HermiteBasisSplineRegressor.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>HermiteBasisSplineRegressor</i> implements the Hermite basis spline regressor for the given basis
  86.  * spline. As 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 HermiteBasisSplineRegressor extends org.drip.regression.spline.BasisSplineRegressor {
  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 Hermite 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 org.drip.regression.spline.BasisSplineRegressor CreateHermiteSplineRegressor (
  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 HermiteBasisSplineRegressor (strName, strScenarioName, fs, iCk);
  144.         } catch (java.lang.Exception e) {
  145.             e.printStackTrace();
  146.         }

  148.         return null;
  149.     }

  151.     private HermiteBasisSplineRegressor (
  152.         final java.lang.String strName,
  153.         final java.lang.String strScenarioName,
  154.         final org.drip.spline.basis.FunctionSet fs,
  155.         final int iCk)
  156.         throws java.lang.Exception
  157.     {
  158.         super (strName, strScenarioName, fs, iCk);

  160.         org.drip.spline.params.SegmentInelasticDesignControl segParams =
  161.             org.drip.spline.params.SegmentInelasticDesignControl.Create (iCk, 1);

  163.         org.drip.spline.params.ResponseScalingShapeControl rssc = new
  164.             org.drip.spline.params.ResponseScalingShapeControl (true, new
  165.                 org.drip.function.r1tor1.QuadraticRationalShapeControl (1.));

  167.         if (null == (_seg1 = org.drip.spline.segment.LatentStateResponseModel.Create (0.0, 1.0, fs, rssc,
  168.             segParams)) || null == (_seg2 = org.drip.spline.segment.LatentStateResponseModel.Create (1.0,
  169.                 2.0, fs, rssc, segParams)))
  170.             throw new java.lang.Exception ("HermiteBasisSplineRegressor ctr: Cant create the segments");
  171.     }

  173.     @Override public boolean execRegression()
  174.     {
  175.         try {
  176.             return null != (_wjLeft = _seg1.jackDCoeffDEdgeParams (new double[] {0., 1.}, new double[] {1.,
  177.                 4.}, new double[] {1.}, new double[] {6.}, null, null)) && null != (_wjRight =
  178.                     _seg2.jackDCoeffDEdgeParams (new double[] {1., 2.}, new double[] {4., 15.}, new double[]
  179.                         {6.}, new double[] {17.}, null, null)) && _seg2.calibrate (_seg1, 14., null) && null
  180.                             != (_wjValue = _seg2.jackDResponseDEdgeInput (1.5, 1));
  181.         } catch (java.lang.Exception e) {
  182.             e.printStackTrace();
  183.         }

  185.         return false;
  186.     }

  188.     @Override public boolean postRegression (
  189.         final org.drip.regression.core.RegressionRunDetail rnvd)
  190.     {
  191.         try {
  192.             if (!rnvd.set (_strName + "_Seg1_0_0", "" + _seg1.responseValue (0.))) return false;

  194.             if (!rnvd.set (_strName + "_Seg1_1_0", "" + _seg1.responseValue (1.))) return false;

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

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

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

  202.             if (!rnvd.set (_strName + "_Seg2_1_0", "" + _seg2.responseValue (1.))) return false;

  204.             if (!rnvd.set (_strName + "_Seg2_2_0", "" + _seg2.responseValue (2.))) return false;

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

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

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

  212.             return rnvd.set (_strName + "_Seg2_Value_Jack", _wjValue.displayString());
  213.         } catch (java.lang.Exception e) {
  214.             e.printStackTrace();
  215.         }

  217.         return false;
  218.     }
  219. }
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