BasisSplineRegressorSet.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>BasisSplineRegressorSet</i> carries out regression testing for the following series of basis splines:
  86.  * 
  87.  * <br><br>
  88.  *  <ul>
  89.  *      <li>
  90.  *          #1: Polynomial Basis Spline, n = 2 basis functions, and Ck = 0.
  91.  *      </li>
  92.  *      <li>
  93.  *          #2: Polynomial Basis Spline, n = 3 basis functions, and Ck = 1.
  94.  *      </li>
  95.  *      <li>
  96.  *          #3: Polynomial Basis Spline, n = 4 basis functions, and Ck = 1.
  97.  *      </li>
  98.  *      <li>
  99.  *          #4: Polynomial Basis Spline, n = 4 basis functions, and Ck = 2.
  100.  *      </li>
  101.  *      <li>
  102.  *          #5: Polynomial Basis Spline, n = 5 basis functions, and Ck = 1.
  103.  *      </li>
  104.  *      <li>
  105.  *          #6: Polynomial Basis Spline, n = 5 basis functions, and Ck = 2.
  106.  *      </li>
  107.  *      <li>
  108.  *          #7: Polynomial Basis Spline, n = 5 basis functions, and Ck = 3.
  109.  *      </li>
  110.  *      <li>
  111.  *          #8: Polynomial Basis Spline, n = 6 basis functions, and Ck = 1.
  112.  *      </li>
  113.  *      <li>
  114.  *          #9: Polynomial Basis Spline, n = 6 basis functions, and Ck = 2.
  115.  *      </li>
  116.  *      <li>
  117.  *          #10: Polynomial Basis Spline, n = 6 basis functions, and Ck = 3.
  118.  *      </li>
  119.  *      <li>
  120.  *          #11: Polynomial Basis Spline, n = 6 basis functions, and Ck = 4.
  121.  *      </li>
  122.  *      <li>
  123.  *          #12: Polynomial Basis Spline, n = 7 basis functions, and Ck = 1.
  124.  *      </li>
  125.  *      <li>
  126.  *          #13: Polynomial Basis Spline, n = 7 basis functions, and Ck = 2.
  127.  *      </li>
  128.  *      <li>
  129.  *          #14: Polynomial Basis Spline, n = 7 basis functions, and Ck = 3.
  130.  *      </li>
  131.  *      <li>
  132.  *          #15: Polynomial Basis Spline, n = 7 basis functions, and Ck = 4.
  133.  *      </li>
  134.  *      <li>
  135.  *          #16: Polynomial Basis Spline, n = 7 basis functions, and Ck = 5.
  136.  *      </li>
  137.  *      <li>
  138.  *          #17: Bernstein Polynomial Basis Spline, n = 4 basis functions, and Ck = 2.
  139.  *      </li>
  140.  *      <li>
  141.  *          #18: Exponential Tension Spline, n = 4 basis functions, Tension = 1., and Ck = 2.
  142.  *      </li>
  143.  *      <li>
  144.  *          #19: Hyperbolic Tension Spline, n = 4 basis functions, Tension = 1., and Ck = 2.
  145.  *      </li>
  146.  *      <li>
  147.  *          #20: Kaklis-Pandelis Tension Spline, n = 4 basis functions, KP = 2, and Ck = 2.
  148.  *      </li>
  149.  *      <li>
  150.  *          #21: C1 Hermite Local Spline, n = 4 basis functions, and Ck = 1.
  151.  *      </li>
  152.  *      <li>
  153.  *          #22: Hermite Local Spline with Local, Catmull-Rom, and Cardinal Knots, n = 4 basis functions, and
  154.  *              Ck = 1.
  155.  *      </li>
  156.  *  </ul>
  157.  * 
  158.  * <br><br>
  159.  *  <ul>
  160.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationalCore.md">Computational Core Module</a></li>
  161.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationSupportLibrary.md">Computation Support</a></li>
  162.  *      <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>
  163.  *      <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>
  164.  *  </ul>
  165.  * <br><br>
  166.  *
  167.  * @author Lakshmi Krishnamurthy
  168.  */

  170. public class BasisSplineRegressorSet implements org.drip.regression.core.RegressorSet {
  171.     private java.lang.String _strRegressionScenario = "PolynomialSplineRegressor";

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

  176.     /**
  177.      * BasisSplineRegressorSet constructor - Creates the base spline parameter and initializes the
  178.      *  regression objects
  179.      */

  181.     public BasisSplineRegressorSet()
  182.     {
  183.     }

  185.     @Override public boolean setupRegressors()
  186.     {
  187.         try {
  188.             _setRegressors.add
  189.                 (org.drip.regression.spline.BasisSplineRegressor.CreatePolynomialSplineRegressor ("N2Ck0",
  190.                     _strRegressionScenario, 2, 0));

  192.             _setRegressors.add
  193.                 (org.drip.regression.spline.BasisSplineRegressor.CreatePolynomialSplineRegressor ("N3Ck0",
  194.                     _strRegressionScenario, 3, 0));

  196.             _setRegressors.add
  197.                 (org.drip.regression.spline.BasisSplineRegressor.CreatePolynomialSplineRegressor ("N3Ck1",
  198.                     _strRegressionScenario, 3, 1));

  200.             _setRegressors.add
  201.                 (org.drip.regression.spline.BasisSplineRegressor.CreatePolynomialSplineRegressor ("N4Ck0",
  202.                     _strRegressionScenario, 4, 0));

  204.             _setRegressors.add
  205.                 (org.drip.regression.spline.BasisSplineRegressor.CreatePolynomialSplineRegressor ("N4Ck1",
  206.                     _strRegressionScenario, 4, 1));

  208.             _setRegressors.add
  209.                 (org.drip.regression.spline.BasisSplineRegressor.CreatePolynomialSplineRegressor ("N4Ck2",
  210.                     _strRegressionScenario, 4, 2));

  212.             _setRegressors.add
  213.                 (org.drip.regression.spline.BasisSplineRegressor.CreatePolynomialSplineRegressor ("N5Ck0",
  214.                     _strRegressionScenario, 5, 0));

  216.             _setRegressors.add
  217.                 (org.drip.regression.spline.BasisSplineRegressor.CreatePolynomialSplineRegressor ("N5Ck1",
  218.                     _strRegressionScenario, 5, 1));

  220.             _setRegressors.add
  221.                 (org.drip.regression.spline.BasisSplineRegressor.CreatePolynomialSplineRegressor ("N5Ck2",
  222.                     _strRegressionScenario, 5, 2));

  224.             _setRegressors.add
  225.                 (org.drip.regression.spline.BasisSplineRegressor.CreatePolynomialSplineRegressor ("N5Ck3",
  226.                     _strRegressionScenario, 5, 3));

  228.             _setRegressors.add
  229.                 (org.drip.regression.spline.BasisSplineRegressor.CreatePolynomialSplineRegressor ("N6Ck0",
  230.                     _strRegressionScenario, 6, 0));

  232.             _setRegressors.add
  233.                 (org.drip.regression.spline.BasisSplineRegressor.CreatePolynomialSplineRegressor ("N6Ck1",
  234.                     _strRegressionScenario, 6, 1));

  236.             _setRegressors.add
  237.                 (org.drip.regression.spline.BasisSplineRegressor.CreatePolynomialSplineRegressor ("N6Ck2",
  238.                     _strRegressionScenario, 6, 2));

  240.             _setRegressors.add
  241.                 (org.drip.regression.spline.BasisSplineRegressor.CreatePolynomialSplineRegressor ("N6Ck3",
  242.                     _strRegressionScenario, 6, 3));

  244.             _setRegressors.add
  245.                 (org.drip.regression.spline.BasisSplineRegressor.CreatePolynomialSplineRegressor ("N6Ck4",
  246.                     _strRegressionScenario, 6, 4));

  248.             _setRegressors.add
  249.                 (org.drip.regression.spline.BasisSplineRegressor.CreatePolynomialSplineRegressor ("N7Ck0",
  250.                     _strRegressionScenario, 7, 0));

  252.             _setRegressors.add
  253.                 (org.drip.regression.spline.BasisSplineRegressor.CreatePolynomialSplineRegressor ("N7Ck1",
  254.                     _strRegressionScenario, 7, 1));

  256.             _setRegressors.add
  257.                 (org.drip.regression.spline.BasisSplineRegressor.CreatePolynomialSplineRegressor ("N7Ck2",
  258.                     _strRegressionScenario, 7, 2));

  260.             _setRegressors.add
  261.                 (org.drip.regression.spline.BasisSplineRegressor.CreatePolynomialSplineRegressor ("N7Ck3",
  262.                     _strRegressionScenario, 7, 3));

  264.             _setRegressors.add
  265.                 (org.drip.regression.spline.BasisSplineRegressor.CreatePolynomialSplineRegressor ("N7Ck4",
  266.                     _strRegressionScenario, 7, 4));

  268.             _setRegressors.add
  269.                 (org.drip.regression.spline.BasisSplineRegressor.CreatePolynomialSplineRegressor ("N7Ck5",
  270.                     _strRegressionScenario, 7, 5));

  272.             _setRegressors.add
  273.                 (org.drip.regression.spline.BasisSplineRegressor.CreateExponentialTensionSplineRegressor
  274.                     ("ExpTension", _strRegressionScenario, 1.));

  276.             _setRegressors.add
  277.                 (org.drip.regression.spline.BasisSplineRegressor.CreateHyperbolicTensionSplineRegressor
  278.                     ("HyperTension", _strRegressionScenario, 1.));

  280.             _setRegressors.add
  281.                 (org.drip.regression.spline.BasisSplineRegressor.CreateKaklisPandelisSplineRegressor ("KP",
  282.                     _strRegressionScenario, 2));

  284.             _setRegressors.add
  285.                 (org.drip.regression.spline.BasisSplineRegressor.CreateBernsteinPolynomialSplineRegressor
  286.                     ("Bern_N4Ck2", _strRegressionScenario, 4, 2));

  288.             _setRegressors.add
  289.                 (org.drip.regression.spline.HermiteBasisSplineRegressor.CreateHermiteSplineRegressor
  290.                     ("Hermite_N4Ck1", _strRegressionScenario, 4, 1));

  292.             _setRegressors.add (new org.drip.regression.spline.LocalControlBasisSplineRegressor
  293.                 ("Hermite_Bessel_CatmullRom_Cardinal_N4Ck1", _strRegressionScenario,
  294.                     org.drip.spline.stretch.MultiSegmentSequenceBuilder.BASIS_SPLINE_POLYNOMIAL, new
  295.                         org.drip.spline.basis.PolynomialFunctionSetParams (4), 1));

  297.             _setRegressors.add (new org.drip.regression.spline.LagrangePolynomialStretchRegressor
  298.                 ("Lagrange_Polynomial_Stretch", _strRegressionScenario));
  299.         } catch (java.lang.Exception e) {
  300.             e.printStackTrace();

  302.             return false;
  303.         }

  305.         return true;
  306.     }

  308.     @Override public java.util.List<org.drip.regression.core.UnitRegressor> getRegressorSet()
  309.     {
  310.         return _setRegressors;
  311.     }

  313.     @Override public java.lang.String getSetName()
  314.     {
  315.         return _strRegressionScenario;
  316.     }
  317. }
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