BasisSplineRegressorSet.java
package org.drip.regression.spline;
/*
* -*- 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>BasisSplineRegressorSet</i> carries out regression testing for the following series of basis splines:
*
* <br><br>
* <ul>
* <li>
* #1: Polynomial Basis Spline, n = 2 basis functions, and Ck = 0.
* </li>
* <li>
* #2: Polynomial Basis Spline, n = 3 basis functions, and Ck = 1.
* </li>
* <li>
* #3: Polynomial Basis Spline, n = 4 basis functions, and Ck = 1.
* </li>
* <li>
* #4: Polynomial Basis Spline, n = 4 basis functions, and Ck = 2.
* </li>
* <li>
* #5: Polynomial Basis Spline, n = 5 basis functions, and Ck = 1.
* </li>
* <li>
* #6: Polynomial Basis Spline, n = 5 basis functions, and Ck = 2.
* </li>
* <li>
* #7: Polynomial Basis Spline, n = 5 basis functions, and Ck = 3.
* </li>
* <li>
* #8: Polynomial Basis Spline, n = 6 basis functions, and Ck = 1.
* </li>
* <li>
* #9: Polynomial Basis Spline, n = 6 basis functions, and Ck = 2.
* </li>
* <li>
* #10: Polynomial Basis Spline, n = 6 basis functions, and Ck = 3.
* </li>
* <li>
* #11: Polynomial Basis Spline, n = 6 basis functions, and Ck = 4.
* </li>
* <li>
* #12: Polynomial Basis Spline, n = 7 basis functions, and Ck = 1.
* </li>
* <li>
* #13: Polynomial Basis Spline, n = 7 basis functions, and Ck = 2.
* </li>
* <li>
* #14: Polynomial Basis Spline, n = 7 basis functions, and Ck = 3.
* </li>
* <li>
* #15: Polynomial Basis Spline, n = 7 basis functions, and Ck = 4.
* </li>
* <li>
* #16: Polynomial Basis Spline, n = 7 basis functions, and Ck = 5.
* </li>
* <li>
* #17: Bernstein Polynomial Basis Spline, n = 4 basis functions, and Ck = 2.
* </li>
* <li>
* #18: Exponential Tension Spline, n = 4 basis functions, Tension = 1., and Ck = 2.
* </li>
* <li>
* #19: Hyperbolic Tension Spline, n = 4 basis functions, Tension = 1., and Ck = 2.
* </li>
* <li>
* #20: Kaklis-Pandelis Tension Spline, n = 4 basis functions, KP = 2, and Ck = 2.
* </li>
* <li>
* #21: C1 Hermite Local Spline, n = 4 basis functions, and Ck = 1.
* </li>
* <li>
* #22: Hermite Local Spline with Local, Catmull-Rom, and Cardinal Knots, n = 4 basis functions, and
* Ck = 1.
* </li>
* </ul>
*
* <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/spline/README.md">Custom Basis Spline Regression Engine</a></li>
* </ul>
* <br><br>
*
* @author Lakshmi Krishnamurthy
*/
public class BasisSplineRegressorSet implements org.drip.regression.core.RegressorSet {
private java.lang.String _strRegressionScenario = "PolynomialSplineRegressor";
private java.util.List<org.drip.regression.core.UnitRegressor> _setRegressors = new
java.util.ArrayList<org.drip.regression.core.UnitRegressor>();
/**
* BasisSplineRegressorSet constructor - Creates the base spline parameter and initializes the
* regression objects
*/
public BasisSplineRegressorSet()
{
}
@Override public boolean setupRegressors()
{
try {
_setRegressors.add
(org.drip.regression.spline.BasisSplineRegressor.CreatePolynomialSplineRegressor ("N2Ck0",
_strRegressionScenario, 2, 0));
_setRegressors.add
(org.drip.regression.spline.BasisSplineRegressor.CreatePolynomialSplineRegressor ("N3Ck0",
_strRegressionScenario, 3, 0));
_setRegressors.add
(org.drip.regression.spline.BasisSplineRegressor.CreatePolynomialSplineRegressor ("N3Ck1",
_strRegressionScenario, 3, 1));
_setRegressors.add
(org.drip.regression.spline.BasisSplineRegressor.CreatePolynomialSplineRegressor ("N4Ck0",
_strRegressionScenario, 4, 0));
_setRegressors.add
(org.drip.regression.spline.BasisSplineRegressor.CreatePolynomialSplineRegressor ("N4Ck1",
_strRegressionScenario, 4, 1));
_setRegressors.add
(org.drip.regression.spline.BasisSplineRegressor.CreatePolynomialSplineRegressor ("N4Ck2",
_strRegressionScenario, 4, 2));
_setRegressors.add
(org.drip.regression.spline.BasisSplineRegressor.CreatePolynomialSplineRegressor ("N5Ck0",
_strRegressionScenario, 5, 0));
_setRegressors.add
(org.drip.regression.spline.BasisSplineRegressor.CreatePolynomialSplineRegressor ("N5Ck1",
_strRegressionScenario, 5, 1));
_setRegressors.add
(org.drip.regression.spline.BasisSplineRegressor.CreatePolynomialSplineRegressor ("N5Ck2",
_strRegressionScenario, 5, 2));
_setRegressors.add
(org.drip.regression.spline.BasisSplineRegressor.CreatePolynomialSplineRegressor ("N5Ck3",
_strRegressionScenario, 5, 3));
_setRegressors.add
(org.drip.regression.spline.BasisSplineRegressor.CreatePolynomialSplineRegressor ("N6Ck0",
_strRegressionScenario, 6, 0));
_setRegressors.add
(org.drip.regression.spline.BasisSplineRegressor.CreatePolynomialSplineRegressor ("N6Ck1",
_strRegressionScenario, 6, 1));
_setRegressors.add
(org.drip.regression.spline.BasisSplineRegressor.CreatePolynomialSplineRegressor ("N6Ck2",
_strRegressionScenario, 6, 2));
_setRegressors.add
(org.drip.regression.spline.BasisSplineRegressor.CreatePolynomialSplineRegressor ("N6Ck3",
_strRegressionScenario, 6, 3));
_setRegressors.add
(org.drip.regression.spline.BasisSplineRegressor.CreatePolynomialSplineRegressor ("N6Ck4",
_strRegressionScenario, 6, 4));
_setRegressors.add
(org.drip.regression.spline.BasisSplineRegressor.CreatePolynomialSplineRegressor ("N7Ck0",
_strRegressionScenario, 7, 0));
_setRegressors.add
(org.drip.regression.spline.BasisSplineRegressor.CreatePolynomialSplineRegressor ("N7Ck1",
_strRegressionScenario, 7, 1));
_setRegressors.add
(org.drip.regression.spline.BasisSplineRegressor.CreatePolynomialSplineRegressor ("N7Ck2",
_strRegressionScenario, 7, 2));
_setRegressors.add
(org.drip.regression.spline.BasisSplineRegressor.CreatePolynomialSplineRegressor ("N7Ck3",
_strRegressionScenario, 7, 3));
_setRegressors.add
(org.drip.regression.spline.BasisSplineRegressor.CreatePolynomialSplineRegressor ("N7Ck4",
_strRegressionScenario, 7, 4));
_setRegressors.add
(org.drip.regression.spline.BasisSplineRegressor.CreatePolynomialSplineRegressor ("N7Ck5",
_strRegressionScenario, 7, 5));
_setRegressors.add
(org.drip.regression.spline.BasisSplineRegressor.CreateExponentialTensionSplineRegressor
("ExpTension", _strRegressionScenario, 1.));
_setRegressors.add
(org.drip.regression.spline.BasisSplineRegressor.CreateHyperbolicTensionSplineRegressor
("HyperTension", _strRegressionScenario, 1.));
_setRegressors.add
(org.drip.regression.spline.BasisSplineRegressor.CreateKaklisPandelisSplineRegressor ("KP",
_strRegressionScenario, 2));
_setRegressors.add
(org.drip.regression.spline.BasisSplineRegressor.CreateBernsteinPolynomialSplineRegressor
("Bern_N4Ck2", _strRegressionScenario, 4, 2));
_setRegressors.add
(org.drip.regression.spline.HermiteBasisSplineRegressor.CreateHermiteSplineRegressor
("Hermite_N4Ck1", _strRegressionScenario, 4, 1));
_setRegressors.add (new org.drip.regression.spline.LocalControlBasisSplineRegressor
("Hermite_Bessel_CatmullRom_Cardinal_N4Ck1", _strRegressionScenario,
org.drip.spline.stretch.MultiSegmentSequenceBuilder.BASIS_SPLINE_POLYNOMIAL, new
org.drip.spline.basis.PolynomialFunctionSetParams (4), 1));
_setRegressors.add (new org.drip.regression.spline.LagrangePolynomialStretchRegressor
("Lagrange_Polynomial_Stretch", _strRegressionScenario));
} catch (java.lang.Exception e) {
e.printStackTrace();
return false;
}
return true;
}
@Override public java.util.List<org.drip.regression.core.UnitRegressor> getRegressorSet()
{
return _setRegressors;
}
@Override public java.lang.String getSetName()
{
return _strRegressionScenario;
}
}