LagrangePolynomialStretchRegressor.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>LagrangePolynomialStretchRegressor</i> implements the local control basis spline regressor for the
 * given basis spline. As part of the regression run, it executes the following:
 * 
 * <br><br>
 *  <ul>
 *      <li>
 *          Calibrate and compute the left and the right Jacobian.
 *      </li>
 *      <li>
 *          Insert the Local Control Hermite, Cardinal, and Catmull-Rom knots.
 *      </li>
 *      <li>
 *          Compute an intermediate value Jacobian.
 *      </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 LagrangePolynomialStretchRegressor extends org.drip.regression.core.UnitRegressionExecutor {
    private boolean _bLocallyMonotone = false;
    private double _dblValue = java.lang.Double.NaN;
    private org.drip.spline.segment.Monotonocity _sm = null;
    private org.drip.numerical.differentiation.WengertJacobian _wj = null;
    private org.drip.spline.stretch.SingleSegmentSequence _sss = null;

    public LagrangePolynomialStretchRegressor (
        final java.lang.String strName,
        final java.lang.String strScenarioName)
        throws java.lang.Exception
    {
        super (strName, strScenarioName);

        _sss = new org.drip.spline.stretch.SingleSegmentLagrangePolynomial (new double[] {1., 2., 3., 4.});
    }

    @Override public boolean preRegression()
    {
        try {
            return _sss.setup (1., new double[] {1., 2., 3., 4.}, null,
                org.drip.spline.stretch.BoundarySettings.NaturalStandard(),
                    org.drip.spline.stretch.MultiSegmentSequence.CALIBRATE);
        } catch (java.lang.Exception e) {
            e.printStackTrace();
        }

        return false;
    }

    @Override public boolean execRegression()
    {
        try {
            if (!org.drip.numerical.common.NumberUtil.IsValid (_dblValue = _sss.responseValue (2.16)))
                return false;

            _bLocallyMonotone = _sss.isLocallyMonotone();
        } catch (java.lang.Exception e) {
            e.printStackTrace();

            return false;
        }

        if (null == (_wj = _sss.jackDResponseDCalibrationInput (2.16, 1))) return false;

        return null != (_sm = _sss.monotoneType (2.16));
    }

    @Override public boolean postRegression (
        final org.drip.regression.core.RegressionRunDetail rnvd)
    {
        if (!rnvd.set ("LPSR_Value", "" + _dblValue)) return false;

        if (!rnvd.set ("LPSR_WJ", _wj.displayString())) return false;

        if (!rnvd.set ("LPSR_SM", _sm.toString())) return false;

        return rnvd.set ("LPSR_LocallyMonotone", "" + _bLocallyMonotone);
    }
}