LocalControlBasisSplineRegressor.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>LocalControlBasisSplineRegressor</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>
* Run Regressor for the C1 Local Control C1 Slope Insertion Bessel/Hermite Spline.
* </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 LocalControlBasisSplineRegressor extends org.drip.regression.core.UnitRegressionExecutor {
private org.drip.spline.stretch.MultiSegmentSequence _mss = null;
private org.drip.spline.stretch.MultiSegmentSequence _mssBesselHermite = null;
private org.drip.spline.stretch.MultiSegmentSequence _mssHermiteInsert = null;
private org.drip.spline.stretch.MultiSegmentSequence _mssCardinalInsert = null;
private org.drip.spline.stretch.MultiSegmentSequence _mssCatmullRomInsert = null;
private final boolean DumpRNVD (
final java.lang.String strStretchName,
final org.drip.spline.stretch.MultiSegmentSequence mss,
final org.drip.regression.core.RegressionRunDetail rrd)
{
double dblX = 0.;
double dblXMax = 4.;
while (dblX <= dblXMax) {
try {
if (!rrd.set (getName() + "_" + strStretchName + "_" + dblX,
org.drip.numerical.common.FormatUtil.FormatDouble (mss.responseValue (dblX), 1, 2, 1.) +
" | " + mss.monotoneType (dblX)))
return false;
} catch (java.lang.Exception e) {
e.printStackTrace();
return false;
}
if (!rrd.set (getName() + "_" + strStretchName + "_" + dblX + "_Jack",
mss.jackDResponseDCalibrationInput (dblX, 1).displayString()))
return false;
dblX += 0.5;
}
return true;
}
/**
* LocalControlBasisSplineRegressor constructor
*
* @param strName Regressor Name
* @param strScenarioName Regression Scenario Name
* @param strBasisSpline Basis Spline
* @param fsbp Basis Set Builder Parameters
* @param iCk Continuity Ck
*
* @throws java.lang.Exception Thrown if inputs are invalid
*/
public LocalControlBasisSplineRegressor (
final java.lang.String strName,
final java.lang.String strScenarioName,
final java.lang.String strBasisSpline,
final org.drip.spline.basis.FunctionSetBuilderParams fsbp,
final int iCk)
throws java.lang.Exception
{
super (strName, strScenarioName);
double[] adblX = new double[] {0.00, 1.00, 2.00, 3.00, 4.00};
int iNumSegment = adblX.length - 1;
org.drip.spline.params.SegmentCustomBuilderControl[] aSCBC = new
org.drip.spline.params.SegmentCustomBuilderControl[iNumSegment];
for (int i = 0; i < iNumSegment; ++i)
aSCBC[i] = new org.drip.spline.params.SegmentCustomBuilderControl (strBasisSpline, fsbp,
org.drip.spline.params.SegmentInelasticDesignControl.Create (iCk, 1), new
org.drip.spline.params.ResponseScalingShapeControl (true, new
org.drip.function.r1tor1.QuadraticRationalShapeControl (1.)), null);
if (null == (_mss =
org.drip.spline.stretch.MultiSegmentSequenceBuilder.CreateUncalibratedStretchEstimator
("SPLINE_STRETCH", adblX, aSCBC)))
throw new java.lang.Exception
("LocalControlBasisSplineRegressor ctr: Cannot Construct Stretch!");
}
@Override public boolean preRegression()
{
double[] adblY = new double[] {1.00, 4.00, 15.00, 40.00, 85.00};
double[] adblDYDX = new double[] {1.00, 6.00, 17.00, 34.00, 57.00};
org.drip.spline.params.SegmentCustomBuilderControl scbc = null;
org.drip.spline.params.SegmentPredictorResponseDerivative[] aSPRDLeft = new
org.drip.spline.params.SegmentPredictorResponseDerivative[adblY.length - 1];
org.drip.spline.params.SegmentPredictorResponseDerivative[] aSPRDRight = new
org.drip.spline.params.SegmentPredictorResponseDerivative[adblY.length - 1];
for (int i = 0; i < adblY.length - 1; ++i) {
try {
aSPRDLeft[i] = new org.drip.spline.params.SegmentPredictorResponseDerivative (adblY[i], new
double[] {adblDYDX[i]});
aSPRDRight[i] = new org.drip.spline.params.SegmentPredictorResponseDerivative (adblY[i + 1],
new double[] {adblDYDX[i + 1]});
} catch (java.lang.Exception e) {
e.printStackTrace();
return false;
}
}
try {
scbc = new org.drip.spline.params.SegmentCustomBuilderControl
(org.drip.spline.stretch.MultiSegmentSequenceBuilder.BASIS_SPLINE_POLYNOMIAL, new
org.drip.spline.basis.PolynomialFunctionSetParams (4),
org.drip.spline.params.SegmentInelasticDesignControl.Create (2, 2), new
org.drip.spline.params.ResponseScalingShapeControl (true, new
org.drip.function.r1tor1.QuadraticRationalShapeControl (1.)), null);
} catch (java.lang.Exception e) {
e.printStackTrace();
return false;
}
org.drip.spline.params.SegmentCustomBuilderControl[] aSCBC = new
org.drip.spline.params.SegmentCustomBuilderControl[adblY.length - 1];
for (int i = 0; i < adblY.length - 1; ++i)
aSCBC[i] = scbc;
if (null == (_mssBesselHermite =
org.drip.spline.pchip.LocalControlStretchBuilder.CreateBesselCubicSplineStretch
("BESSEL_STRETCH", new double[] {0.00, 1.00, 2.00, 3.00, 4.00}, adblY, aSCBC, null,
org.drip.spline.stretch.MultiSegmentSequence.CALIBRATE, true, true)))
return false;
return _mss.setupHermite (aSPRDLeft, aSPRDRight, null, null,
org.drip.spline.stretch.MultiSegmentSequence.CALIBRATE_JACOBIAN);
}
@Override public boolean execRegression()
{
try {
if (null == (_mssHermiteInsert = org.drip.spline.stretch.MultiSegmentSequenceModifier.InsertKnot
(_mss, 2.5, new org.drip.spline.params.SegmentPredictorResponseDerivative (27.5, new double[]
{25.5}), new org.drip.spline.params.SegmentPredictorResponseDerivative (27.5, new
double[] {25.5}))))
return false;
} catch (java.lang.Exception e) {
e.printStackTrace();
return false;
}
if (null == (_mssCardinalInsert =
org.drip.spline.stretch.MultiSegmentSequenceModifier.InsertCardinalKnot (_mss, 2.5, 0.)))
return false;
return null != (_mssCatmullRomInsert =
org.drip.spline.stretch.MultiSegmentSequenceModifier.InsertCatmullRomKnot (_mss, 2.5));
}
@Override public boolean postRegression (
final org.drip.regression.core.RegressionRunDetail rrd)
{
return DumpRNVD ("LOCAL_NO_KNOT", _mss, rrd) && DumpRNVD ("LOCAL_HERMITE_KNOT", _mssHermiteInsert,
rrd) && DumpRNVD ("LOCAL_CARDINAL_KNOT", _mssCardinalInsert, rrd) && DumpRNVD
("LOCAL_CATMULL_ROM_KNOT", _mssCatmullRomInsert, rrd) && DumpRNVD ("LOCAL_C1_BESSEL_HERMITE",
_mssBesselHermite, rrd);
}
}