.             e.printStackTrace();
  232.         }

  234.         return null;
  235.     }

  237.     /**
  238.      * Create an instance of the Kaklis-Pandelis BasisSplineRegressor
  239.      * 
  240.      * @param strName Regressor Name
  241.      * @param strScenarioName Regressor Scenario Name
  242.      * @param iKPPolynomialTension KP Polynomial Tension Parameter
  243.      * 
  244.      * @return The BasisSplineRegressor Instance
  245.      */

  247.     public static final BasisSplineRegressor CreateKaklisPandelisSplineRegressor (
  248.         final java.lang.String strName,
  249.         final java.lang.String strScenarioName,
  250.         final int iKPPolynomialTension)
  251.     {
  252.         try {
  253.             org.drip.spline.basis.FunctionSet fs =
  254.                 org.drip.spline.basis.FunctionSetBuilder.KaklisPandelisBasisSet (new
  255.                     org.drip.spline.basis.KaklisPandelisSetParams (iKPPolynomialTension));

  257.             return null == fs ? null : new BasisSplineRegressor (strName, strScenarioName, fs, 2);
  258.         } catch (java.lang.Exception e) {
  259.             e.printStackTrace();
  260.         }

  262.         return null;
  263.     }

  265.     protected BasisSplineRegressor (
  266.         final java.lang.String strName,
  267.         final java.lang.String strScenarioName,
  268.         final org.drip.spline.basis.FunctionSet fs,
  269.         final int iCk)
  270.         throws java.lang.Exception
  271.     {
  272.         super (strName, strScenarioName);

  274.         org.drip.spline.params.SegmentInelasticDesignControl segParams =
  275.             org.drip.spline.params.SegmentInelasticDesignControl.Create (iCk, 2);

  277.         org.drip.spline.params.ResponseScalingShapeControl rssc = new
  278.             org.drip.spline.params.ResponseScalingShapeControl (true, new
  279.                 org.drip.function.r1tor1.QuadraticRationalShapeControl (1.));

  281.         if (null == (_seg1 = org.drip.spline.segment.LatentStateResponseModel.Create (1.0, 3.0, fs, rssc,
  282.             segParams)) || null == (_seg2 = org.drip.spline.segment.LatentStateResponseModel.Create (3.0,
  283.                 6.0, fs, rssc, segParams)))
  284.             throw new java.lang.Exception ("BasisSplineRegressor ctr: Cant create the segments");
  285.     }

  287.     @Override public boolean preRegression()
  288.     {
  289.         return true;
  290.     }

  292.     @Override public boolean execRegression()
  293.     {
  294.         try {
  295.             return null != (_wjLeft = _seg1.jackDCoeffDEdgeParams (25., 0., 20.25, null)) && null !=
  296.                 (_wjRight = _seg2.jackDCoeffDEdgeParams (_seg1, "Default", 16., null, java.lang.Double.NaN,
  297.                     null)) && _seg2.calibrate (_seg1, 14., null) && null != (_wjValue =
  298.                         _seg2.jackDResponseDEdgeInput (5., 1));
  299.         } catch (java.lang.Exception e) {
  300.             e.printStackTrace();
  301.         }

  303.         return false;
  304.     }

  306.     @Override public boolean postRegression (
  307.         final org.drip.regression.core.RegressionRunDetail rnvd)
  308.     {
  309.         try {
  310.             if (!rnvd.set (_strName + "_Seg1_1_0", "" + _seg1.responseValue (1.))) return false;

  312.             if (!rnvd.set (_strName + "_Seg1_3_0", "" + _seg1.responseValue (3.))) return false;

  314.             if (!rnvd.set (_strName + "_Seg1_Jack", _wjLeft.displayString()));

  316.             if (!rnvd.set (_strName + "_Seg1_Head_Jack", _seg1.jackDCoeffDEdgeInputs().displayString()));

  318.             if (!rnvd.set (_strName + "_Seg1_Monotone", _seg1.monotoneType().toString()));

  320.             if (!rnvd.set (_strName + "_Seg2_3_0", "" + _seg2.responseValue (3.))) return false;

  322.             if (!rnvd.set (_strName + "_Seg2_6_0", "" + _seg2.responseValue (6.))) return false;

  324.             if (!rnvd.set (_strName + "_Seg2_Jack", _wjRight.displayString()));

  326.             if (!rnvd.set (_strName + "_Seg2_Head_Jack", _seg2.jackDCoeffDEdgeInputs().displayString()));

  328.             if (!rnvd.set (_strName + "_Seg2_Monotone", _seg2.monotoneType().toString()));

  330.             return rnvd.set (_strName + "_Seg2_Value_Jack", _wjValue.displayString());
  331.         } catch (java.lang.Exception e) {
  332.             e.printStackTrace();
  333.         }

  335.         return false;
  336.     }
  337. }
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